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. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems inspired from the Almgren-Chriss approach and then demonstrates the use of that framework across a wide range of areas.
The book introduces the classical tools of optimal execution and market making, along with their practical use. It also demonstrates how the...