Rene Carmona

Princeton University - Bendheim Center for Finance

26 Prospect Avenue

Princeton, NJ 08540

United States

SCHOLARLY PAPERS

5

DOWNLOADS

748

SSRN CITATIONS

6

CROSSREF CITATIONS

5

Scholarly Papers (5)

1.

Mean Field Games and Systemic Risk

Number of pages: 23 Posted: 09 Aug 2013
Rene Carmona, Jean-Pierre Fouque and Li-Hsien Sun
Princeton University - Bendheim Center for Finance, University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity and University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity
Downloads 364 (114,405)
Citation 18

Abstract:

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Systemic risk, interbank borrowing and lending, stochastic games, Nash equilibrium, Mean Field Game

2.

The Self-Financing Equation in High Frequency Markets

Number of pages: 39 Posted: 10 Dec 2013
Rene Carmona and Kevin Webster
Princeton University - Bendheim Center for Finance and Independent
Downloads 248 (170,601)
Citation 3

Abstract:

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High Frequency Trading, Self-Financing Condition, Limit Order Book

3.

Optimal Execution with Quadratic Variation Inventories

Number of pages: 26 Posted: 04 May 2021
Rene Carmona and Laura Leal
Princeton University - Bendheim Center for Finance and Princeton University
Downloads 136 (288,256)

Abstract:

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Quantitative Finance, High-Frequency Econometrics, Quadratic Variation, Brownian Motion

4.

A Statistical Analysis of Editorial Influence and Author-Character Similarities in 1990s New Yorker Fiction

Literary and Linguistic Computing, Vol. 22, No. 3, 2007
Posted: 24 Sep 2007
University of Pennsylvania - The Wharton School, Princeton University - Bendheim Center for Finance and English Department

Abstract:

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fiction, content analysis, New Yorker

5.

Generalizing the Black-Scholes Formula to Multivariate Contingent Claims

Journal of Computational Finance, Vol. 9, No. 2, Spring 2006
Posted: 10 May 2006
Rene Carmona and Valdo Durrelman
Princeton University - Bendheim Center for Finance and Stanford University

Abstract:

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Black-Scholes, pricing, hedging, lower bonds, upper bonds, Greeks, basket options, barrier