The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making

By:

Gueant, Olivier

Material type: Text

TextSeries: Chapman & Hall/CRC Financial Mathematics SeriesPublication details: CRC Press 2016 Boca RatonDescription: 278pISBN:

9781498725477

Subject(s):

DDC classification:

332.64 GUE

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Holdings
Item type	Current library	Item location	Collection	Call number	Status	Date due	Barcode	Item holds
Book	NIMA Knowledge Centre	9th Floor Reading Zone	General	332.64 GUE (Browse shelf(Opens below))	Checked out	12/02/2025	M0033563

Total holds: 0

Part I: Introduction
1. General introduction
2. Organization of markets

Part II: Optimal Liquidation
3. The Almgren-Chriss framework
4. Optimal liquidation with different benchmarks
5. Extensions of the Almgren-Chriss framework
6. Numerical methods
7. beyond Almgren-Chriss
Part III: Liquidity in Pricing Models
8. Block trade pricing
9. Option pricing and hedging with execution costs and market impact
10. Share buy-back
Part IV: Market Making
11. Market making models: from Avellaneda-Stoikov to Guéant-Lehalle, and beyond

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