The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (Chapman and Hall/CRC Financial Mathematics Series) Book PDF, ePub eBook

Join our eBook service for unlimited books & audiobooks. Get a free 7 day subscription! ↓↓↓↓↓


Book Descriptions:

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.

The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (Chapman and Hall/CRC Financial Mathematics Series) by Olivier Gueant

From reader reviews:

Ryan Maggard:

Do you certainly one of people who can't read enjoyable if the sentence chained inside the straightway, hold on guys this particular aren't like that. This The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (Chapman and Hall/CRC Financial Mathematics Series) book is readable by you who hate those straight word style. You will find the facts here are arrange for enjoyable reading through experience without leaving perhaps decrease the knowledge that want to offer to you. The writer involving The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (Chapman and Hall/CRC Financial Mathematics Series) content conveys thinking easily to understand by lots of people. The printed and e-book are not different in the information but it just different by means of it. So , do you even now thinking The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (Chapman and Hall/CRC Financial Mathematics Series) is not loveable to be your top record reading book?

Mary Wines:

Spent a free time and energy to be fun activity to perform! A lot of people spent their spare time with their family, or their own friends. Usually they doing activity like watching television, gonna beach, or picnic in the park. They actually doing same thing every week. Do you feel it? Do you wish to something different to fill your own free time/ holiday? Can be reading a book could be option to fill your cost-free time/ holiday. The first thing that you ask may be what kinds of guide that you should read. If you want to try out look for book, may be the reserve untitled The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (Chapman and Hall/CRC Financial Mathematics Series) can be very good book to read. May be it could be best activity to you.

David Wade:

People live in this new day of lifestyle always try and and must have the extra time or they will get large amount of stress from both day to day life and work. So , if we ask do people have time, we will say absolutely sure. People is human not only a robot. Then we ask again, what kind of activity do you possess when the spare time coming to a person of course your answer can unlimited right. Then do you ever try this one, reading guides. It can be your alternative in spending your spare time, often the book you have read is definitely The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (Chapman and Hall/CRC Financial Mathematics Series).

Tim Vazquez:

You can obtain this The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (Chapman and Hall/CRC Financial Mathematics Series) by go to the bookstore or Mall. Simply viewing or reviewing it might to be your solve difficulty if you get difficulties for the knowledge. Kinds of this reserve are various. Not only through written or printed and also can you enjoy this book through e-book. In the modern era like now, you just looking from your mobile phone and searching what your problem. Right now, choose your current ways to get more information about your e-book. It is most important to arrange yourself to make your knowledge are still update. Let's try to choose right ways for you.