| Working Paper |
File Downloads |
Abstract Views |
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3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A convex duality method for optimal liquidation with participation constraints |
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0 |
0 |
0 |
1 |
1 |
1 |
8 |
| Accelerated Share Repurchase and other buyback programs: what neural networks can bring |
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0 |
0 |
10 |
0 |
0 |
1 |
25 |
| Accelerated Share Repurchase and other buyback programs: what neural networks can bring |
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0 |
1 |
3 |
0 |
0 |
5 |
27 |
| Accelerated Share Repurchase: pricing and execution strategy |
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0 |
0 |
0 |
1 |
1 |
3 |
42 |
| Accelerated share repurchase and other buyback programs: what neural networks can bring |
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0 |
0 |
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1 |
7 |
9 |
| Accelerated share repurchase and other buyback programs: what neural networks can bring |
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0 |
0 |
0 |
1 |
1 |
1 |
6 |
| Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms |
1 |
3 |
8 |
41 |
2 |
5 |
13 |
121 |
| Algorithmic Market Making in Spot Precious Metals |
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0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Algorithmic Market Making in Spot Precious Metals |
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0 |
0 |
0 |
1 |
2 |
2 |
2 |
| Algorithmic market making for options |
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0 |
0 |
0 |
0 |
0 |
0 |
8 |
| Algorithmic market making for options |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
12 |
| Algorithmic market making in dealer markets with hedging and market impact |
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0 |
0 |
0 |
0 |
2 |
4 |
5 |
| Algorithmic market making in dealer markets with hedging and market impact |
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0 |
0 |
0 |
0 |
1 |
2 |
3 |
| Algorithmic market making in dealer markets with hedging and market impact |
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0 |
0 |
0 |
0 |
0 |
3 |
6 |
| Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions |
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0 |
0 |
0 |
0 |
1 |
2 |
2 |
| Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions |
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0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Closed-form Approximations in Multi-asset Market Making |
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0 |
0 |
0 |
0 |
0 |
3 |
5 |
| Closed-form Approximations in Multi-asset Market Making |
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0 |
1 |
1 |
0 |
0 |
2 |
2 |
| Computational methods for market making algorithms |
1 |
2 |
2 |
2 |
1 |
3 |
3 |
3 |
| Dealing with multi-currency inventory risk in FX cash markets |
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0 |
0 |
0 |
1 |
4 |
10 |
16 |
| Dealing with multi-currency inventory risk in FX cash markets |
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0 |
0 |
0 |
0 |
0 |
2 |
4 |
| Dealing with the Inventory Risk. A solution to the market making problem |
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0 |
1 |
1 |
1 |
2 |
16 |
162 |
| Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality |
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0 |
0 |
0 |
1 |
1 |
1 |
6 |
| Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality |
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0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Ecological intuition versus economic "reason" |
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0 |
0 |
0 |
0 |
0 |
1 |
5 |
| Ecological intuition versus economic "reason" |
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0 |
0 |
0 |
0 |
0 |
0 |
4 |
| Ecological intuition versus economic "reason" |
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0 |
0 |
7 |
0 |
0 |
0 |
17 |
| Ecological intuition versus economic "reason" |
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0 |
0 |
27 |
0 |
1 |
2 |
75 |
| Execution and block trade pricing with optimal constant rate of participation |
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0 |
0 |
0 |
0 |
0 |
0 |
10 |
| Expected Shortfall and optimal hedging payoff |
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0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Expected Shortfall and optimal hedging payoff |
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0 |
0 |
0 |
0 |
0 |
1 |
4 |
| Factor Risk Budgeting and Beyond |
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0 |
0 |
0 |
0 |
2 |
4 |
4 |
| Factor Risk Budgeting and Beyond |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
| General Intensity Shapes in Optimal Liquidation |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
| Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
| Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
| Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
7 |
| Mean Field Games and Applications |
0 |
0 |
0 |
0 |
0 |
3 |
9 |
89 |
| Mean Field Games and Oil Production |
0 |
0 |
0 |
0 |
2 |
9 |
30 |
255 |
| Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach |
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0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Mid-Price Estimation for European Corporate Bonds: A Particle Filtering Approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
| Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Optimal Portfolio Liquidation with Limit Orders |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
18 |
| Optimal control on graphs: existence, uniqueness, and long-term behavior |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
5 |
| Optimal control on graphs: existence, uniqueness, and long-term behavior |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
3 |
| Optimal execution and block trade pricing: a general framework |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
| Optimal execution of ASR contracts with fixed notional |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
12 |
| Optimal execution of accelerated share repurchase contracts with fixed notional |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
| Optimal execution of accelerated share repurchase contracts with fixed notional |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
| Optimal execution of accelerated share repurchase contracts with fixed notional |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
| Optimal market making |
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1 |
1 |
1 |
3 |
5 |
8 |
32 |
| Optimal market making |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
16 |
| Optimal market making |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
24 |
| Option pricing and hedging with execution costs and market impact |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
12 |
| Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
| Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
| Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
| Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |
| Recipes for hedging exotics with illiquid vanillas |
0 |
0 |
0 |
0 |
2 |
4 |
6 |
6 |
| Reinforcement Learning for Algorithmic Trading |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
4 |
| Risk Budgeting portfolios: Existence and computation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Size matters for OTC market makers: General results and dimensionality reduction techniques |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
7 |
| Size matters for OTC market makers: General results and dimensionality reduction techniques |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
| Size matters for OTC market makers: General results and dimensionality reduction techniques |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
| Size matters for OTC market makers: general results and dimensionality reduction techniques |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
21 |
| Size matters for OTC market makers: general results and dimensionality reduction techniques |
0 |
0 |
0 |
2 |
1 |
1 |
1 |
16 |
| Stochastic Algorithms for Advanced Risk Budgeting |
0 |
0 |
0 |
0 |
3 |
6 |
15 |
18 |
| Stochastic Algorithms for Advanced Risk Budgeting |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
| The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making |
0 |
0 |
0 |
0 |
7 |
24 |
116 |
339 |
| The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
| The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
| The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms |
0 |
0 |
2 |
15 |
0 |
2 |
5 |
66 |
| The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
23 |
| Tournament-induced risk-shifting: A mean field games approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
15 |
| VWAP execution and guaranteed VWAP |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
27 |
| Total Working Papers |
2 |
6 |
16 |
118 |
31 |
103 |
337 |
1,697 |