| Publication | Date of Publication | Type |
|---|
Robust reinforcement learning with dynamic distortion risk measures
SIAM Journal on Mathematics of Data Science | 2026-03-05 | Paper |
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs
Quantitative Finance | 2025-01-06 | Paper |
Short communication: the price of information
SIAM Journal on Financial Mathematics | 2024-09-17 | Paper |
Robust Risk-Aware Option Hedging
Applied Mathematical Finance | 2024-04-23 | Paper |
Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
SIAM Journal on Control and Optimization | 2024-03-26 | Paper |
Exploratory Control with Tsallis Entropy for Latent Factor Models
SIAM Journal on Financial Mathematics | 2024-03-22 | Paper |
Reinforcement learning with dynamic convex risk measures
Mathematical Finance | 2024-03-14 | Paper |
Stressing dynamic loss models
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
SIAM Journal on Financial Mathematics | 2024-01-05 | Paper |
Portfolio Optimization within a Wasserstein Ball
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets
Mathematical Finance | 2023-09-28 | Paper |
Deep Q-Learning for Nash Equilibria: Nash-DQN
Applied Mathematical Finance | 2023-02-28 | Paper |
| Mean field regret in discrete time games | 2023-01-17 | Paper |
Optimal trading with signals and stochastic price impact
SIAM Journal on Financial Mathematics | 2022-08-22 | Paper |
Double deep Q-learning for optimal execution
Applied Mathematical Finance | 2022-07-26 | Paper |
Exploratory LQG mean field games with entropy regularization
Automatica | 2022-03-18 | Paper |
Robust risk-aware reinforcement learning
SIAM Journal on Financial Mathematics | 2022-03-18 | Paper |
Latency and liquidity risk
International Journal of Theoretical and Applied Finance | 2022-03-11 | Paper |
Reinforcement learning and stochastic optimisation
Finance and Stochastics | 2022-02-01 | Paper |
Lévy-Ito models in finance
Probability Surveys | 2021-07-05 | Paper |
Hedging nontradable risks with transaction costs and price impact
Mathematical Finance | 2021-03-23 | Paper |
Mean-field games with differing beliefs for algorithmic trading
Mathematical Finance | 2021-03-23 | Paper |
Optimal generation and trading in solar renewable energy certificate (SREC) markets
Applied Mathematical Finance | 2020-10-20 | Paper |
Spoofing and price manipulation in order-driven markets
Applied Mathematical Finance | 2020-10-20 | Paper |
Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems
Systems & Control Letters | 2020-10-07 | Paper |
Trading foreign exchange triplets
SIAM Journal on Financial Mathematics | 2020-09-28 | Paper |
Mixing LSMC and PDE methods to price Bermudan options
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
Hedge and speculate: replicating option payoffs with limit and market orders
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Trading algorithms with learning in latent alpha models
Mathematical Finance | 2019-10-31 | Paper |
Mean-Field Game Strategies for Optimal Execution
Applied Mathematical Finance | 2019-06-18 | Paper |
Trading co-integrated assets with price impact
Mathematical Finance | 2019-05-23 | Paper |
Foreign exchange markets with last look
Mathematics and Financial Economics | 2019-05-08 | Paper |
Foreign exchange markets with last look
Mathematics and Financial Economics | 2019-05-08 | Paper |
Optimal execution with limit and market orders
Quantitative Finance | 2019-02-06 | Paper |
A two-state jump model
Quantitative Finance | 2019-01-14 | Paper |
Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
Applied Mathematical Finance | 2018-12-18 | Paper |
Enhancing trading strategies with order book signals
Applied Mathematical Finance | 2018-12-03 | Paper |
Modelling Asset Prices for Algorithmic and High-Frequency Trading
Applied Mathematical Finance | 2018-09-05 | Paper |
Algorithmic trading, stochastic control, and mutually exciting processes
SIAM Review | 2018-08-14 | Paper |
Trading strategies within the edges of no-arbitrage
International Journal of Theoretical and Applied Finance | 2018-06-07 | Paper |
Optimal accelerated share repurchases
Applied Mathematical Finance | 2018-04-06 | Paper |
Algorithmic trading with model uncertainty
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
| Mean Field Games with Partial Information for Algorithmic Trading | 2018-03-11 | Paper |
Using managerial revenue and cost estimates to value early stage real option investments
Annals of Operations Research | 2018-02-15 | Paper |
Irreversible investments and ambiguity aversion
International Journal of Theoretical and Applied Finance | 2017-11-29 | Paper |
A closed-form execution strategy to target volume weighted average price
SIAM Journal on Financial Mathematics | 2016-11-11 | Paper |
Algorithmic trading of co-integrated assets
International Journal of Theoretical and Applied Finance | 2016-10-24 | Paper |
Incorporating order-flow into optimal execution
Mathematics and Financial Economics | 2016-06-29 | Paper |
Algorithmic trading with learning
International Journal of Theoretical and Applied Finance | 2016-06-22 | Paper |
Model uncertainty in commodity markets
SIAM Journal on Financial Mathematics | 2016-01-21 | Paper |
| Algorithmic and high-frequency trading | 2015-07-17 | Paper |
Risk metrics and fine tuning of high-frequency trading strategies
Mathematical Finance | 2015-07-15 | Paper |
Buy Low, Sell High: A High Frequency Trading Perspective
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
Quantitative Finance | 2014-09-05 | Paper |
Valuing clustering in catastrophe derivatives
Quantitative Finance | 2014-09-05 | Paper |
Valuing early-exercise interest-rate options with multi-factor affine models
International Journal of Theoretical and Applied Finance | 2013-11-15 | Paper |
INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
Mathematical Finance | 2013-02-28 | Paper |
Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Lévy-based cross-commodity models and derivative valuation
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
An insurance risk model with stochastic volatility
Insurance Mathematics & Economics | 2012-02-10 | Paper |
| Randomized First Passage Times | 2009-11-21 | Paper |
Fourier space time-stepping for option pricing with Lévy models
The Journal of Computational Finance | 2009-04-28 | Paper |
Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Applied Mathematical Finance | 2009-03-23 | Paper |
| Integral Equations and the First Passage Time of Brownian Motions | 2009-02-16 | Paper |
ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
International Journal of Theoretical and Applied Finance | 2008-05-28 | Paper |
Pricing equity-linked pure endowments with risky assets that follow Lévy processes
Insurance Mathematics & Economics | 2007-05-24 | Paper |
Catastrophe options with stochastic interest rates and compound Poisson losses
Insurance Mathematics & Economics | 2006-08-14 | Paper |
Phase transition in quantum gravity
(available as arXiv preprint) | 2001-07-03 | Paper |
Wilson loops, Bianchi constraints and duality in abelian lattice models
Nuclear Physics B | 2000-07-12 | Paper |
LOOPS, SURFACES AND GRASSMANN REPRESENTATION IN TWO- AND THREE-DIMENSIONAL ISING MODELS
International Journal of Modern Physics A | 2000-05-01 | Paper |
Theta sectors and thermodynamics of a classical adjoint gas
Nuclear Physics B | 1998-04-01 | Paper |
