Olivier Guéant

Publication Activity (10 Years)

Years Active: 2011-2022
Publications (10 Years): 1

Top Topics

Variational Approximation

Execution Environment

Top Venues

SIAM J. Financial Math.

Risk Decis. Anal.

Publications

Philippe Bergault, Fayçal Drissi, Olivier Guéant
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics. SIAM J. Financial Math. 13 (1) (2022)
Olivier Guéant, Guillaume Royer
VWAP Execution and Guaranteed VWAP. SIAM J. Financial Math. 5 (1) (2014)
Olivier Guéant
Tournament-induced risk-shifting: A mean field games approach. Risk Decis. Anal. 4 (2) (2013)
Olivier Guéant
New numerical methods for mean field games with quadratic costs. Networks Heterog. Media 7 (2) (2012)
Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia
Optimal Portfolio Liquidation with Limit Orders. SIAM J. Financial Math. 3 (1) (2012)
Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia
Optimal Portfolio Liquidation with Limit Orders CoRR (2011)