Zobrazeno 1 - 10
of 35
pro vyhledávání: '"JUSSELIN, PAUL"'
Autor:
Jusselin, Paul
\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows. We consider a market model with one market maker and order flows driven by general Hawkes
Externí odkaz:
http://arxiv.org/abs/2003.05958
Fitting simultaneously SPX and VIX smiles is known to be one of the most challenging problems in volatility modeling. A long-standing conjecture due to Julien Guyon is that it may not be possible to calibrate jointly these two quantities with a model
Externí odkaz:
http://arxiv.org/abs/2001.01789
Autor:
Jusselin, Paul, Mastrolia, Thibaut
Going from a scaling approach for birth/death processes, we investigate the scaling limit of solutions to non-Markovian stochastic control problems by studying the convergence of solutions to BSDEs driven a sequence of converging martingales. In part
Externí odkaz:
http://arxiv.org/abs/1911.00672
We consider the problem of designing a derivatives exchange aiming at addressing clients needs in terms of listed options and providing suitable liquidity. We proceed into two steps. First we use a quantization method to select the options that shoul
Externí odkaz:
http://arxiv.org/abs/1909.09257
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type volatility a
Externí odkaz:
http://arxiv.org/abs/1907.06151
We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of the auction as the price maximizing the exchanged volume at the clearin
Externí odkaz:
http://arxiv.org/abs/1906.01713
Autor:
Jusselin, Paul, Rosenbaum, Mathieu
Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that under no-arbitrage assumption, the market impact function can only be of power-law type. Furthermore, we pro
Externí odkaz:
http://arxiv.org/abs/1805.07134
Autor:
Jusselin, Paul1 (AUTHOR), Mastrolia, Thibaut2 (AUTHOR) mastrolia@berkeley.edu
Publikováno v:
Applied Mathematics & Optimization. Aug2023, Vol. 88 Issue 1, p1-52. 52p.
Publikováno v:
SIAM Journal on Numerical Analysis, 2018 Jan 01. 56(4), 2563-2584.
Externí odkaz:
https://www.jstor.org/stable/45048470
Autor:
Dandapani, Aditi1 (AUTHOR), Jusselin, Paul1 (AUTHOR), Rosenbaum, Mathieu1 (AUTHOR) mathieu.rosenbaum@polytechnique.edu
Publikováno v:
Quantitative Finance. Aug2021, Vol. 21 Issue 8, p1235-1247. 13p.