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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Olivier Gueant is Professor of Quantitative Finance at Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE), where he teaches many aspects of financial mathematics-from classical asset pricing to advanced option pricing theory, to new topics about execution, market making, and high-frequency trading. Before joining ENSAE, Olivier was Associate Professor of Applied Mathematics at Universite Paris-Diderot, where he taught applied mathematics and financial mathematics to both undergraduate and graduate students. He joined Universite Paris-Diderot after finishing his PhD on mean field games, under the supervision of Pierre-Louis Lions.
He progressively moved to Quantitative Finance through the publication of research papers on optimal execution and market making. Olivier is also a renowned scientific and strategy consultant, who has taken on projects for many hedge funds, brokerage companies, and investment banks, including Credit Agricole, Kepler-Cheuvreux, BNP Paribas, and HSBC. His main current research interests include optimal execution, market making, and the use of big data methods in Finance.