Olivier Guéant
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Olivier |
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Guéant |
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Affiliations
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Université Paris 1 (Panthéon-Sorbonne)
/ Centre d'Économie de la Sorbonne
Research profile
author of:
- Ecological Intuition versus Economic “Reason” (RePEc:bla:jpbect:v:14:y:2012:i:2:p:245-272)
by Olivier Guéant & Roger Guesnerie & Jean‐Michel Lasry - General Intensity Shapes In Optimal Liquidation (RePEc:bla:mathfi:v:25:y:2015:i:3:p:457-495)
by Olivier Guéant & Charles-Albert Lehalle - Option Pricing And Hedging With Execution Costs And Market Impact (RePEc:bla:mathfi:v:27:y:2017:i:3:p:803-831)
by Olivier Guéant & Jiang Pu - Size matters for OTC market makers: General results and dimensionality reduction techniques (RePEc:bla:mathfi:v:31:y:2021:i:1:p:279-322)
by Philippe Bergault & Olivier Guéant - Algorithmic market making in dealer markets with hedging and market impact (RePEc:bla:mathfi:v:33:y:2023:i:1:p:41-79)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Risk Budgeting portfolios: Existence and computation (RePEc:bla:mathfi:v:34:y:2024:i:3:p:896-924)
by Adil Rengim Cetingoz & Jean‐David Fermanian & Olivier Guéant - Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms (RePEc:crs:wpaper:2015-11)
by Jean-David Fermanian & Olivier Guéant & Arnaud Rachez - The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms (RePEc:crs:wpaper:2016-34)
by Jean-David Fermanian & Olivier Guéant & Jiang Pu - The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms (RePEc:hal:cesptp:hal-02862360)
by Jean-David Fermanian & Olivier Guéant & Jiang Pu - Optimal market making (RePEc:hal:cesptp:hal-02862554)
by Olivier Guéant - Optimal execution of accelerated share repurchase contracts with fixed notional (RePEc:hal:cesptp:hal-02862765)
by Olivier Guéant - Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach (RePEc:hal:cesptp:hal-02862823)
by Olivier Guéant & Jiang Pu - Expected Shortfall and optimal hedging payoff
[Expected Shortfall et payoff optimal de couverture] (RePEc:hal:cesptp:hal-02862839)
by Olivier Guéant - Accelerated Share Repurchase and other buyback programs: what neural networks can bring (RePEc:hal:cesptp:hal-02987889)
by Olivier Guéant & Iuliia Manziuk & Jiang Pu - Size matters for OTC market makers: general results and dimensionality reduction techniques (RePEc:hal:cesptp:hal-02987894)
by Philippe Bergault & Olivier Guéant - Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty (RePEc:hal:cesptp:hal-03252482)
by Alexis Bismuth & Olivier Guéant & Jiang Pu - Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality (RePEc:hal:cesptp:hal-03252505)
by Olivier Guéant & Iuliia Manziuk - Accelerated share repurchase and other buyback programs: what neural networks can bring (RePEc:hal:cesptp:hal-03252518)
by Olivier Guéant & Iuliia Manziuk & Jiang Pu - Size matters for OTC market makers: General results and dimensionality reduction techniques (RePEc:hal:cesptp:hal-03252557)
by Philippe Bergault & Olivier Guéant - Algorithmic market making for options (RePEc:hal:cesptp:hal-03252585)
by Bastien Baldacci & Philippe Bergault & Olivier Guéant - Optimal control on graphs: existence, uniqueness, and long-term behavior (RePEc:hal:cesptp:hal-03252606)
by Olivier Guéant & Iuliia Manziuk - Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (RePEc:hal:cesptp:hal-03680071)
by Philippe Bergault & Fayçal Drissi & Olivier Guéant - Closed-form Approximations in Multi-asset Market Making (RePEc:hal:cesptp:hal-03680074)
by Philippe Bergault & Olivier Guéant & David Evangelista & Douglas Vieira - Stochastic Algorithms for Advanced Risk Budgeting (RePEc:hal:cesptp:hal-03857964)
by Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Guéant - Dealing with multi-currency inventory risk in FX cash markets (RePEc:hal:cesptp:hal-03857966)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control (RePEc:hal:cesptp:hal-03857971)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Algorithmic market making in dealer markets with hedging and market impact (RePEc:hal:cesptp:hal-03857976)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity (RePEc:hal:cesptp:hal-04577060)
by Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant & Julien Guilbert - Algorithmic Market Making in Spot Precious Metals (RePEc:hal:cesptp:hal-04577061)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Factor Risk Budgeting and Beyond (RePEc:hal:cesptp:hal-04577062)
by Adil Rengim Cetingoz & Olivier Guéant - Tournament-induced risk-shifting: A mean field games approach (RePEc:hal:journl:hal-01393096)
by Olivier Guéant - Mean Field Games and Applications (RePEc:hal:journl:hal-01393103)
by Olivier Guéant & Pierre Louis Lions & Jean-Michel Lasry - Mean Field Games and Oil Production (RePEc:hal:journl:hal-01393104)
by Olivier Guéant & Jean-Michel Lasry & Pierre Louis Lions - Dealing with the Inventory Risk. A solution to the market making problem (RePEc:hal:journl:hal-01393110)
by Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia - Optimal Portfolio Liquidation with Limit Orders (RePEc:hal:journl:hal-01393114)
by Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia - General Intensity Shapes in Optimal Liquidation (RePEc:hal:journl:hal-01393116)
by Olivier Guéant - Optimal execution and block trade pricing: a general framework (RePEc:hal:journl:hal-01393118)
by Olivier Guéant - Execution and block trade pricing with optimal constant rate of participation (RePEc:hal:journl:hal-01393120)
by Olivier Guéant - VWAP execution and guaranteed VWAP (RePEc:hal:journl:hal-01393121)
by Olivier Guéant & Royer Guillaume - Option pricing and hedging with execution costs and market impact (RePEc:hal:journl:hal-01393124)
by Olivier Guéant & Jiang Pu - Accelerated Share Repurchase: pricing and execution strategy (RePEc:hal:journl:hal-01393126)
by Olivier Guéant & Jiang Pu & Royer Guillaume - A convex duality method for optimal liquidation with participation constraints (RePEc:hal:journl:hal-01393127)
by Olivier Guéant & Jean-Michel Lasry & Jiang Pu - The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (RePEc:hal:journl:hal-01393136)
by Olivier Guéant - The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms (RePEc:hal:journl:hal-02862360)
by Jean-David Fermanian & Olivier Guéant & Jiang Pu - Optimal market making (RePEc:hal:journl:hal-02862554)
by Olivier Guéant - Optimal execution of accelerated share repurchase contracts with fixed notional (RePEc:hal:journl:hal-02862765)
by Olivier Guéant - Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach (RePEc:hal:journl:hal-02862823)
by Olivier Guéant & Jiang Pu - Expected Shortfall and optimal hedging payoff
[Expected Shortfall et payoff optimal de couverture] (RePEc:hal:journl:hal-02862839)
by Olivier Guéant - Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty (RePEc:hal:journl:hal-03252482)
by Alexis Bismuth & Olivier Guéant & Jiang Pu - Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality (RePEc:hal:journl:hal-03252505)
by Olivier Guéant & Iuliia Manziuk - Accelerated share repurchase and other buyback programs: what neural networks can bring (RePEc:hal:journl:hal-03252518)
by Olivier Guéant & Iuliia Manziuk & Jiang Pu - Size matters for OTC market makers: General results and dimensionality reduction techniques (RePEc:hal:journl:hal-03252557)
by Philippe Bergault & Olivier Guéant - Algorithmic market making for options (RePEc:hal:journl:hal-03252585)
by Bastien Baldacci & Philippe Bergault & Olivier Guéant - Optimal control on graphs: existence, uniqueness, and long-term behavior (RePEc:hal:journl:hal-03252606)
by Olivier Guéant & Iuliia Manziuk - Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (RePEc:hal:journl:hal-03680071)
by Philippe Bergault & Fayçal Drissi & Olivier Guéant - Closed-form Approximations in Multi-asset Market Making (RePEc:hal:journl:hal-03680074)
by Philippe Bergault & Olivier Guéant & David Evangelista & Douglas Vieira - Size matters for OTC market makers: General results and dimensionality reduction techniques (RePEc:hal:journl:hal-03885108)
by Philippe Bergault & Olivier Guéant - Algorithmic market making for options (RePEc:hal:journl:hal-03885125)
by Bastien Baldacci & Philippe Bergault & Olivier Guéant - Algorithmic market making in dealer markets with hedging and market impact (RePEc:hal:journl:hal-03885137)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Optimal execution of accelerated share repurchase contracts with fixed notional (RePEc:hal:journl:hal-04590217)
by Olivier Guéant - Risk Budgeting portfolios: Existence and computation (RePEc:hal:journl:hal-04590268)
by Adil Rengim Cetingoz & Jean‐david Fermanian & Olivier Guéant - Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions (RePEc:hal:journl:hal-04590275)
by Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant - Computational methods for market making algorithms (RePEc:hal:journl:hal-04590381)
by Olivier Guéant - Reinforcement Learning for Algorithmic Trading (RePEc:hal:journl:hal-04590393)
by Olivier Guéant - Ecological intuition versus economic "reason" (RePEc:hal:journl:halshs-00754612)
by Olivier Guéant & Roger Guesnerie & Jean-Michel Lasry - Ecological intuition versus economic "reason" (RePEc:hal:pseptp:halshs-00754612)
by Olivier Guéant & Roger Guesnerie & Jean-Michel Lasry - Ecological intuition versus economic "reason" (RePEc:hal:psewpa:halshs-00575067)
by Roger Guesnerie & Jean-Michel Lasry & Olivier Guéant - Optimal execution of ASR contracts with fixed notional (RePEc:hal:wpaper:hal-01393129)
by Olivier Guéant - The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms (RePEc:hal:wpaper:hal-01393134)
by Jean-David Fermanian & Olivier Guéant & Jiang Pu - Optimal market making (RePEc:hal:wpaper:hal-01393135)
by Olivier Guéant - Accelerated Share Repurchase and other buyback programs: what neural networks can bring (RePEc:hal:wpaper:hal-02987889)
by Olivier Guéant & Iuliia Manziuk & Jiang Pu - Size matters for OTC market makers: general results and dimensionality reduction techniques (RePEc:hal:wpaper:hal-02987894)
by Philippe Bergault & Olivier Guéant - Stochastic Algorithms for Advanced Risk Budgeting (RePEc:hal:wpaper:hal-03857964)
by Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Guéant - Dealing with multi-currency inventory risk in FX cash markets (RePEc:hal:wpaper:hal-03857966)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control (RePEc:hal:wpaper:hal-03857971)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Algorithmic market making in dealer markets with hedging and market impact (RePEc:hal:wpaper:hal-03857976)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control (RePEc:hal:wpaper:hal-03885154)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions (RePEc:hal:wpaper:hal-03941578)
by Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant - Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity (RePEc:hal:wpaper:hal-04577060)
by Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant & Julien Guilbert - Algorithmic Market Making in Spot Precious Metals (RePEc:hal:wpaper:hal-04577061)
by Alexander Barzykin & Philippe Bergault & Olivier Guéant - Factor Risk Budgeting and Beyond (RePEc:hal:wpaper:hal-04577062)
by Adil Rengim Cetingoz & Olivier Guéant - Recipes for hedging exotics with illiquid vanillas (RePEc:hal:wpaper:hal-04590240)
by Joaquin Fernandez-Tapia & Olivier Guéant - Ecological intuition versus economic "reason" (RePEc:hal:wpaper:halshs-00575067)
by Roger Guesnerie & Jean-Michel Lasry & Olivier Guéant - Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions (RePEc:spr:digfin:v:6:y:2024:i:2:d:10.1007_s42521-023-00101-0)
by Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant - Optimal Execution and Block Trade Pricing: A General Framework (RePEc:taf:apmtfi:v:22:y:2015:i:4:p:336-365)
by Olivier Guéant - Optimal market making (RePEc:taf:apmtfi:v:24:y:2017:i:2:p:112-154)
by Olivier Guéant - Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality (RePEc:taf:apmtfi:v:26:y:2019:i:5:p:387-452)
by Olivier Guéant & Iuliia Manziuk - Closed-form Approximations in Multi-asset Market Making (RePEc:taf:apmtfi:v:28:y:2021:i:2:p:101-142)
by Philippe Bergault & David Evangelista & Olivier Guéant & Douglas Vieira - Accelerated share repurchase and other buyback programs: what neural networks can bring (RePEc:taf:quantf:v:20:y:2020:i:8:p:1389-1404)
by Olivier Guéant & Iuliia Manziuk & Jiang Pu - Algorithmic market making for options (RePEc:taf:quantf:v:21:y:2021:i:1:p:85-97)
by Bastien Baldacci & Philippe Bergault & Olivier Guéant - Accelerated Share Repurchase: Pricing And Execution Strategy (RePEc:wsi:ijtafx:v:18:y:2015:i:03:n:s0219024915500193)
by Olivier Guéant & Jiang Pu & Guillaume Royer