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Olivier Guéant

15 works· latest 2022· 4 institutionscluster: provisionalORCID 0000-0002-5880-9529

Works

15 shown

Algorithmic market making in dealer markets with hedging and market impact

Mathematical Finance·2022·3 authors·Open access

35citations

Optimal market making

Applied Mathematical Finance·2017·1 author

71citations

The Financial Mathematics of Market Liquidity

Chapman & Hall/CRC eBooks·2016·1 author·book

140citations

OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT

Mathematical Finance·2015·2 authors·Open access

46citations

Optimal Execution and Block Trade Pricing: A General Framework

Applied Mathematical Finance·2015·1 author·Open access

34citations

Existence and Uniqueness Result for Mean Field Games with Congestion Effect on Graphs

Applied Mathematics & Optimization·2014·1 author·Open access

72citations

VWAP Execution and Guaranteed VWAP

SIAM Journal on Financial Mathematics·2014·2 authors·Open access

37citations

GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION

Mathematical Finance·2013·2 authors·Open access

90citations

Dealing with the inventory risk: a solution to the market making problem

Mathematics and Financial Economics·2012·3 authors·Open access

207citations

New numerical methods for mean field games with quadratic costs

Networks and Heterogeneous Media·2012·1 author·Open access

42citations

MEAN FIELD GAMES EQUATIONS WITH QUADRATIC HAMILTONIAN: A SPECIFIC APPROACH

Mathematical Models and Methods in Applied Sciences·2012·1 author·Open access

76citations

Optimal Portfolio Liquidation with Limit Orders

SIAM Journal on Financial Mathematics·2012·3 authors·Open access

155citations

Mean Field Games and Applications

Lecture notes in mathematics·2010·3 authors·chapter

589citations

Paris-Princeton Lectures on Mathematical Finance 2010

Lecture notes in mathematics·2010·9 authors·book

149citations

A reference case for mean field games models

Journal de Mathématiques Pures et Appliquées·2009·1 author·Open access

93citations