ABSTRACT

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

part 1|2 pages

Part I: Introduction

chapter 1|12 pages

General introduction

chapter 2|22 pages

Organization of markets

part 2|2 pages

Part II: Optimal Liquidation

chapter 3|26 pages

The Almgren-Chriss framework

chapter 5|16 pages

Extensions of the Almgren-Chriss framework

chapter 6|14 pages

Numerical methods

chapter 7|24 pages

Beyond Almgren-Chriss

part 3|2 pages

Part III: Liquidity in Pricing Models

chapter 8|22 pages

Block trade pricing

chapter 10|20 pages

Share buy-back

part 4|2 pages

Part IV: Market Making