The Financial Mathematics of Market Liquidity
From Optimal Execution to Market Making
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ISBN-13:
9781498725477
Veröffentl:
2016
Erscheinungsdatum:
01.04.2016
Seiten:
302
Autor:
Olivier Gueant
Gewicht:
582 g
Format:
241x165x22 mm
Sprache:
Deutsch
Beschreibung:
This book is devoted to mathematical models for execution problems in finance. The book presents a general framework-inspired by the Almgren-Chriss approach-for optimal execution problems and demonstrates its use across a wide range of areas. The book covers applications to the different types of execution proposed within the brokerage industry. It also presents applications to block trade pricing, option pricing and hedging, and the management of complex buy-back contracts.
Introduction. Optimal Liquidation. Liquidity in Pricing Models. Market Making.
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