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A reference case for mean field games models
Olivier Guéant
Article dans une revue
hal-01393099v1
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Optimal execution and block trade pricing: a general framework
Olivier Guéant
Applied Mathematical Finance, 2015, 22 (4)
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hal-01393118v1
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Stochastic Algorithms for Advanced Risk Budgeting
Adil Rengim Cetingoz
,
Jean-David Fermanian
,
Olivier Guéant
2022
Pré-publication, Document de travail
hal-03857964v1
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From infinity to one: The reduction of some mean field games to a global control problem
Olivier Guéant
2011
Rapport
hal-00628531v1
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Optimal Portfolio Liquidation with Limit Orders
Oliver Guéant
,
Charles-Albert Lehalle
,
Joaquin Fernandez Tapia
2011
Pré-publication, Document de travail
hal-00628533v1
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Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality
Olivier Guéant
,
Iuliia Manziuk
Article dans une revue
hal-03252505v1
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Lecture Notes in Mathematics
Stéphane Crepey
,
Olivier Guéant
,
David Hobson
,
Monique Jeanblanc
,
Jean-Michel Lasry
,
et al.
Springer-Verlag, pp.359, 2011
Ouvrages
hal-00667383v1
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Optimal market making
Olivier Guéant
Article dans une revue
hal-02862554v1
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Size matters for OTC market makers: general results and dimensionality reduction techniques
Philippe Bergault
,
Olivier Guéant
2020
Pré-publication, Document de travail
hal-02987894v1
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The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
Jean-David Fermanian
,
Olivier Guéant
,
Jiang Pu
2016
Pré-publication, Document de travail
hal-01393134v1
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Mean Field Games with a Quadratic Hamiltonian: A Constructive Scheme
Olivier Guéant
Annals of the International Society of Dynamic Games, 12, Springer, pp. 229-241, 2013, Advances in Dynamic Games
Chapitre d'ouvrage
hal-01393106v1
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New numerical methods for mean field games with quadratic costs
Olivier Guéant
Article dans une revue
hal-01393108v1
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Optimal Portfolio Liquidation with Limit Orders
Olivier Guéant
,
Charles-Albert Lehalle
,
Joaquin Fernandez Tapia
Article dans une revue
hal-01393114v1
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Accelerated Share Repurchase: pricing and execution strategy
Olivier Guéant
,
Jiang Pu
,
Royer Guillaume
Article dans une revue
hal-01393126v1
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Algorithmic market making for options
Bastien Baldacci
,
Philippe Bergault
,
Olivier Guéant
Article dans une revue
hal-03252585v1
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Optimal execution of accelerated share repurchase contracts with fixed notional
Olivier Guéant
Article dans une revue
hal-02862765v1
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Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach
Olivier Guéant
,
Jiang Pu
Article dans une revue
hal-02862823v1
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Size matters for OTC market makers: General results and dimensionality reduction techniques
Philippe Bergault
,
Olivier Guéant
Article dans une revue
hal-03252557v1
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Application of Mean Field Games to Growth Theory
Jean-Michel Lasry
,
Pierre Louis Lions
,
Olivier Guéant
2008
Pré-publication, Document de travail
hal-00348376v1
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Option pricing and hedging with execution costs and market impact
Olivier Guéant
,
Jiang Pu
Article dans une revue
hal-01393124v1
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The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
Jean-David Fermanian
,
Olivier Guéant
,
Jiang Pu
Article dans une revue
hal-02862360v1
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Execution and block trade pricing with optimal constant rate of participation
Olivier Guéant
journal of mathematical finance, 2014, 4 (4)
Article dans une revue
hal-01393120v1
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Dealing with the Inventory Risk. A solution to the market making problem
Olivier Guéant
,
Charles-Albert Lehalle
,
Joaquin Fernandez Tapia
Article dans une revue
hal-01393110v1
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Optimal market making
Olivier Guéant
2016
Pré-publication, Document de travail
hal-01393135v1
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VWAP execution and guaranteed VWAP
Olivier Guéant
,
Royer Guillaume
Article dans une revue
hal-01393121v1
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Mean Field Games and Applications
Olivier Guéant
,
Pierre Louis Lions
,
Jean-Michel Lasry
Paris-Princeton Lectures on Mathematical Finance 2010, Springer, 2011
Chapitre d'ouvrage
hal-01393103v1
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Expected Shortfall and optimal hedging payoff
Olivier Guéant
Article dans une revue
hal-02862839v1
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Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
Alexis Bismuth
,
Olivier Guéant
,
Jiang Pu
Article dans une revue
hal-03252482v1
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Optimal execution of ASR contracts with fixed notional
Olivier Guéant
2016
Pré-publication, Document de travail
hal-01393129v1
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Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control
Alexander Barzykin
,
Philippe Bergault
,
Olivier Guéant
2022
Pré-publication, Document de travail
hal-03857971v1
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