Abstract
We shall present a framework to design most of the execution strategies proposed by brokers. This framework permits to consider nonlinear permanent market impact and temporary market impact of any form. We shall consider POV orders, IS orders and VWAP orders. In addition to optimal strategies, we shall consider pricing issues. In particular we shall present the pricing of a block trade. The mathematical tools used will mainly be Hamiltonian systems and viscosity solutions of Hamilton Jacobi equations.
[PDF] Slides of the presentation.