Sebastian Jaimungal

SIAM J. Financial Math., March, 2024

2023

Portfolio Optimization within a Wasserstein Ball.

[BibT_eX]

[DOI]

Silvana M. Pesenti

SIAM J. Financial Math., December, 2023

Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders.

[BibT_eX]

[DOI]

SIAM J. Financial Math., December, 2023

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning.

[BibT_eX]

[DOI]

Anthony Coache

SIAM J. Financial Math., December, 2023

Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning.

[BibT_eX]

[DOI]

Ziteng Cheng

Anthony Coache

CoRR, 2023

Robust Risk-Aware Option Hedging.

[BibT_eX]

[DOI]

David Wu

CoRR, 2023

FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs.

[BibT_eX]

[DOI]

Vedant Choudhary

Maxime Bergeron

CoRR, 2023

Distributional Method for Risk Averse Reinforcement Learning.

[BibT_eX]

[DOI]

Ziteng Cheng

Nick Martin

CoRR, 2023

2022

Optimal Trading with Signals and Stochastic Price Impact.

[BibT_eX]

[DOI]

Jean-Pierre Fouque

Yuri F. Saporito

SIAM J. Financial Math., September, 2022

Robust Risk-Aware Reinforcement Learning.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2022

Exploratory LQG mean field games with entropy regularization.

[BibT_eX]

[DOI]

Autom., 2022

2021

Reinforcement Learning with Dynamic Convex Risk Measures.

[BibT_eX]

[DOI]

Anthony Coache

CoRR, 2021

Deep Learning for Principal-Agent Mean Field Games.

[BibT_eX]

[DOI]

CoRR, 2021

2020

Mixing LSMC and PDE Methods to Price Bermudan Options.

[BibT_eX]

[DOI]

David Farahany

Kenneth R. Jackson

SIAM J. Financial Math., 2020

Trading Foreign Exchange Triplets.

[BibT_eX]

[DOI]

Tianyi Jia

SIAM J. Financial Math., 2020

Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems.

[BibT_eX]

[DOI]

Peter E. Caines

Syst. Control. Lett., 2020

A Mean-Field Game Approach to Equilibrium Pricing, Optimal Generation, and Trading in Solar Renewable Energy Certificate (SREC) Markets.

[BibT_eX]

[DOI]

Arvind Shrivats

CoRR, 2020

2019

Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders.

[BibT_eX]

[DOI]

Luhui Gan

SIAM J. Financial Math., 2019

Deep Q-Learning for Nash Equilibria: Nash-DQN.

[BibT_eX]

[DOI]

Philippe Casgrain

Brian Ning

CoRR, 2019

2018

Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes.

[BibT_eX]

[DOI]

Jason Ricci

SIAM Rev., 2018

Double Deep Q-Learning for Optimal Execution.

[BibT_eX]

[DOI]

Brian Ning

Franco Ho Ting Ling

CoRR, 2018

Mean Field Game Systems with Common Noise and Markovian Latent Processes.

[BibT_eX]

[DOI]

Peter E. Caines

CoRR, 2018

Mean Field Game Systems with Common and Latent Processes.

[BibT_eX]

[DOI]

Peter E. Caines

Proceedings of the 57th IEEE Conference on Decision and Control, 2018

2017

Algorithmic Trading with Model Uncertainty.

[BibT_eX]

[DOI]

Ryan Donnelly

SIAM J. Financial Math., 2017

Using managerial revenue and cost estimates to value early stage real option investments.

[BibT_eX]

[DOI]

Yuri A. Lawryshyn

Ann. Oper. Res., 2017

2016

Model Uncertainty in Commodity Markets.

[BibT_eX]

[DOI]

Zhen Qin

SIAM J. Financial Math., 2016

A Closed-Form Execution Strategy to Target Volume Weighted Average Price.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2016

2014

Buy Low, Sell High: A High Frequency Trading Perspective.

[BibT_eX]

[DOI]

Jason Ricci

SIAM J. Financial Math., 2014

2011

Lévy-Based Cross-Commodity Models and Derivative Valuation.

[BibT_eX]

[DOI]

Vladimir Surkov

SIAM J. Financial Math., 2011

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models.

[BibT_eX]

[DOI]

Jean-Pierre Fouque

Matthew J. Lorig

SIAM J. Financial Math., 2011

2009

Kernel-Based Copula Processes.

[BibT_eX]

[DOI]

Eddie K. H. Ng

Proceedings of the Machine Learning and Knowledge Discovery in Databases, 2009

2007

Option Valuation using Fourier Space Time Stepping

[BibT_eX]

[DOI]

Kenneth R. Jackson