Výsledky vyhledávání - "Olivier Guéant"

Autor: Philippe Bergault, Bastien Baldacci, Olivier Guéant

Publikováno v: Quantitative Finance
Quantitative Finance, 2021, 21 (1), pp.85-97. ⟨10.1080/14697688.2020.1766099⟩
Quantitative Finance, Taylor & Francis (Routledge), 2021, 21 (1), pp.85-97. ⟨10.1080/14697688.2020.1766099⟩

International audience; In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dime

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb74de71d99b5bd4aee66055d9908706
https://hal.science/hal-03252585

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

Autor: Alexis Bismuth, Jiang Pu, Olivier Guéant

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

International audience; This paper presents several models addressing optimal portfolio choice, optimal portfolio liquidation, and optimal portfolio transition issues, in which the expected returns of risky assets are unknown. Our approach is based o

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::496a73cbd0d30782a5de95d62be8a48d
https://doi.org/10.1007/s11579-019-00241-1

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

Autor: Olivier Guéant, Philippe Bergault

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

International audience; In most over-the-counter (OTC) markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers f

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d389039e89f58b3610883f7f59a0e822
https://hal.archives-ouvertes.fr/hal-03252557

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Environmental transition alignment and portfolio performance

Autor: Peter Tankov, Alain Robert-Dautun, Olivier Guéant, Jean-Guillaume Peladan

Publikováno v: SSRN Electronic Journal.

We contribute to the debate on whether using ESG/SRI criteria in investment decisions improves portfolio performance. The choice of a specific ESG metric being crucial, we focus on the Net Environmental Contribution, a robust open-source measure of e

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::327ef5f41308672b6490de3bfd4248ff
https://doi.org/10.2139/ssrn.3876731

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Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics

Autor: Philippe Bergault, Fayçal Drissi, Olivier Guéant

In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Amongst the numerous problems addressed, the optimal execution of large orders is probably the one that has attracted the most research wor

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Optimal control on graphs: existence, uniqueness, and long-term behavior

Autor: Olivier Guéant, Iuliia Manziuk

Publikováno v: ESAIM: Control, Optimisation and Calculus of Variations
ESAIM: Control, Optimisation and Calculus of Variations, EDP Sciences, 2020, 26, pp.a22. ⟨10.1051/cocv/2019071⟩

International audience; The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf4fc231e2eaa95097a9bcc55a2c7bf0
https://hal.archives-ouvertes.fr/hal-02987853/document

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Accelerated share repurchase and other buyback programs: what neural networks can bring

Autor: Jiang Pu, Iuliia Manziuk, Olivier Guéant

Publikováno v: Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2020, 20 (8), pp.1389-1404. ⟨10.1080/14697688.2020.1729397⟩

International audience; When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex buyback contracts involving op

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9fce95f760ae35e6ae062a0d5d8c95fb
https://hal.archives-ouvertes.fr/hal-03252518

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

Autor: Olivier Guéant, Iuliia Manziuk

Publikováno v: Applied Mathematical Finance
Applied Mathematical Finance, Taylor & Francis (Routledge): SSH Titles, 2019, 26 (5), pp.387-452. ⟨10.1080/1350486X.2020.1714455⟩

International audience; In corporate bond markets, which are mainly OTC markets, market makers play a central role by providing bid and ask prices for bonds to asset managers. Determining the optimal bid and ask quotes that a market maker should set

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5e581c768b8dc2f9a350fa1189ae5da4
https://hal.archives-ouvertes.fr/hal-03252505

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Expected Shortfall et payoff optimal de couverture

Autor: Olivier Guéant

Publikováno v: Comptes Rendus. Mathématique
Comptes Rendus. Mathématique, Académie des sciences (Paris), 2018, 356 (4), pp.433-438. ⟨10.1016/j.crma.2018.03.010⟩

International audience; By using variational techniques, we provide an optimal payoff written on a given random variable for hedging – in the sense of minimizing the Expected Shortfall at a given threshold – a payoff written on another random var

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f13a1376363397c19571920ea072d4b2
https://hal.archives-ouvertes.fr/hal-02862839

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