The Financial Mathematics of Market Liquidity : From Optimal Execution to Market Making
The Financial Mathematics of Market Liquidity : From Optimal Execution to Market Making
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市场流动性的金融数学：从最优执行到做市
DOI：
10.1201/b21350
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
Olivier Guéant
中科院分区：
文献类型：
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作者：
Olivier Guéant
这本书是第一本提出最常用的数学模型来解决最优执行问题和市场决策问题的金融。市场流动性的金融数学：从最优执行到做市提出了一个最优执行问题的一般建模框架，灵感来自Almande-Chriss方法，然后演示了该框架在广泛领域的使用。这本书介绍了最佳执行和做市的经典工具，沿着他们的实际用途。它还演示了如何在最佳执行文献中使用的工具，可以用来解决经典和新的问题，会计流动性是很重要的。特别是，它提出了关于大宗交易定价，流动性问题时期权定价和对冲以及复杂股票回购合同管理的前沿研究。本书与其他书的不同之处在于，它关注的是一些在论述市场微观结构的书籍中很少或只是简要论述的特定主题。它在数学建模方面远远超出了现有的书籍，弥合了最佳执行与定量金融其他领域之间的差距。这本书包括两个附录致力于整个书中使用的数学概念。附录A回顾了数理经济学的经典概念。附录B回顾了凸分析和优化的经典工具，沿着有变分法的中心思想和结果。这本自成一体的书是访问任何人在数学分析，动态优化和随机微积分的最低背景。涵盖后电子化的金融市场和定价的流动性问题，这本书是一个理想的资源，以帮助投资银行和资产管理公司优化交易策略，提高整体风险管理。
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 classical and new issues where accounting for liquidity is important. In particular, it presents cutting-edge research on the pricing of block trades, the pricing and hedging of options when liquidity matters, and the management of complex share buy-back contracts. What sets this book apart from others is that it focuses on specific topics that are rarely, or only briefly, tackled in books dealing with market microstructure. It goes far beyond existing books in terms of mathematical modeling–bridging the gap between optimal execution and other fields of Quantitative Finance. The book includes two appendices dedicated to the mathematical notions used throughout the book. Appendix A recalls classical concepts of mathematical economics. Appendix B recalls classical tools of convex analysis and optimization, along with central ideas and results of the calculus of variations. This self-contained book is accessible to anyone with a minimal background in mathematical analysis, dynamic optimization, and stochastic calculus. Covering post-electronification financial markets and liquidity issues for pricing, this book is an ideal resource to help investment banks and asset managers optimize trading strategies and improve overall risk management.