Mean field games and applications A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ... Paris-Princeton lectures on mathematical finance 2010, 205-266, 2011 | 845 | 2011 |
Dealing with the inventory risk: a solution to the market making problem O Guéant, CA Lehalle, J Fernandez-Tapia Mathematics and financial economics 7, 477-507, 2013 | 255 | 2013 |
The Financial Mathematics of Market Liquidity: From optimal execution to market making O Guéant CRC Press, 2016 | 218 | 2016 |
Optimal portfolio liquidation with limit orders O Guéant, CA Lehalle, J Fernandez-Tapia SIAM Journal on Financial Mathematics 3 (1), 740-764, 2012 | 189 | 2012 |
A reference case for mean field games models O Guéant Journal de mathématiques pures et appliquées 92 (3), 276-294, 2009 | 136 | 2009 |
General intensity shapes in optimal liquidation O Guéant, CA Lehalle Mathematical Finance 25 (3), 457-495, 2015 | 100 | 2015 |
Optimal market making O Guéant Applied Mathematical Finance 24 (2), 112-154, 2017 | 97 | 2017 |
Existence and uniqueness result for mean field games with congestion effect on graphs O Guéant Applied Mathematics & Optimization 72 (2), 291-303, 2015 | 97* | 2015 |
Mean field games equations with quadratic Hamiltonian: a specific approach O Guéant Mathematical Models and Methods in Applied Sciences 22 (09), 1250022, 2012 | 87 | 2012 |
Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality O Guéant, I Manziuk Applied Mathematical Finance 26 (5), 387-452, 2019 | 82 | 2019 |
Mean field games and applications to economics O Guéant PhD Thesis (Univ. Paris-Dauphine, 2009 | 77 | 2009 |
Option pricing and hedging with execution costs and market impact O Guéant, J Pu Mathematical finance 27 (3), 803-831, 2017 | 69 | 2017 |
About the pricing equations in finance A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ... Paris-Princeton Lectures on Mathematical Finance 2010, 63-203, 2011 | 58 | 2011 |
Optimal execution and block trade pricing: a general framework O Guéant Applied Mathematical Finance 22 (4), 336-365, 2015 | 45 | 2015 |
New numerical methods for mean field games with quadratic costs O Guéant Networks and heterogeneous media 7 (2), 315-336, 2012 | 45 | 2012 |
VWAP execution and guaranteed VWAP O Guéant, G Royer SIAM Journal on Financial Mathematics 5 (1), 445-471, 2014 | 41 | 2014 |
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty A Bismuth, O Guéant, J Pu Mathematics and Financial Economics 13, 661-719, 2019 | 37 | 2019 |
Ecological intuition versus economic “reason” O Guéant, R Guesnerie, J Lasry Journal of public economic theory 14 (2), 245-272, 2012 | 35 | 2012 |
Closed-form approximations in multi-asset market making P Bergault, D Evangelista, O Guéant, D Vieira Applied Mathematical Finance 28 (2), 101-142, 2021 | 33 | 2021 |
Optimal real-time bidding strategies J Fernandez-Tapia, O Guéant, JM Lasry Applied mathematics research express 2017 (1), 142-183, 2017 | 32 | 2017 |