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Optimal Execution and Liquidation in Finance
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Type: BOOK - Published: 2016-03-15 - Publisher: Chapman and Hall/CRC

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This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss
The Financial Mathematics of Market Liquidity
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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. Th
An Optimal Execution Problem in Finance with Acquisition and Liquidation Objectives
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Algorithmic and High-Frequency Trading
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The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorit
Optimal Deleveraging and Liquidation of Financial Portfolios with Market Impact
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