The Financial Mathematics of Market Liquidity (PDF)
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Olivier Gueant is Professor of Quantitative Finance at Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE), where he teaches many aspects of financial mathematics-from classical asset pricing to advanced option pricing theory, to new topics about execution, market making, and high-frequency trading. Before joining ENSAE, Olivier was Associate Professor of Applied Mathematics at Universite Paris-Diderot, where he taught applied mathematics and financial mathematics to both undergraduate and graduate students. He joined Universite Paris-Diderot after finishing his PhD on mean field games, under the supervision of Pierre-Louis Lions.
He progressively moved to Quantitative Finance through the publication of research papers on optimal execution and market making. Olivier is also a renowned scientific and strategy consultant, who has taken on projects for many hedge funds, brokerage companies, and investment banks, including Credit Agricole, Kepler-Cheuvreux, BNP Paribas, and HSBC. His main current research interests include optimal execution, market making, and the use of big data methods in Finance.
- Autor: Olivier Gueant
- 2016, 302 Seiten, Englisch
- Verlag: Taylor & Francis
- ISBN-10: 1498725481
- ISBN-13: 9781498725484
- Erscheinungsdatum: 30.03.2016
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- Dateiformat: PDF
- Größe: 12 MB
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