Florent Gallien

Swissquote Bank

Ch. de la Crétaux 33

Gland, Vaud 1196

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

447

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Managing Inventory with Proportional Transaction Costs

Swiss Finance Institute Research Paper No. 16-48
Number of pages: 39 Posted: 03 Jun 2016 Last Revised: 13 Apr 2018
Florent Gallien, Serge Kassibrakis and Semyon Malamud
Swissquote Bank, Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 192 (219,141)
Citation 1

Abstract:

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Inventory Management, Market Making, Transaction Costs

2.

Liquidity Provision in the Foreign Exchange Market

Swiss Finance Institute Research Paper No. 18-56
Number of pages: 83 Posted: 22 Aug 2018 Last Revised: 16 Jan 2019
Swissquote Bank, Swissquote Bank, University of Zurich, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 167 (246,835)
Citation 1

Abstract:

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Liquidity, Foreign Exchange, OTC markets, Price Impact, Market Power

3.

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Swiss Finance Institute Research Paper No. 18-60
Number of pages: 21 Posted: 23 Aug 2018 Last Revised: 07 Sep 2018
Florent Gallien, Serge Kassibrakis and Semyon Malamud
Swissquote Bank, Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 88 (392,161)

Abstract:

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Optimal Portfolio Choice, Transaction Costs, Hedging, Drawdown Constraints