South Kensington Campus
Imperial College
LONDON, SW7 2AZ
United Kingdom
Imperial College London - Department of Mathematics
optimal portfolio liquidation, price impact, propagator models, predictive signals, Volterra stochastic control
Optimal portfolio liquidation, price impact, propagator models, predictive signals, Volterra stochastic control, non-parametric estimation, reinforcement learning, regret analysis
crowding, indexing strategies, price impact, Russell Index
Price impact, term structure models, fixed-income market impact, cross impact, impacted risk-neutral measure, impacted yield curve, optimal execution, impacted bond price, impacted Eurodollar futures price
Crowding, Optimal Portfolio Liquidation, Price Impact, Mean Field Games, Optimal Stochastic Control, Predictive Signals
currency target zone, currency peg, price impact, central bank intervention, singular stochastic control, second-order differential equation with infinite boundary conditions
market making, price impact, market equilibrium, metastability, Kyle's model, market liquidity, market microstructure, neural networks
currency peg, market impact, target zone models, singular stochastic control, local time, Stackelberg equilibrium
price impact, stochastic games, closed-loop Nash equilibrium
