Related papers: An approximate solution for options market-making …
In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dimensional…
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
We consider high-dimensional asset price models that are reduced in their dimension in order to reduce the complexity of the problem or the effect of the curse of dimensionality in the context of option pricing. We apply model order…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
In planning problems, it is often challenging to fully model the desired specifications. In particular, in human-robot interaction, such difficulty may arise due to human's preferences that are either private or complex to model.…
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
Finding a \emph{single} best solution is the most common objective in combinatorial optimization problems. However, such a single solution may not be applicable to real-world problems as objective functions and constraints are only…
We consider the following two deterministic inventory optimization problems over a finite planning horizon $T$ with non-stationary demands. (a) Submodular Joint Replenishment Problem: This involves multiple item types and a single retailer…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
Given facilities with capacities and clients with penalties and demands, the transportation problem with market choice consists in finding the minimum-cost way to partition the clients into unserved clients, paying the penalties, and into…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…
We formalize the problem of selecting the optimal set of options for planning as that of computing the smallest set of options so that planning converges in less than a given maximum of value-iteration passes. We first show that the problem…
We study a two-dimensional generalization of the classical Bin Packing problem, denoted as 2D Demand Bin Packing. In this context, each bin is a horizontal timeline, and rectangular tasks (representing electric appliances or computational…
In this paper, we present long-awaited algorithmic advances toward the efficient construction of near-optimal replenishment policies for a true inventory management classic, the economic warehouse lot scheduling problem. While this paradigm…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
Algorithmic pricing is the computational problem that sellers (e.g., in supermarkets) face when trying to set prices for their items to maximize their profit in the presence of a known demand. Guruswami et al. (2005) propose this problem…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
We consider several combinatorial optimization problems which combine the classic shop scheduling problems, namely open shop scheduling or job shop scheduling, and the shortest path problem. The objective of the obtained problem is to…
Market making is one of the most important aspects of algorithmic trading, and it has been studied quite extensively from a theoretical point of view. The practical implementation of so-called "optimal strategies" however suffers from the…