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Olivier Guéant
(Olivier Gueant)

Personal Details

First Name:Olivier
Middle Name:
Last Name:Gueant
Suffix:
RePEc Short-ID:pgu842
[This author has chosen not to make the email address public]
http://www.oliviergueant.com

Affiliation

Centre d'Économie de la Sorbonne
Université Paris 1 (Panthéon-Sorbonne)

Paris, France
https://centredeconomiesorbonne.cnrs.fr/
RePEc:edi:cenp1fr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2024. "Algorithmic Market Making in Spot Precious Metals," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04577061, HAL.
  2. Adil Rengim Cetingoz & Olivier Guéant, 2024. "Factor Risk Budgeting and Beyond," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04577062, HAL.
  3. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant & Julien Guilbert, 2024. "Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04577060, HAL.
  4. Joaquin Fernandez-Tapia & Olivier Guéant, 2024. "Recipes for hedging exotics with illiquid vanillas," Working Papers hal-04590240, HAL.
  5. Olivier Guéant, 2023. "Reinforcement Learning for Algorithmic Trading," Post-Print hal-04590393, HAL.
  6. Adil Rengim Cetingoz & Jean‐david Fermanian & Olivier Guéant, 2023. "Risk Budgeting portfolios: Existence and computation," Post-Print hal-04590268, HAL.
  7. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant, 2023. "Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions," Post-Print hal-04590275, HAL.
  8. Olivier Guéant, 2022. "Computational methods for market making algorithms," Post-Print hal-04590381, HAL.
  9. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Guéant, 2022. "Stochastic Algorithms for Advanced Risk Budgeting," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03857964, HAL.
  10. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Dealing with multi-currency inventory risk in FX cash markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03857966, HAL.
  11. Philippe Bergault & Fayçal Drissi & Olivier Guéant, 2022. "Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03680071, HAL.
  12. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "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-03857971, HAL.
  13. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Algorithmic market making in dealer markets with hedging and market impact," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03857976, HAL.
  14. Bastien Baldacci & Philippe Bergault & Olivier Guéant, 2021. "Algorithmic market making for options," Post-Print hal-03885125, HAL.
  15. Philippe Bergault & Olivier Guéant & David Evangelista & Douglas Vieira, 2021. "Closed-form Approximations in Multi-asset Market Making," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03680074, HAL.
  16. Bastien Baldacci & Philippe Bergault & Olivier Guéant, 2021. "Algorithmic market making for options," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252585, HAL.
  17. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987889, HAL.
  18. Olivier Guéant & Iuliia Manziuk, 2020. "Optimal control on graphs: existence, uniqueness, and long-term behavior," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252606, HAL.
  19. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987894, HAL.
  20. Alexis Bismuth & Olivier Guéant & Jiang Pu, 2019. "Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252482, HAL.
  21. Olivier Guéant & Iuliia Manziuk, 2019. "Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252505, HAL.
  22. Olivier Guéant & Jiang Pu, 2018. "Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02862823, HAL.
  23. Olivier Guéant, 2018. "Expected Shortfall and optimal hedging payoff [Expected Shortfall et payoff optimal de couverture]," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02862839, HAL.
  24. Olivier Guéant, 2017. "Optimal market making," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02862554, HAL.
  25. Olivier Guéant, 2017. "Optimal execution of accelerated share repurchase contracts with fixed notional," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02862765, HAL.
  26. Jean-David Fermanian & Olivier Guéant & Jiang Pu, 2016. "The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms," Working Papers 2016-34, Center for Research in Economics and Statistics.
  27. Olivier Guéant, 2016. "Optimal execution of ASR contracts with fixed notional," Working Papers hal-01393129, HAL.
  28. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  29. Olivier Guéant, 2015. "General Intensity Shapes in Optimal Liquidation," Post-Print hal-01393116, HAL.
  30. Olivier Guéant, 2015. "Optimal execution and block trade pricing: a general framework," Post-Print hal-01393118, HAL.
  31. Olivier Guéant & Jiang Pu & Royer Guillaume, 2015. "Accelerated Share Repurchase: pricing and execution strategy," Post-Print hal-01393126, HAL.
  32. Olivier Guéant & Jean-Michel Lasry & Jiang Pu, 2015. "A convex duality method for optimal liquidation with participation constraints," Post-Print hal-01393127, HAL.
  33. Jean-David Fermanian & Olivier Guéant & Arnaud Rachez, 2015. "Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms," Working Papers 2015-11, Center for Research in Economics and Statistics.
  34. Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
  35. Olivier Guéant & Royer Guillaume, 2014. "VWAP execution and guaranteed VWAP," Post-Print hal-01393121, HAL.
  36. Olivier Guéant, 2014. "Execution and block trade pricing with optimal constant rate of participation," Post-Print hal-01393120, HAL.
  37. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2013. "Dealing with the Inventory Risk. A solution to the market making problem," Post-Print hal-01393110, HAL.
  38. Olivier Guéant, 2013. "Tournament-induced risk-shifting: A mean field games approach," Post-Print hal-01393096, HAL.
  39. Olivier Guéant & Roger Guesnerie & Jean-Michel Lasry, 2012. "Ecological intuition versus economic "reason"," Post-Print halshs-00754612, HAL.
  40. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
  41. Olivier Guéant & Pierre Louis Lions & Jean-Michel Lasry, 2011. "Mean Field Games and Applications," Post-Print hal-01393103, HAL.
  42. Olivier Guéant & Jean-Michel Lasry & Pierre Louis Lions, 2010. "Mean Field Games and Oil Production," Post-Print hal-01393104, HAL.

Articles

  1. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant, 2024. "Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions," Digital Finance, Springer, vol. 6(2), pages 225-247, June.
  2. Adil Rengim Cetingoz & Jean‐David Fermanian & Olivier Guéant, 2024. "Risk Budgeting portfolios: Existence and computation," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 896-924, July.
  3. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023. "Algorithmic market making in dealer markets with hedging and market impact," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.
  4. Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 279-322, January.
  5. Bastien Baldacci & Philippe Bergault & Olivier Guéant, 2021. "Algorithmic market making for options," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 85-97, January.
  6. Philippe Bergault & David Evangelista & Olivier Guéant & Douglas Vieira, 2021. "Closed-form Approximations in Multi-asset Market Making," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(2), pages 101-142, March.
  7. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated share repurchase and other buyback programs: what neural networks can bring," Quantitative Finance, Taylor & Francis Journals, vol. 20(8), pages 1389-1404, August.
  8. Olivier Guéant & Iuliia Manziuk, 2019. "Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 26(5), pages 387-452, September.
  9. Olivier Guéant & Jiang Pu, 2017. "Option Pricing And Hedging With Execution Costs And Market Impact," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 803-831, July.
  10. Olivier Guéant, 2017. "Optimal market making," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(2), pages 112-154, March.
  11. Olivier Guéant, 2015. "Optimal Execution and Block Trade Pricing: A General Framework," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(4), pages 336-365, September.
  12. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
  13. Olivier Guéant & Jiang Pu & Guillaume Royer, 2015. "Accelerated Share Repurchase: Pricing And Execution Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
  14. Olivier Guéant & Roger Guesnerie & Jean‐Michel Lasry, 2012. "Ecological Intuition versus Economic “Reason”," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 14(2), pages 245-272, March.

More information

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ORE: Operations Research (4) 2020-11-23 2020-11-23 2021-06-21 2021-07-12
  2. NEP-BIG: Big Data (2) 2020-11-23 2020-11-23
  3. NEP-CMP: Computational Economics (2) 2020-11-23 2024-07-22
  4. NEP-CTA: Contract Theory and Applications (1) 2020-11-23

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