Financial Mathematics of Market Liquidity Gueant Olivier
Financial Mathematics of Market Liquidity Gueant Olivier This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making…
Specifikacia Financial Mathematics of Market Liquidity Gueant Olivier
Financial Mathematics of Market Liquidity Gueant Olivier
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. It also demonstrates how the tools used in the optimal execution literature can be used to solve classical and new issues where accounting for liquidity is important. 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 approach-and then demonstrates the use of that framework across a wide range of areas.The book introduces the classical tools of optimal execution and market making, along with their practical use.
In particular, it presents cutting-edge research on the pricing of block trades, the pricing and hedging of options when liquidity matters, and the management of
Financial Market Analysis
Logic of Financial Nationalism