We propose a framework for studying optimal market-making policies in a limit order book
(LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov …

We propose a framework to study optimal trading policies in a one‐tick pro rata limit order
book, as typically arises in short‐term interest rate futures contracts. The high‐frequency …

In this paper, we study the optimal investment problem of an insurer whose surplus process
follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in …

In this thesis three distinct trading scenarios are considered and stochastic optimal control
models are proposed to derive the optimal strategy the agent/firm should follow. First, we …

The thesis consists of three parts. The first part studies the Glosten-Milgrom model [25]
where the risky asset value admits an arbitrary discrete distribution. In contrast to existing …

This thesis introduces a selection of models for optimal execution of financial assets at the
tactical level. As opposed to optimal scheduling, which defines a trading schedule for the …

We propose a quantitative approach to some high frequency trading problematics. We are
interested in several aspects of this field, from minimizing indirect trading costs to market …

In this thesis we investigate some properties of market making and statistical arbitrage
applied to High Frequency Trading (HFT). Using the Hamilton-Jacobi-Bellman (HJB) model …

This study analyzes the asset allocations of simple international portfolios that include
domestic risky assets, foreign risky assets, and domestic risk-free bonds, through a …