Philipp Ustinov

Man Group plc

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 40,834

SSRN RANKINGS

Top 40,834

in Total Papers Downloads

1,642

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Quantifying Long-Term Market Impact

Number of pages: 23 Posted: 01 Jul 2021 Last Revised: 21 Sep 2021
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 1,108 (27,484)

Abstract:

Loading...

Impact costs, slippage, square-root law, implementation shortfall, metaorders, child orders, changepoints, systematic strategies, alpha, trading strategies, optimal execution, stitching, propagator

2.

Strategic Execution Trajectories

Number of pages: 33 Posted: 15 Jul 2021
Man AHL, ETH Zurich, Man AHL and Man Group plc
Downloads 397 (104,066)

Abstract:

Loading...

Block trade, financial markets, market impact, market manipulation, optimal transport, optimal trade execution, optimization, quantitative finance, transactions costs.

3.

A Practical Robust Long Term Yield Curve Model

High Performance Computing in Finance, J Kanniainen, J Keane and E Vynckier, eds. Chapman & Hall CRC Financial Mathematics Series (2015), Forthcoming
Number of pages: 49 Posted: 02 Jul 2015 Last Revised: 26 Jan 2016
University of Cambridge - Centre for Financial Research, University of Cambridge - Centre for Financial Research, Cambridge Systems Associates Limited and Man Group plc
Downloads 137 (286,817)
Citation 1

Abstract:

Loading...

yield curve, Gaussian affine models, Black correction, nonnegative rates, unscented Kalman filter, long term Monte Carlo simulation

4.

Life Cycle Goal Achievement or Portfolio Volatility Reduction?

Posted: 20 May 2019
University of Cambridge - Centre for Financial Research, Alexander Forbes Financial Services (Pty) Ltd, Cambridge Systems Associates Limited, University of Cambridge - Centre for Financial Research and Man Group plc

Abstract:

Loading...

Decision support system, Dynamic stochastic programming, Financial planning, Financial advice, Goals,Life cycle model, Retirement, Sustainable wealth, Risk management