Olivier Guéant

Université Paris-Diderot

Olivier Guéant is Full Professor of Applied Mathematics at Université Paris 1 Panthéon-Sorbonne. Before joining La Sorbonne, he was Associate Professor of Applied Mathematics at Université Paris Diderot and Professor of Quantitative Finance at Ecole Nationale de la Statistique et de l’Administration Economique (ENSAE). Olivier is a former student of Ecole Normale Supérieure (rue d’Ulm). He also graduated from ENSAE in Finance. He holds a PhD in Applied Mathematics from Université Paris Dauphine (supervised by Pierre-Louis Lions) and a master’s degree in economics from Paris School of Economics. He was also a special student and a teaching fellow at Harvard University during his doctoral studies. His main current research interests include optimal execution, market making, and the use of big data methods in finance.

Articles by Olivier Guéant

Cutting Edge

Pricing share buy-backs: an alternative to optimal control

A new method applies optimised heuristic strategies to maximise share buy-back contracts’ value

14 Aug 2024

Risk management

Dealing with multi-currency inventory risk in FX cash markets

A market-making model that considers correlation, transaction costs and market impact is presented

15 Mar 2023

Banking

Market-making by a foreign exchange dealer

An optimal liquidity model for pricing and hedging decisions is presented

10 Aug 2022

Original research

Optimal execution of accelerated share repurchase contracts with fixed notional

This paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.

31 May 2017

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