متابعة
Olivier Guéant
Olivier Guéant
Full Professor of Applied Mathematics at Université Paris 1 Panthéon Sorbonne
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عنوان
عدد مرات الاقتباسات
عدد مرات الاقتباسات
السنة
Mean field games and applications‏
A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ...‏
Paris-Princeton lectures on mathematical finance 2010, 205-266, 2011‏
8732011
Dealing with the inventory risk: a solution to the market making problem‏
O Guéant, CA Lehalle, J Fernandez-Tapia‏
Mathematics and financial economics 7, 477-507, 2013‏
2752013
The Financial Mathematics of Market Liquidity: From optimal execution to market making‏
O Guéant‏
CRC Press, 2016‏
2422016
Optimal portfolio liquidation with limit orders‏
O Guéant, CA Lehalle, J Fernandez-Tapia‏
SIAM Journal on Financial Mathematics 3 (1), 740-764, 2012‏
1972012
A reference case for mean field games models‏
O Guéant‏
Journal de mathématiques pures et appliquées 92 (3), 276-294, 2009‏
1392009
Optimal market making‏
O Guéant‏
Applied Mathematical Finance 24 (2), 112-154, 2017‏
1102017
General intensity shapes in optimal liquidation‏
O Guéant, CA Lehalle‏
Mathematical Finance 25 (3), 457-495, 2015‏
1042015
Existence and uniqueness result for mean field games with congestion effect on graphs‏
O Guéant‏
Applied Mathematics & Optimization 72 (2), 291-303, 2015‏
99*2015
Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality‏
O Guéant, I Manziuk‏
Applied Mathematical Finance 26 (5), 387-452, 2019‏
922019
Mean field games equations with quadratic Hamiltonian: a specific approach‏
O Guéant‏
Mathematical Models and Methods in Applied Sciences 22 (09), 1250022, 2012‏
912012
Mean field games and applications to economics‏
O Guéant‏
PhD Thesis (Univ. Paris-Dauphine, 2009‏
792009
Option pricing and hedging with execution costs and market impact‏
O Guéant, J Pu‏
Mathematical finance 27 (3), 803-831, 2017‏
722017
About the pricing equations in finance‏
A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ...‏
Paris-Princeton Lectures on Mathematical Finance 2010, 63-203, 2011‏
592011
Optimal execution and block trade pricing: a general framework‏
O Guéant‏
Applied Mathematical Finance 22 (4), 336-365, 2015‏
462015
New numerical methods for mean field games with quadratic costs‏
O Guéant‏
Networks and heterogeneous media 7 (2), 315-336, 2012‏
452012
VWAP execution and guaranteed VWAP‏
O Guéant, G Royer‏
SIAM Journal on Financial Mathematics 5 (1), 445-471, 2014‏
442014
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty‏
A Bismuth, O Guéant, J Pu‏
Mathematics and Financial Economics 13, 661-719, 2019‏
402019
Ecological intuition versus economic “reason”‏
O Guéant, R Guesnerie, J Lasry‏
Journal of public economic theory 14 (2), 245-272, 2012‏
372012
Closed-form approximations in multi-asset market making‏
P Bergault, D Evangelista, O Guéant, D Vieira‏
Applied Mathematical Finance 28 (2), 101-142, 2021‏
362021
Optimal real-time bidding strategies‏
J Fernandez-Tapia, O Guéant, JM Lasry‏
Applied mathematics research express 2017 (1), 142-183, 2017‏
352017
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مقالات 1–20