Stock image for illustration purposes only - book cover, edition or condition may vary.
The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
Olivier Gueant
€ 109.68
FREE Delivery in Ireland
Description for The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
Hardback. Series: Chapman & Hall/CRC Financial Mathematics Series. Num Pages: 302 pages, 31 black & white illustrations, 8 black & white tables. BIC Classification: KFFM; PBWH. Category: (G) General (US: Trade); (U) Tertiary Education (US: College). Dimension: 165 x 241 x 22. Weight in Grams: 592.
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss approach-and then demonstrates the use of that framework across a wide range of areas. The book introduces the classical tools of optimal execution and market making, along with their practical use. It also demonstrates how the tools used in the optimal execution literature can be used to solve ... Read more
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss approach-and then demonstrates the use of that framework across a wide range of areas. The book introduces the classical tools of optimal execution and market making, along with their practical use. It also demonstrates how the tools used in the optimal execution literature can be used to solve ... Read more
Product Details
Publisher
Taylor & Francis Inc
Format
Hardback
Publication date
2016
Series
Chapman & Hall/CRC Financial Mathematics Series
Condition
New
Number of Pages
278
Place of Publication
Portland, United States
ISBN
9781498725477
SKU
V9781498725477
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-1
About Olivier Gueant
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 ... Read more
Reviews for The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
This excellent monograph covers the mathematical theory of market microstructure with particular emphasis in models of optimal execution and market making. Gueant's book is a superb introduction to these topics for graduate students in mathematical finance or quants who want to work in execution algorithms or market-making strategies. -Jose A. Scheinkman, Charles and Lynn Zhang Professor of Economics, ... Read more