Alexander Barzykin

CLICK HERE TO DOWNLOAD THE PDF In foreign exchange cash markets, market makers provide liquidity to clients for a wide variety of currency pairs. Because of flow uncertainty and market volatility, they face inventory risk. To mitigate this risk, they typically skew their prices to attract or divert the flow and trade with their peers on the dealer-to-dealer segment of the market for hedging purposes. Alexander Barzykin, Philippe Bergault and Olivier Guéant offer a mathematical framework to

CLICK HERE TO DOWNLOAD THE PDF Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (internalisation), or trade with other dealers in the open market to hedge their position and reduce their inventory (externalisation). Alexander Barzykin, Philippe Bergault and Olivier Guéant propose an optimal control framework for market-making that tackles both pricing and hedging, thus

Algorithmic execution strategies could satisfy increasing demand for intelligent trading solutions with full transaction cost analysis capabilities, says HSBC. The right provider should be able to deliver access to liquidity and client-driven solutions that span the foreign exchange markets. KEY POINTS New regulations have led to a growing demand for risk management solutions that can enhance transparency.