دانلود کتاب The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making

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Front Cover
Dedication
Contents
Preface
List of Figures
List of Tables
Symbol Description
Part I: Introduction
Chapter 1: General introduction
Chapter 2: Organization of markets
Part II: Optimal Liquidation
Chapter 3: The Almgren-Chriss framework
Chapter 4: Optimal liquidation with different benchmarks
Chapter 5: Extensions of the Almgren-Chriss framework
Chapter 6: Numerical methods
Chapter 7: Beyond Almgren-Chriss
Part III: Liquidity in Pricing Models
Chapter 8: Block trade pricing
Chapter 9: Option pricing and hedging with execution costs and market impact
Chapter 10: Share buy-back
Part IV: Market Making
Chapter 11: Market making models: from Avellaneda-Stoikov to Guéant-Lehalle, and beyond
Mathematical Appendices
Appendix A: Mathematical economics
Appendix B: Convex analysis and variational calculus
Bibliography
Back Cover