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		Optimal execution and block trade pricing: a general framework Olivier Guéant Applied Mathematical Finance, 2015, 22 (4) Article dans une revue hal-01393118v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A reference case for mean field games models Olivier Guéant Journal de Mathématiques Pures et Appliquées, 2009, 92 (3), pp. 276-294. ⟨10.1016/j.matpur.2009.04.008⟩ Article dans une revue hal-01393099v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Stochastic Algorithms for Advanced Risk Budgeting Adil Rengim Cetingoz , Jean-David Fermanian , Olivier Guéant 2022 Pré-publication, Document de travail hal-03857964v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		From infinity to one: The reduction of some mean field games to a global control problem Olivier Guéant 2011 Rapport hal-00628531v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal Portfolio Liquidation with Limit Orders Oliver Guéant , Charles-Albert Lehalle , Joaquin Fernandez Tapia 2011 Pré-publication, Document de travail hal-00628533v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality Olivier Guéant , Iuliia Manziuk Applied Mathematical Finance, 2019, 26 (5), pp.387-452. ⟨10.1080/1350486X.2020.1714455⟩ Article dans une revue hal-03252505v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		New numerical methods for mean field games with quadratic costs Olivier Guéant Networks and Heterogenous Media, 2012, 7 (2), pp.315-336. ⟨10.3934/nhm.2012.7.315⟩ Article dans une revue hal-01393108v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal Portfolio Liquidation with Limit Orders Olivier Guéant , Charles-Albert Lehalle , Joaquin Fernandez Tapia SIAM Journal on Financial Mathematics, 2012, 3 (1), pp.740-764. ⟨10.1137/110850475⟩ Article dans une revue hal-01393114v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Accelerated Share Repurchase: pricing and execution strategy Olivier Guéant , Jiang Pu , Royer Guillaume International Journal of Theoretical and Applied Finance, 2015, 18 (3), ⟨10.1142/S0219024915500193⟩ Article dans une revue hal-01393126v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal market making Olivier Guéant Applied Mathematical Finance, 2017, 24 (2), pp.112-154. ⟨10.1080/1350486X.2017.1342552⟩ Article dans une revue hal-02862554v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Size matters for OTC market makers: general results and dimensionality reduction techniques Philippe Bergault , Olivier Guéant 2020 Pré-publication, Document de travail hal-02987894v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Algorithmic market making for options Bastien Baldacci , Philippe Bergault , Olivier Guéant Quantitative Finance, 2021, 21 (1), pp.85-97. ⟨10.1080/14697688.2020.1766099⟩ Article dans une revue hal-03252585v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty Alexis Bismuth , Olivier Guéant , Jiang Pu Mathematics and Financial Economics, 2019, 13 (4), pp.661-719. ⟨10.1007/s11579-019-00241-1⟩ Article dans une revue hal-03252482v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Expected Shortfall and optimal hedging payoff Olivier Guéant Comptes Rendus. Mathématique, 2018, 356 (4), pp.433-438. ⟨10.1016/j.crma.2018.03.010⟩ Article dans une revue hal-02862839v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal execution of ASR contracts with fixed notional Olivier Guéant 2016 Pré-publication, Document de travail hal-01393129v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal market making Olivier Guéant 2016 Pré-publication, Document de travail hal-01393135v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		VWAP execution and guaranteed VWAP Olivier Guéant , Royer Guillaume SIAM Journal on Financial Mathematics, 2014, 5 (1), pp.445-471. ⟨10.1137/130924676⟩ Article dans une revue hal-01393121v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Algorithmic market making for options Bastien Baldacci , Philippe Bergault , Olivier Guéant 2020 Pré-publication, Document de travail hal-02987880v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Size matters for OTC market makers: General results and dimensionality reduction techniques Philippe Bergault , Olivier Guéant Mathematical Finance, 2021, 31 (1), pp.279-322. ⟨10.1111/mafi.12286⟩ Article dans une revue hal-03885108v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Existence and uniqueness result for mean field games with congestion effect on graphs Olivier Guéant Applied Mathematics and Optimization, 2015, 72 (2), pp.291-303. ⟨10.1007/s00245-014-9280-2⟩ Article dans une revue hal-01393109v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics Philippe Bergault , Fayçal Drissi , Olivier Guéant SIAM Journal on Financial Mathematics, 2022, 13 (1), pp.353-390. ⟨10.1137/21M1407756⟩ Article dans une revue hal-03680071v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality Olivier Guéant , Iuliia Manziuk 2020 Pré-publication, Document de travail hal-02987870v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Mean Field Games and Oil Production Olivier Guéant , Jean-Michel Lasry , Pierre Louis Lions Economica. The Economics of Sustainable Development, 2010 Chapitre d'ouvrage hal-01393104v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal execution of accelerated share repurchase contracts with fixed notional Olivier Guéant The Journal of Risk, 2017, 19 (5), pp.77-99. ⟨10.21314/JOR.2017.361⟩ Article dans une revue hal-02862765v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach Olivier Guéant , Jiang Pu Market microstructure and liquidity, 2018, 04 (01n02), pp.1950005. ⟨10.1142/S2382626619500059⟩ Article dans une revue hal-02862823v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More

Optimal execution and block trade pricing: a general framework

Olivier Guéant

Applied Mathematical Finance, 2015, 22 (4)

Article dans une revue hal-01393118v1

A reference case for mean field games models

Olivier Guéant

Journal de Mathématiques Pures et Appliquées, 2009, 92 (3), pp. 276-294. ⟨10.1016/j.matpur.2009.04.008⟩

Article dans une revue hal-01393099v1

Stochastic Algorithms for Advanced Risk Budgeting

Adil Rengim Cetingoz , Jean-David Fermanian , Olivier Guéant

2022

Pré-publication, Document de travail hal-03857964v1

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

From infinity to one: The reduction of some mean field games to a global control problem

Olivier Guéant

2011

Rapport hal-00628531v1

Optimal Portfolio Liquidation with Limit Orders

Oliver Guéant , Charles-Albert Lehalle , Joaquin Fernandez Tapia

2011

Pré-publication, Document de travail hal-00628533v1

Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality

Olivier Guéant , Iuliia Manziuk

Applied Mathematical Finance, 2019, 26 (5), pp.387-452. ⟨10.1080/1350486X.2020.1714455⟩

Article dans une revue hal-03252505v1

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

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

New numerical methods for mean field games with quadratic costs

Olivier Guéant

Networks and Heterogenous Media, 2012, 7 (2), pp.315-336. ⟨10.3934/nhm.2012.7.315⟩

Article dans une revue hal-01393108v1

Optimal Portfolio Liquidation with Limit Orders

Olivier Guéant , Charles-Albert Lehalle , Joaquin Fernandez Tapia

SIAM Journal on Financial Mathematics, 2012, 3 (1), pp.740-764. ⟨10.1137/110850475⟩

Article dans une revue hal-01393114v1

Accelerated Share Repurchase: pricing and execution strategy

Olivier Guéant , Jiang Pu , Royer Guillaume

International Journal of Theoretical and Applied Finance, 2015, 18 (3), ⟨10.1142/S0219024915500193⟩

Article dans une revue hal-01393126v1

Optimal market making

Olivier Guéant

Applied Mathematical Finance, 2017, 24 (2), pp.112-154. ⟨10.1080/1350486X.2017.1342552⟩

Article dans une revue hal-02862554v1

Size matters for OTC market makers: general results and dimensionality reduction techniques

Philippe Bergault , Olivier Guéant

2020

Pré-publication, Document de travail hal-02987894v1

Algorithmic market making for options

Bastien Baldacci , Philippe Bergault , Olivier Guéant

Quantitative Finance, 2021, 21 (1), pp.85-97. ⟨10.1080/14697688.2020.1766099⟩

Article dans une revue hal-03252585v1

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

Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

Alexis Bismuth , Olivier Guéant , Jiang Pu

Mathematics and Financial Economics, 2019, 13 (4), pp.661-719. ⟨10.1007/s11579-019-00241-1⟩

Article dans une revue hal-03252482v1

Expected Shortfall and optimal hedging payoff

Olivier Guéant

Comptes Rendus. Mathématique, 2018, 356 (4), pp.433-438. ⟨10.1016/j.crma.2018.03.010⟩

Article dans une revue hal-02862839v1

Optimal execution of ASR contracts with fixed notional

Olivier Guéant

2016

Pré-publication, Document de travail hal-01393129v1

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

Optimal market making

Olivier Guéant

2016

Pré-publication, Document de travail hal-01393135v1

VWAP execution and guaranteed VWAP

Olivier Guéant , Royer Guillaume

SIAM Journal on Financial Mathematics, 2014, 5 (1), pp.445-471. ⟨10.1137/130924676⟩

Article dans une revue hal-01393121v1

Algorithmic market making for options

Bastien Baldacci , Philippe Bergault , Olivier Guéant

2020

Pré-publication, Document de travail hal-02987880v1

Size matters for OTC market makers: General results and dimensionality reduction techniques

Philippe Bergault , Olivier Guéant

Mathematical Finance, 2021, 31 (1), pp.279-322. ⟨10.1111/mafi.12286⟩

Article dans une revue hal-03885108v1

Existence and uniqueness result for mean field games with congestion effect on graphs

Olivier Guéant

Applied Mathematics and Optimization, 2015, 72 (2), pp.291-303. ⟨10.1007/s00245-014-9280-2⟩

Article dans une revue hal-01393109v1

Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics

Philippe Bergault , Fayçal Drissi , Olivier Guéant

SIAM Journal on Financial Mathematics, 2022, 13 (1), pp.353-390. ⟨10.1137/21M1407756⟩

Article dans une revue hal-03680071v1

Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality

Olivier Guéant , Iuliia Manziuk

2020

Pré-publication, Document de travail hal-02987870v1

Mean Field Games and Oil Production

Olivier Guéant , Jean-Michel Lasry , Pierre Louis Lions

Economica. The Economics of Sustainable Development, 2010

Chapitre d'ouvrage hal-01393104v1

Optimal execution of accelerated share repurchase contracts with fixed notional

Olivier Guéant

The Journal of Risk, 2017, 19 (5), pp.77-99. ⟨10.21314/JOR.2017.361⟩

Article dans une revue hal-02862765v1

Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach

Olivier Guéant , Jiang Pu

Market microstructure and liquidity, 2018, 04 (01n02), pp.1950005. ⟨10.1142/S2382626619500059⟩

Article dans une revue hal-02862823v1

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Optimal execution and block trade pricing: a general framework

A reference case for mean field games models

Stochastic Algorithms for Advanced Risk Budgeting

Lecture Notes in Mathematics

From infinity to one: The reduction of some mean field games to a global control problem

Optimal Portfolio Liquidation with Limit Orders

Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality

The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms

Mean Field Games with a Quadratic Hamiltonian: A Constructive Scheme

New numerical methods for mean field games with quadratic costs

Optimal Portfolio Liquidation with Limit Orders

Accelerated Share Repurchase: pricing and execution strategy

Optimal market making

Size matters for OTC market makers: general results and dimensionality reduction techniques

Algorithmic market making for options

Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control

Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

Expected Shortfall and optimal hedging payoff

Optimal execution of ASR contracts with fixed notional

Mean Field Games and Applications

Optimal market making

VWAP execution and guaranteed VWAP

Algorithmic market making for options

Size matters for OTC market makers: General results and dimensionality reduction techniques

Existence and uniqueness result for mean field games with congestion effect on graphs

Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics

Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality

Mean Field Games and Oil Production

Optimal execution of accelerated share repurchase contracts with fixed notional

Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach