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Olivier Guéant
Tytuł
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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
8722011
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
2742013
The Financial Mathematics of Market Liquidity: From optimal execution to market making
O Guéant
CRC Press, 2016
2412016
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
1402009
Optimal market making
O Guéant
Applied Mathematical Finance 24 (2), 112-154, 2017
1082017
General intensity shapes in optimal liquidation
O Guéant, CA Lehalle
Mathematical Finance 25 (3), 457-495, 2015
1062015
Existence and uniqueness result for mean field games with congestion effect on graphs
O Guéant
Applied Mathematics & Optimization 72 (2), 291-303, 2015
100*2015
Mean field games equations with quadratic Hamiltonian: a specific approach
O Guéant
Mathematical Models and Methods in Applied Sciences 22 (09), 1250022, 2012
922012
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
912019
Mean field games and applications to economics
O Guéant
PhD Thesis (Univ. Paris-Dauphine, 2009
782009
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
652011
Optimal execution and block trade pricing: a general framework
O Guéant
Applied Mathematical Finance 22 (4), 336-365, 2015
472015
New numerical methods for mean field games with quadratic costs
O Guéant
Networks and heterogeneous media 7 (2), 315-336, 2012
462012
VWAP execution and guaranteed VWAP
O Guéant, G Royer
SIAM Journal on Financial Mathematics 5 (1), 445-471, 2014
452014
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
A Bismuth, O Guéant, J Pu
Mathematics and Financial Economics 13, 661-719, 2019
412019
Closed-form approximations in multi-asset market making
P Bergault, D Evangelista, O Guéant, D Vieira
Applied Mathematical Finance 28 (2), 101-142, 2021
372021
Optimal real-time bidding strategies
J Fernandez-Tapia, O Guéant, JM Lasry
Applied mathematics research express 2017 (1), 142-183, 2017
352017
Ecological intuition versus economic “reason”
O Guéant, R Guesnerie, J Lasry
Journal of public economic theory 14 (2), 245-272, 2012
352012
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