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2016, Chapman & Hall/CRC financial mathematics series, ISBN 9781498725477, xxiii, 278 pages
Book
Mathematical Finance, ISSN 0960-1627, 07/2017, Volume 27, Issue 3, pp. 803 - 831
Journal Article
Comptes Rendus Mathematique, ISSN 1631-073X, 04/2018, Volume 356, Issue 4, pp. 433 - 438
By using variational techniques, we provide an optimal payoff written on a given random variable for hedging – in the sense of minimizing the Expected... 
Journal Article
Applied Mathematical Finance, ISSN 1350-486X, 03/2017, Volume 24, Issue 2, pp. 112 - 154
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face... 
CDX indices | Guéant-Lehalle-Fernandez-Tapia formulas | Market making | Stochastic optimal control | Closed-form approximations | Guéant–Lehalle–Fernandez-Tapia formulas
Journal Article
ESAIM: Control, Optimisation and Calculus of Variations, ISSN 1292-8119, 12/2019
The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework... 
Journal Article
Mathematical Models and Methods in Applied Sciences, ISSN 0218-2025, 09/2012, Volume 22, Issue 9
Mean field games models describing the limit of a large class of stochastic differential games, as the number of players goes to +infinity, have been... 
constructive scheme | Mean field games | numerical methods | MATHEMATICS, APPLIED
Journal Article
Journal de mathématiques pures et appliquées, ISSN 0021-7824, 2009, Volume 92, Issue 3, pp. 276 - 294
In this article, we present a reference case of mean field games. This case can be seen as a reference for two main reasons. First, the case is simple enough... 
Control theory | Partial differential equations | Mean field games | Numerical methods | MATHEMATICS | MATHEMATICS, APPLIED | Analysis of PDEs | Mathematics
Journal Article
Applied Mathematical Finance, ISSN 1350-486X, 07/2015, Volume 22, Issue 4, pp. 336 - 365
In this article, we develop a general framework to study optimal execution and to price block trades. We prove existence of optimal liquidation strategies and... 
Hamilton-Jacobi equations | block trade pricing | viscosity solutions | Optimal execution | Computational Finance | Mathematics | Optimization and Control | Quantitative Finance | Analysis of PDEs
Journal Article
Mathematical Finance, ISSN 0960-1627, 07/2017, Volume 27, Issue 3, pp. 803 - 831
Journal Article
Journal Article
Journal of Risk, ISSN 1465-1211, 06/2017, Volume 19, Issue 5, pp. 77 - 99
Whether it be to take advantage of stock undervaluation or in order to distribute part of their profits to shareholders, firms may buy back their own shares.... 
ASR contracts | Optimal stopping | Stochastic optimal control | Optimal execution | Utility indifference pricing | optimal stopping | stochastic optimal control | BUSINESS, FINANCE | optimal execution | utility indifference pricing
Journal Article
Networks and Heterogeneous Media, ISSN 1556-1801, 06/2012, Volume 7, Issue 2, pp. 315 - 336
Mean field games have been introduced by J.-M. Lasry and P.-L. Lions in [13, 14, 15] as the limit case of stochastic differential games when the number of... 
finite difference methods | numerical methods | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | Mean field games | constructive scheme | Hopf-Cole transformation
Journal Article
Journal of Medical Genetics, ISSN 0022-2593, 01/2015, Volume 52, Issue 1, pp. 61 - 70
Journal Article
Risk and Decision Analysis, ISSN 1569-7371, 2013, Volume 4, Issue 2, pp. 71 - 80
Journal Article
Journal Article
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