The Financial Mathematics Of Market Liquidity

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The Financial Mathematics of Market Liquidity

Author	: Olivier Gueant
Publisher	: CRC Press
Total Pages	: 302
Release	: 2016-03-30
ISBN-10	: 9781498725484
ISBN-13	: 1498725481
Rating	: 4/5 (481 Downloads)

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Book Synopsis The Financial Mathematics of Market Liquidity by : Olivier Gueant

Download or read book The Financial Mathematics of Market Liquidity written by Olivier Gueant and published by CRC Press. This book was released on 2016-03-30 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 app

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Language: en
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The Financial Mathematics of Market Liquidity

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The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but als