Wednesday, November 30, 2022 - 15:00 in V10-122
Optimal market making in OTC markets: from optimal control on graphs to applications to FX
A talk in the Mathematical finance / Insurance mathematics series by
Olivier Guéant from Université Paris 1
| Abstract: |
The goal of this talk is to summarize the progress made over the last decade in the field of optimal market making modelling and to discuss new (open) problems. The talk will go through theoretical results about optimal control on graphs, closed-form approximations of solutions of Hamilton-Jacobi equations, and of course real world applications (to the foreign exchange markets).
Within the CRC this talk is associated to the project(s): C4 |
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