| Closed-form approximations in multi-asset market making P Bergault, D Evangelista, O Guéant, D Vieira Applied Mathematical Finance, 2021 | 36 | 2021 |
| Algorithmic market making in dealer markets with hedging and market impact A Barzykin, P Bergault, O Guéant Mathematical Finance 33 (1), 41-79, 2023 | 33* | 2023 |
| Size matters for OTC market makers: General results and dimensionality reduction techniques P Bergault, O Guéant Mathematical Finance 31 (1), 279-322, 2021 | 32* | 2021 |
| Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics P Bergault, F Drissi, O Guéant SIAM Journal on Financial Mathematics 13 (1), 353-390, 2022 | 28 | 2022 |
| Algorithmic market making for options B Baldacci, P Bergault, O Guéant Quantitative Finance 21 (1), 85-97, 2021 | 24* | 2021 |
| Market-making by a foreign exchange dealer A Barzykin, P Bergault, O Guéant Risk (Cutting Edge), 2022 | 23* | 2022 |
| Automated market makers: Mean-variance analysis of lps payoffs and design of pricing functions P Bergault, L Bertucci, D Bouba, O Guéant Digital Finance 6 (2), 225-247, 2024 | 14 | 2024 |
| Dealing with multi-currency inventory risk in foreign exchange cash markets A Barzykin, P Bergault, O Guéant Risk Magazine, 2023 | 12* | 2023 |
| Mean Field Games in a Stackelberg problem with an informed major player P Bergault, P Cardaliaguet, C Rainer SIAM Journal on Control and Optimization 62 (3), 1737-1765, 2024 | 8 | 2024 |
| A Mean Field Game between Informed Traders and a Broker P Bergault, L Sánchez-Betancourt arXiv preprint arXiv:2401.05257, 2024 | 5 | 2024 |
| On bid and ask side-specific tick sizes B Baldacci, P Bergault, J Derchu, M Rosenbaum SIAM Journal on Financial Mathematics 14 (4), 1215-1248, 2023 | 5 | 2023 |
| A mean-field game of market-making against strategic traders B Baldacci, P Bergault, D Possamaï SIAM Journal on Financial Mathematics 14 (4), 1080-1112, 2023 | 4 | 2023 |
| Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity P Bergault, L Bertucci, D Bouba, O Guéant, J Guilbert arXiv preprint arXiv:2405.03496, 2024 | 3 | 2024 |
| Algorithmic Market Making in Spot Precious Metals A Barzykin, P Bergault, O Guéant arXiv preprint arXiv:2404.15478, 2024 | 2 | 2024 |
| Optimal incentives in a limit order book: a SPDE control approach B Baldacci, P Bergault Market Microstructure and Liquidity, 2050012, 2024 | 2 | 2024 |
| Modeling liquidity in corporate bond markets: applications to price adjustments P Bergault, O Guéant arXiv preprint arXiv:2309.04216, 2023 | 1 | 2023 |
| Mathematical modeling for market making and related problems of financial liquidity: a song of assets and traders. P Bergault Université Paris 1-Panthéon-Sorbonne, 2021 | 1 | 2021 |
| Automated Market Making: the case of Pegged Assets P Bergault, L Bertucci, D Bouba, O Guéant, J Guilbert arXiv preprint arXiv:2411.08145, 2024 | | 2024 |
| Simulating and analyzing a sparse order book: an application to intraday electricity markets P Bergault, E Cognéville arXiv preprint arXiv:2410.06839, 2024 | | 2024 |
| Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts B Baldacci, P Bergault, O Guéant arXiv preprint arXiv:2404.13754, 2024 | | 2024 |
Olivier GuéantFull Professor of Applied Mathematics at Université Paris 1 Panthéon Sorbonneبريد إلكتروني تم التحقق منه على univ-paris1.fr
