ENGLISH

The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making

By Olivier Guéant

Book information

Publisher
CRC Press
Year
2016
ISBN
9781498725484, 1498725481
Language
english
Format
PDF
Filesize
13 MB (13327929 bytes)
Pages
302\302
Time added
2021-07-04 17:58:48

Description

This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app Front Cover Dedication Contents Preface List of Figures List of Tables Symbol Description Part I: Introduction Chapter 1: General introduction Chapter 2: Organization of markets Part II: Optimal Liquidation Chapter 3: The Almgren-Chriss framework Chapter 4: Optimal liquidation with different benchmarks Chapter 5: Extensions of the Almgren-Chriss framework Chapter 6: Numerical methods Chapter 7: Beyond Almgren-Chriss Part III: Liquidity in Pricing Models Chapter 8: Block trade pricing Chapter 9: Option pricing and hedging with execution costs and market impact Chapter 10: Share buy-back Part IV: Market Making Chapter 11: Market making models: from Avellaneda-Stoikov to Guéant-Lehalle, and beyond Mathematical Appendices Appendix A: Mathematical economics Appendix B: Convex analysis and variational calculus Bibliography Back Cover

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