This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss approach) for optimal execution problems, and then to use it in 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, to portfolio management and to option pricing.
Author: Olivier Gueant
Publisher: Taylor & Francis
Publish Date: 2016-03-15
Edition: 1
ISBN: 1498725473
ISBN 13: 9781498725477
Dimension: Length: 6.1401452 inches, Width: 0.87 inches, Height: 9.2098241 inches
Weight: Weight: 1.5873282864 pounds
Binding: Hardcover
Pages: 250
This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss approach) for optimal execution problems, and then to use it in 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, to portfolio management and to option pricing.
Author: Olivier Gueant
Publisher: Taylor & Francis
Publish Date: 2016-03-15
Edition: 1
ISBN: 1498725473
ISBN 13: 9781498725477
Dimension: Length: 6.1401452 inches, Width: 0.87 inches, Height: 9.2098241 inches
Weight: Weight: 1.5873282864 pounds
Binding: Hardcover
Pages: 250