Articles by Philippe Bergault
Optimal quoting under adverse selection and price reading
A market-making model is introduced to account for significant real-world effects
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
Pricing share buy-backs: an alternative to optimal control
A new method applies optimised heuristic strategies to maximise share buy-back contracts’ value
Dealing with multi-currency inventory risk in FX cash markets
A market-making model that considers correlation, transaction costs and market impact is presented
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented