no code implementations • 13 Jul 2023 • Guillermo Alonso Alvarez, Sergey Nadtochiy
In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry.
no code implementations • 11 Apr 2022 • Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model.
no code implementations • 12 Feb 2021 • Jean-François Chassagneux, Sergey Nadtochiy, Adrien Richou
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property.
Probability
no code implementations • 7 Jan 2020 • Sergey Nadtochiy
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market.
no code implementations • 4 Oct 2019 • Ibrahim Ekren, Sergey Nadtochiy
In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact.