Clément Piat

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

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Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models

Number of pages: 51 Posted: 21 Sep 2016
Damiano Brigo and Clément Piat
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 125 (227,777)
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Abstract:

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Optimal Trade Execution, Optimal Scheduling, Algorithmic Trading, Calculus of Variations, Risk Measures, Value at Risk, Market Impact, Permanent Impact, Temporary Impact, Static Solutions, Adapted Solutions, Dynamic Programming