The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
Language: English
Published by Taylor & Francis Inc, 2016
Series: Book 29 of 71 - Chapman and Hall/CRC Financial Mathematics
- First Edition
- Hardcover
- New
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- Title
- The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
- Author
- Olivier Gueant
- Publisher
- Taylor & Francis Inc
- Publication year
- 2016
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 1498725473
- ISBN 13
- 9781498725477
- Edition
- 1st Edition
- Series
- Book 29 of 71: Chapman and Hall/CRC Financial Mathematics
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 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. 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. 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 complex share buy-back contracts.
What sets this book apart from others is that it focuses on specific topics that are rarely, or only briefly, tackled in books dealing with market microstructure. It goes far beyond existing books in terms of mathematical modeling–bridging the gap between optimal execution and other fields of Quantitative Finance.
The book includes two appendices dedicated to the mathematical notions used throughout the book. Appendix A recalls classical concepts of mathematical economics. Appendix B recalls classical tools of convex analysis and optimization, along with central ideas and results of the calculus of variations.
This self-contained book is accessible to anyone with a minimal background in mathematical analysis, dynamic optimization, and stochastic calculus. Covering post-electronification financial markets and liquidity issues for pricing, this book is an ideal resource to help investment banks and asset managers optimize trading strategies and improve overall risk management.
"Synopsis" may belong to another edition of this title.
About the Author
Olivier Guéant is Professor of Quantitative Finance at Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE), where he teaches many aspects of financial mathematics―from classical asset pricing to advanced option pricing theory, to new topics about execution, market making, and high-frequency trading. Before joining ENSAE, Olivier was Associate Professor of Applied Mathematics at Université Paris-Diderot, where he taught applied mathematics and financial mathematics to both undergraduate and graduate students. He joined Université Paris-Diderot after finishing his PhD on mean field games, under the supervision of Pierre-Louis Lions.
He progressively moved to Quantitative Finance through the publication of research papers on optimal execution and market making. Olivier is also a renowned scientific and strategy consultant, who has taken on projects for many hedge funds, brokerage companies, and investment banks, including Credit Agricole, Kepler-Cheuvreux, BNP Paribas, and HSBC. His main current research interests include optimal execution, market making, and the use of big data methods in Finance.
"About the title" may belong to another edition of this title.
Kennys Bookshop and Art Galleries Ltd.
Galway, GY, Ireland
AbeBooks seller since February 27, 2001
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