Ivan Guo

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Calibration of local‐stochastic volatility models by optimal transport	2023-09-28	Paper
Simultaneous upper and lower bounds of American option prices with hedging via neural networks	2023-02-23	Paper
VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH	2022-09-22	Paper
Portfolio optimization with a prescribed terminal wealth distribution	2022-04-05	Paper
Robust utility maximization under model uncertainty via a penalization approach	2022-04-01	Paper
Joint Modeling and Calibration of SPX and VIX by Optimal Transport	2022-01-10	Paper
Path dependent optimal transport and model calibration on exotic derivatives	2021-11-04	Paper
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula	2021-06-28	Paper
Deep Semi-Martingale Optimal Transport	2021-03-05	Paper
On the nonexistence of pseudo-generalized quadrangles	2020-09-15	Paper
On Dynkin Games with Unordered Payoff Processes	2020-08-16	Paper
2017 MATRIX annals	2019-07-02	Paper
Optimal execution with regime-switching market resilience	2019-03-27	Paper
2017 MATRIX annals	2019-01-10	Paper
Pricing bounds for volatility derivatives via duality and least squares Monte Carlo	2018-11-27	Paper
Equal risk pricing under convex trading constraints	2018-08-09	Paper
PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES	2018-03-29	Paper
Arbitrage-free pricing of multi-person game claims in discrete time	2017-01-12	Paper
Discrete time stochastic multi-player competitive games with affine payoffs	2015-12-08	Paper
Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs	2015-10-21	Paper
Effective and simple VWAP options pricing model	2014-11-12	Paper
A zero-sum competitive multi-player game	2013-01-03	Paper
The 52nd International Mathematical Olympiad	2012-09-07	Paper
Puzzle Corner	2012-09-07	Paper

Research outcomes over time

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