Details about Olivier Guéant

Access statistics for papers by Olivier Guéant.

Last updated 2024-06-19. Update your information in the RePEc Author Service.

Short-id: pgu842

Working Papers

2024

1. Algorithmic Market Making in Spot Precious Metals
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
   Also in Working Papers, HAL (2024)
2. Factor Risk Budgeting and Beyond
   Working Papers, HAL
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2024)
3. Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
   Also in Working Papers, HAL (2024)
4. Recipes for hedging exotics with illiquid vanillas
   Working Papers, HAL

2023

5. Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions
   Working Papers, HAL View citations (1)
   Also in Post-Print, HAL (2023) View citations (1)
   See also Journal Article Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions, Digital Finance, Springer (2024) View citations (1) (2024)
6. Reinforcement Learning for Algorithmic Trading
   Post-Print, HAL
7. Risk Budgeting portfolios: Existence and computation
   Post-Print, HAL View citations (1)
   See also Journal Article Risk Budgeting portfolios: Existence and computation, Mathematical Finance, Wiley Blackwell (2024) View citations (2) (2024)

2022

8. Algorithmic market making in dealer markets with hedging and market impact
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
   Also in Working Papers, HAL (2022) View citations (1)
   Post-Print, HAL (2022) View citations (1)
   See also Journal Article Algorithmic market making in dealer markets with hedging and market impact, Mathematical Finance, Wiley Blackwell (2023) View citations (13) (2023)
9. Computational methods for market making algorithms
   Post-Print, HAL
10. Dealing with multi-currency inventory risk in FX cash markets
    Working Papers, HAL View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2022) View citations (2)
11. Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    Also in Working Papers, HAL (2022)
    Working Papers, HAL (2022)
12. Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics
    Post-Print, HAL View citations (7)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2022) View citations (7)
13. Stochastic Algorithms for Advanced Risk Budgeting
    Working Papers, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2022)

2021

14. Algorithmic market making for options
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (7)
    Also in Post-Print, HAL (2021) View citations (7)
    See also Journal Article Algorithmic market making for options, Quantitative Finance, Taylor & Francis Journals (2021) View citations (7) (2021)
15. Closed-form Approximations in Multi-asset Market Making
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (12)
    Also in Post-Print, HAL (2021) View citations (12)
    See also Journal Article Closed-form Approximations in Multi-asset Market Making, Applied Mathematical Finance, Taylor & Francis Journals (2021) View citations (13) (2021)
16. Size matters for OTC market makers: General results and dimensionality reduction techniques
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (10)
    Also in Post-Print, HAL (2021) View citations (9)
    Post-Print, HAL (2021) View citations (6)
    Working Papers, HAL (2020) View citations (2)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020) View citations (2)
    See also Journal Article Size matters for OTC market makers: General results and dimensionality reduction techniques, Mathematical Finance, Wiley Blackwell (2021) View citations (11) (2021)

2020

17. Accelerated Share Repurchase and other buyback programs: what neural networks can bring
    Working Papers, HAL View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020) View citations (4)
    Post-Print, HAL (2020) View citations (6)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020) View citations (6)
    See also Journal Article Accelerated share repurchase and other buyback programs: what neural networks can bring, Quantitative Finance, Taylor & Francis Journals (2020) View citations (6) (2020)
18. Optimal control on graphs: existence, uniqueness, and long-term behavior
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (4)
    Also in Post-Print, HAL (2020) View citations (4)

2019

19. Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality
    Post-Print, HAL View citations (25)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2019) View citations (28)
    See also Journal Article Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality, Applied Mathematical Finance, Taylor & Francis Journals (2019) View citations (35) (2019)
20. Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (8)
    Also in Post-Print, HAL (2019) View citations (8)

2018

21. Expected Shortfall and optimal hedging payoff
    (Expected Shortfall et payoff optimal de couverture)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Post-Print, HAL (2018)
22. Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Post-Print, HAL (2018)

2017

23. Optimal execution of accelerated share repurchase contracts with fixed notional
    Post-Print, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017)
    Post-Print, HAL (2017)
24. Optimal market making
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (11)
    Also in Working Papers, HAL (2016) View citations (4)
    Post-Print, HAL (2017) View citations (11)
    See also Journal Article Optimal market making, Applied Mathematical Finance, Taylor & Francis Journals (2017) View citations (4) (2017)

2016

25. Optimal execution of ASR contracts with fixed notional
    Working Papers, HAL
26. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
    Post-Print, HAL View citations (7)
27. The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
    Post-Print, HAL View citations (7)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2016) View citations (7)
    Working Papers, Center for Research in Economics and Statistics (2016) View citations (11)
    Working Papers, HAL (2016) View citations (8)

2015

28. A convex duality method for optimal liquidation with participation constraints
    Post-Print, HAL View citations (4)
29. Accelerated Share Repurchase: pricing and execution strategy
    Post-Print, HAL View citations (8)
    See also Journal Article ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (10) (2015)
30. Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms
    Working Papers, Center for Research in Economics and Statistics View citations (2)
31. General Intensity Shapes in Optimal Liquidation
    Post-Print, HAL View citations (6)
    See also Journal Article GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION, Mathematical Finance, Wiley Blackwell (2015) View citations (31) (2015)
32. Optimal execution and block trade pricing: a general framework
    Post-Print, HAL View citations (3)
    See also Journal Article Optimal Execution and Block Trade Pricing: A General Framework, Applied Mathematical Finance, Taylor & Francis Journals (2015) View citations (3) (2015)
33. Option pricing and hedging with execution costs and market impact
    Post-Print, HAL View citations (5)
    See also Journal Article OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT, Mathematical Finance, Wiley Blackwell (2017) View citations (17) (2017)

2014

34. Execution and block trade pricing with optimal constant rate of participation
    Post-Print, HAL View citations (1)
35. VWAP execution and guaranteed VWAP
    Post-Print, HAL View citations (6)

2013

36. Dealing with the Inventory Risk. A solution to the market making problem
    Post-Print, HAL View citations (93)
37. Tournament-induced risk-shifting: A mean field games approach
    Post-Print, HAL

2012

38. Ecological intuition versus economic "reason"
    PSE-Ecole d'économie de Paris (Postprint), HAL View citations (7)
    Also in PSE Working Papers, HAL (2009)
    Working Papers, HAL (2009)
    Post-Print, HAL (2012) View citations (6)
    See also Journal Article Ecological Intuition versus Economic “Reason”, Journal of Public Economic Theory, Association for Public Economic Theory (2012) View citations (8) (2012)
39. Optimal Portfolio Liquidation with Limit Orders
    Post-Print, HAL View citations (63)

2011

40. Mean Field Games and Applications
    Post-Print, HAL View citations (55)

2010

41. Mean Field Games and Oil Production
    Post-Print, HAL View citations (13)

Journal Articles

2024

1. Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions
   Digital Finance, 2024, 6, (2), 225-247 View citations (1)
   See also Working Paper Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions, Working Papers (2023) View citations (1) (2023)
2. Risk Budgeting portfolios: Existence and computation
   Mathematical Finance, 2024, 34, (3), 896-924 View citations (2)
   See also Working Paper Risk Budgeting portfolios: Existence and computation, Post-Print (2023) View citations (1) (2023)

2023

3. Algorithmic market making in dealer markets with hedging and market impact
   Mathematical Finance, 2023, 33, (1), 41-79 View citations (13)
   See also Working Paper Algorithmic market making in dealer markets with hedging and market impact, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2022) View citations (1) (2022)

2021

4. Algorithmic market making for options
   Quantitative Finance, 2021, 21, (1), 85-97 View citations (7)
   See also Working Paper Algorithmic market making for options, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2021) View citations (7) (2021)
5. Closed-form Approximations in Multi-asset Market Making
   Applied Mathematical Finance, 2021, 28, (2), 101-142 View citations (13)
   See also Working Paper Closed-form Approximations in Multi-asset Market Making, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2021) View citations (12) (2021)
6. Size matters for OTC market makers: General results and dimensionality reduction techniques
   Mathematical Finance, 2021, 31, (1), 279-322 View citations (11)
   See also Working Paper Size matters for OTC market makers: General results and dimensionality reduction techniques, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2021) View citations (10) (2021)

2020

7. Accelerated share repurchase and other buyback programs: what neural networks can bring
   Quantitative Finance, 2020, 20, (8), 1389-1404 View citations (6)
   See also Working Paper Accelerated Share Repurchase and other buyback programs: what neural networks can bring, Working Papers (2020) View citations (4) (2020)

2019

8. Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality
   Applied Mathematical Finance, 2019, 26, (5), 387-452 View citations (35)
   See also Working Paper Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality, Post-Print (2019) View citations (25) (2019)

2017

9. OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
   Mathematical Finance, 2017, 27, (3), 803-831 View citations (17)
   See also Working Paper Option pricing and hedging with execution costs and market impact, Post-Print (2015) View citations (5) (2015)
10. Optimal market making
    Applied Mathematical Finance, 2017, 24, (2), 112-154 View citations (4)
    See also Working Paper Optimal market making, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2017) View citations (11) (2017)

2015

11. ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (03), 1-31 View citations (10)
    See also Working Paper Accelerated Share Repurchase: pricing and execution strategy, Post-Print (2015) View citations (8) (2015)
12. GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
    Mathematical Finance, 2015, 25, (3), 457-495 View citations (31)
    See also Working Paper General Intensity Shapes in Optimal Liquidation, Post-Print (2015) View citations (6) (2015)
13. Optimal Execution and Block Trade Pricing: A General Framework
    Applied Mathematical Finance, 2015, 22, (4), 336-365 View citations (3)
    See also Working Paper Optimal execution and block trade pricing: a general framework, Post-Print (2015) View citations (3) (2015)

2012

14. Ecological Intuition versus Economic “Reason”
    Journal of Public Economic Theory, 2012, 14, (2), 245-272 View citations (8)
    See also Working Paper Ecological intuition versus economic "reason", PSE-Ecole d'économie de Paris (Postprint) (2012) View citations (7) (2012)