I'm implementing the solution with drift from "Dealing with the inventory risk" from Gueant, Lehalle and Tapia. I'm using the link https://arxiv.org/pdf/1105.3115.pdf as reference. I can reproduce the standard solution with no issues, and then reproduce the surfaces in the paper. I'm trying now to implement the solution with drift, which is very similar to the standard solution, with a new component beta being added to the matrix M. However when looking at the answer, I see a plus sign that is c

Dealing with the inventory risk: solution with drift
sandstorm111
