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This book is devoted to mathematical models for execution problems in finance. The book presents a general framework-inspired by the Almgren-Chriss approach-for optimal execution problems and demonstrates its use across a wide range of areas. The book covers applications to the different types of execution proposed within the brokerage industry. It also presents applications to block trade pricing, option pricing and hedging, and the management of complex buy-back contracts.
This book is devoted to mathematical models for execution problems in finance. The book presents a general framework-inspired by the Almgren-Chriss approach-for optimal execution problems and demonstrates its use across a wide range of areas. The book covers applications to the different types of execution proposed within the brokerage industry. It also presents applications to block trade pricing, option pricing and hedging, and the management of complex buy-back contracts.
Olivier Guéant is Professor of Quantitative Finance at Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE), where he teaches many aspects of financial mathematics-from classical asset pricing to advanced option pricing theory, to new topics about execution, market making, and high-frequency trading. Before joining ENSAE, Olivier was Associate Professor of Applied Mathematics at Université Paris-Diderot, where he taught applied mathematics and financial mathematics to both undergraduate and graduate students. He joined Université Paris-Diderot after finishing his PhD on mean field games, under the supervision of Pierre-Louis Lions.
He progressively moved to Quantitative Finance through the publication of research papers on optimal execution and market making. Olivier is also a renowned scientific and strategy consultant, who has taken on projects for many hedge funds, brokerage companies, and investment banks, including Credit Agricole, Kepler-Cheuvreux, BNP Paribas, and HSBC. His main current research interests include optimal execution, market making, and the use of big data methods in Finance.
Introduction. Optimal Liquidation. Liquidity in Pricing Models. Market Making.
| Erscheinungsjahr: | 2016 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 302 |
| ISBN-13: | 9781498725477 |
| ISBN-10: | 1498725473 |
| Einband: | Gebunden |
| Autor: | Gueant, Olivier |
| Hersteller: | Taylor & Francis Inc |
| Maße: | 165 x 241 x 22 mm |
| Von/Mit: | Olivier Gueant |
| Erscheinungsdatum: | 01.04.2016 |
| Gewicht: | 0,582 kg |
Olivier Guéant is Professor of Quantitative Finance at Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE), where he teaches many aspects of financial mathematics-from classical asset pricing to advanced option pricing theory, to new topics about execution, market making, and high-frequency trading. Before joining ENSAE, Olivier was Associate Professor of Applied Mathematics at Université Paris-Diderot, where he taught applied mathematics and financial mathematics to both undergraduate and graduate students. He joined Université Paris-Diderot after finishing his PhD on mean field games, under the supervision of Pierre-Louis Lions.
He progressively moved to Quantitative Finance through the publication of research papers on optimal execution and market making. Olivier is also a renowned scientific and strategy consultant, who has taken on projects for many hedge funds, brokerage companies, and investment banks, including Credit Agricole, Kepler-Cheuvreux, BNP Paribas, and HSBC. His main current research interests include optimal execution, market making, and the use of big data methods in Finance.
Introduction. Optimal Liquidation. Liquidity in Pricing Models. Market Making.
| Erscheinungsjahr: | 2016 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Seiten: | 302 |
| ISBN-13: | 9781498725477 |
| ISBN-10: | 1498725473 |
| Einband: | Gebunden |
| Autor: | Gueant, Olivier |
| Hersteller: | Taylor & Francis Inc |
| Maße: | 165 x 241 x 22 mm |
| Von/Mit: | Olivier Gueant |
| Erscheinungsdatum: | 01.04.2016 |
| Gewicht: | 0,582 kg |
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