Oxford Working Papers in Mathematical and Computational Finance: 2018
18-01 A McKean--Vlasov equation with positive feedback and blow-ups
Authors: Ben Hambly, Sean Ledger, Andreas Sojmark
18-02 A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
Authors: Christoph Reisinger, Yufei Zhang
18-03 A Reflected Moving Boundary Problem Driven by Space-Time White Noise
Authors: Ben Hambly, Jasdeep Kalsi
18-04 A unified Framework for Robust Modelling of Financial Markets in discrete time
Authors: Jan Obloj, Johannes Wiesel
18-05 An SPDE Model for Systemic Risk with Endogenous Contagion
Authors: Ben Hambly, Andreas Sojmark
Authors: Roxana Dumitrescu, Christoph Reisinger, Yufei Zhang
18-07 At the Mercy of the Common Noise: Blow-ups in a Conditional McKean--Vlasov Problem
Authors: Sean Ledger, Andreas Sojmark
18-08 Characterization of non-linear Besov spaces
Authors: Chong Liu, David J. Prömel, Josef Teichmann
18-09 Derivatives pricing using signature payoffs
Authors: Imanol Perez Arribas
18-10 Efficient white noise sampling and coupling for multilevel Monte Carlo with non-nested meshes
Authors: Matteo Croci, Michael B. Giles, Marie E. Rognes, Patrick E. Farrell
18-11 European Option Pricing with Stochastic Volatility models under Parameter Uncertainty
Authors: Samuel N. Cohen, Martin Tegnér
18-12 Foreign Exchange Markets with Last Look
Authors: Alvaro Cartea, Sebastian Jaimungal, Jamie Walton
18-13 Hedging Non-Tradable Risks with Transaction Costs and Price Impact
Authors: Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
Authors: Ben Hambly, Jasdeep Kalsi, James Newbury
18-15 Margin requirements for non-cleared derivatives
Author: Rama Cont
18-16 Market Making With Minimum Resting Times
Authors: Alvaro Cartea, Yixuan Wang
18-17 Monitoring Indirect Contagion
Authors: Rama Cont, Eric Schaanning
18-18 Multilevel Monte Carlo Method for Ergodic SDEs without Contractivity
Authors: Wei Fang, Michael B. Giles
18-19 Multilevel nested simulation for efficient risk estimation
Authors: Michael B. Giles, Abdul-Lateef Haji-Ali
18-20 On pathwise quadratic variation for cadlag functions
Authors: Henry Chiu, Rama Cont
18-21 On the support of solutions of stochastic differential equations with path-dependent coefficients
Authors: Rama Cont, Alexander Kalinin
18-22 Optimal Execution Strategy Under Price and Volume Uncertainty
Authors: Julien Vaes, Raphael Hauser
18-23 Optimal extension to Sobolev rough paths
Authors: Chong Liu, David J. Prömel, Josef Teichmann
18-24 Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
Authors: Rama Cont, Nicolas Perkowski
18-25 Probabilistic error analysis for some approximation schemes to optimal control problems
Authors: Athena Picarelli, Christoph Reisinger
18-26 Random Bit Multilevel Algorithms for Stochastic Differential Equations
Authors: Michael B. Giles, Mario Hefter, Lukas Mayer, Klaus Ritter
18-27 Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
Authors: Alexander Lipton, Vadim Kaushansky, Christoph Reisinger
18-28 Simulation of particle systems interacting through hitting times
Authors: Vadim Kaushansky, Christoph Reisinger
Authors: Olivier Bokanowski, Athena Picarelli, Christoph Reisinger
Authors: Christoph Reisinger, Zhenru Wang
18-31 Statistical estimation of superhedging prices
Authors: Jan Obloj, Johannes Wiesel
18-32 Stefan Problems for Reflected SPDEs Driven by Space-Time White Noise
Authors: Ben Hambly, Jasdeep Kalsi
18-33 Switching Cost Models as Hypothesis Tests
Authors: Samuel N. Cohen, Timo Henckel, Gordon D. Menzies, Johannes Muhle-Karbe, Daniel J. Zizzo
18-34 Technical Uncertainty in Real Options with Learning
Authors: Ali Al-Aradi, Alvaro Cartea, Sebastian Jaimungal
18-35 The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
Authors: Álvaro Cartea and Leandro Sánchez-Betancourt
18-36 Trading Cointegrated Assets with Price Impact
Authors: Alvaro Cartea, Luhui Gan, Sebastian Jaimungal
18-37 Transition probability of Brownian motion in the octant and its application to default modeling
Authors: Vadim Kaushansky, Alexander Lipton, Christoph Reisinger
18-38 Universal features of price formation in financial markets: perspectives from Deep Learning
Authors: Justin Sirignano, Rama Cont
18-39 Arrow-Debreu Equilibria for Rank-Dependent Utilities with Heterogeneous Probability Weighting
Authors: Hanqing Jin, Jianming Xia, XunYu Zhou
18-40 Monotone Solutions to the Moral Hazard Problem
Authors: Hanqing Jin, Jianming Xia
18-41 Executive stock option exercise with full and partial information on a drift change point
Authors: Vicky Henderson, Kamil Kladívko, Michael Monoyios
18-42 How production networks amplify economic growth
Authors: James McNerney, Charles Savoie, Francesco Caravelli, J. Doyne Farmer
18-43 Paracontrolled distribution approach to stochastic Volterra equations
Authors: David J. Prömel, Mathias Trabs
Authors: Leif Döring, Lukas Gonon, David J. Prömel, Oleg Reichmann
18-45 Multilevel estimation of expected exit times and other functionals of stopped diffusions
Authors: M.B. Giles, F. Bernal
18-46 Efficient white noise sampling and coupling for multilevel Monte Carlo with non-nested meshes
Authors: M. Croci, M.B. Giles, M.E. Rognes, P.E. Farrell
18-47 Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
Authors: M.B. Giles, T. Goda
18-48 The robust superreplication problem: a dynamic approach
Authors: Laurence Carassus, Jan Obloj, Johannes Wiesel