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Closed-form approximations in multi-asset market making
Bergault, Philippe; Evangelista, David; Guéant, Olivier; … - In: Applied mathematical finance 28 (2021) 2, pp. 101-142
Persistent link: https://www.econbiz.de/10013171062
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General intensity shapes in optimal liquidation
Guéant, Olivier; Lehalle, Charles-Albert - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
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Deep reinforcement learning for market making in corporate bonds : beating the curse of dimensionality
Guéant, Olivier; Manziuk, Iuliia - In: Applied mathematical finance 26 (2019) 5, pp. 387-452
Persistent link: https://www.econbiz.de/10012210413
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Optimal market making
Guéant, Olivier - In: Applied mathematical finance 24 (2017) 1/2, pp. 112-154
Persistent link: https://www.econbiz.de/10011746995