The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making by Olivier Gueant (Hardcover, 2016)

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ISBN-13: 9781498725477, 978-1498725477. The book introduces the classical tools of optimal execution and market making, along with their practical use. The Financial Mathematics of Market Liquidity. This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance.