IDEAS home Printed from https://ideas.repec.org/f/pgu842.html
   My authors  Follow this author

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," 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," Working Papers hal-04577060, HAL.
  4. 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.
  5. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2024. "Algorithmic Market Making in Spot Precious Metals," Working Papers hal-04577061, HAL.
  6. Adil Rengim Cetingoz & Olivier Guéant, 2024. "Factor Risk Budgeting and Beyond," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04577062, HAL.
  7. Joaquin Fernandez-Tapia & Olivier Guéant, 2024. "Recipes for hedging exotics with illiquid vanillas," Working Papers hal-04590240, HAL.
  8. Adil Rengim Cetingoz & Jean‐david Fermanian & Olivier Guéant, 2023. "Risk Budgeting portfolios: Existence and computation," Post-Print hal-04590268, HAL.
  9. Olivier Guéant, 2023. "Reinforcement Learning for Algorithmic Trading," Post-Print hal-04590393, HAL.
  10. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Guéant, 2023. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Working Papers hal-03941578, HAL.
  11. 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.
  12. 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.
  13. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Guéant, 2022. "Stochastic Algorithms for Advanced Risk Budgeting," Working Papers hal-03857964, HAL.
  14. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control," Working Papers hal-03885154, HAL.
  15. 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.
  16. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Algorithmic market making in dealer markets with hedging and market impact," Working Papers hal-03857976, HAL.
  17. 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.
  18. Olivier Guéant, 2022. "Computational methods for market making algorithms," Post-Print hal-04590381, HAL.
  19. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Dealing with multi-currency inventory risk in FX cash markets," Working Papers hal-03857966, HAL.
  20. 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.
  21. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control," Working Papers hal-03857971, HAL.
  22. 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.
  23. 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.
  24. Bastien Baldacci & Philippe Bergault & Olivier Guéant, 2021. "Algorithmic market making for options," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252585, HAL.
  25. Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, HAL.
  26. Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Working Papers hal-02987889, HAL.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. Olivier Guéant, 2017. "Optimal execution of accelerated share repurchase contracts with fixed notional," Post-Print hal-04590217, HAL.
  36. Olivier Guéant, 2017. "Optimal market making," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02862554, HAL.
  37. 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 hal-01393134, HAL.
  38. 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.
  39. Olivier Guéant, 2016. "Optimal market making," Working Papers hal-01393135, HAL.
  40. Olivier Guéant, 2016. "Optimal execution of ASR contracts with fixed notional," Working Papers hal-01393129, HAL.
  41. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  42. Olivier Guéant, 2015. "Optimal execution and block trade pricing: a general framework," Post-Print hal-01393118, HAL.
  43. Olivier Guéant, 2015. "General Intensity Shapes in Optimal Liquidation," Post-Print hal-01393116, HAL.
  44. Olivier Guéant & Jiang Pu & Royer Guillaume, 2015. "Accelerated Share Repurchase: pricing and execution strategy," Post-Print hal-01393126, HAL.
  45. Olivier Guéant & Jean-Michel Lasry & Jiang Pu, 2015. "A convex duality method for optimal liquidation with participation constraints," Post-Print hal-01393127, HAL.
  46. 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.
  47. Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
  48. Olivier Guéant & Royer Guillaume, 2014. "VWAP execution and guaranteed VWAP," Post-Print hal-01393121, HAL.
  49. Olivier Guéant, 2014. "Execution and block trade pricing with optimal constant rate of participation," Post-Print hal-01393120, HAL.
  50. 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.
  51. Olivier Guéant, 2013. "Tournament-induced risk-shifting: A mean field games approach," Post-Print hal-01393096, HAL.
  52. Olivier Guéant & Roger Guesnerie & Jean-Michel Lasry, 2012. "Ecological intuition versus economic "reason"," Post-Print halshs-00754612, HAL.
  53. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
  54. Olivier Guéant & Pierre Louis Lions & Jean-Michel Lasry, 2011. "Mean Field Games and Applications," Post-Print hal-01393103, HAL.
  55. 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

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 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 (1) 2020-11-23
  4. NEP-CTA: Contract Theory and Applications (1) 2020-11-23

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Olivier Gueant
(Olivier Gueant) should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.