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In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset.
Optimal dealer pricing under transactions and return uncertainty
Thomas Ho and Hans R Stoll · 1981
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Liquidity and market structure
Sanford J Grossman and Merton H Miller · 1988
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A closed-form solution for options with stochastic volatility with applications to bond and currency options
Steven L Heston · 1993
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Smile dynamics II. Available at SSRN 1493302
Lorenzo Bergomi · 2005
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Applied stochastic control of jump diffusions
Bernt Øksendal and Agnes Sulem · 2007
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High-frequency trading in a limit order book
Marco Avellaneda and Sasha Stoikov · 2008
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Option market making under inventory risk
Sasha Stoikov and Mehmet Sağlam · 2009
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The volatility surface: a practitioner’s guide
Jim Gatheral · 2011
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Dealing with the inventory risk: a solution to the market making problem
Olivier Guéant, Charles-Albert Lehalle, and Joaquin Fernandez-Tapia · 2013
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Optimal high-frequency trading with limit and market orders
Fabien Guilbaud and Huyên Pham · 2013
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Álvaro Cartea, Sebastian Jaimungal, and José Penalva · 2015
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Sofiene El Aoud and Frédéric Abergel · 2015
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The Financial Mathematics of Market Liquidity: From optimal execution to market making
Olivier Guéant · 2016
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Algorithmic trading with model uncertainty
Álvaro Cartea, Ryan Donnelly, and Sebastian Jaimungal · 2017
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Optimal market making
Olivier Guéant · 2017
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Philippe Bergault and Olivier Guéant · 2019
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Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
Olivier Guéant and Iuliia Manziuk · 2019
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High-frequency trading: Statistical analysis, modelling and regulation
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General intensity shapes in optimal liquidation
Olivier Guéant and Charles-Albert Lehalle · 2015
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Optimal high-frequency trading in a pro-rata microstructure with predictive information
Fabien Guilbaud and Huyên Pham · 2015
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Pamela Saliba · 2019
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Optimal control and machine learning in finance: contributions to the literature on optimal execution, market making, and exotic options
Iuliia Manziuk · 2020
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