Prof. Samuel Cohen

B. Math Sci (Hons), B. Finance, Ph.D. (Adelaide)

Status

Academic Faculty

Professor of Mathematics

+44 1865 270511

Contact form

http://people.maths.ox.ac.uk/cohens/

ORCID iD

https://orcid.org/0000-0003-0539-6414

Research groups

Address

Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG

Recent books

Stochastic Calculus and Applications Cohen, S Elliott, R (18 Nov 2015)

Stochastic Calculus and Applications Cohen, S Elliott, R (2015)

Stochastic Processes, Finance and Control Cohen, S Madan, D Siu, T Yang, H (08 Oct 2012)

Recent publications

Global convergence of Deep Galerkin and PINNs methods for solving partial differential equations

Jiang, D Sirignano, J Cohen, S SIAM Journal on Financial Mathematics volume 17 issue 2 620-645 (29 May 2026)

Asymptotic randomised control with applications to bandits

Cohen, S Treetanthiploet, T Numerical Algebra, Control and Optimization (07 May 2026)

DECOVID: A UK Two-Center Harmonized Database of Acute Care Electronic Health Records for COVID-19 Research

Aslett, L Avramescu, A Bakewell, N Birds, I Bowler, L Camilleri, M Chung, S Clifton, D Cohen, S Constantine-Cooke, N Daub, E Davidson, S Denaxas, S Diaz-Ordaz, K Feltbower, R Gallier, S Gardiner, S Gasperoni, F Goudie, R Green, R Hall, M Holmes, C Hurst, J Iles, M Jorge, J Karoune, E Keogh, R King, R Kirk, P Klapaukh, R Kouchaki, S Lai, A Lea, N Leyrat, C Li, K Lilaonitkul, W Lu, H Lyons, T Mallon, A Manderson, A Margaritella, N Matteson, J Morley, S Nicholls, H O’Reilly, M Pagel, C Palmer, E Roberts, J Roberts, T Data volume 10 issue 12 195-195 (24 Nov 2025)

Generalization and robustness of the tilted empirical risk

Aminian, G Asadi, A Li, T Beirami, A Reinert, G Cohen, S Proceedings of the 42nd International Conference on Machine Learning 1419-1461 (06 Oct 2025)

Optimal adaptive control with separable drift uncertainty

Cohen, S Knochenhauer, C Merkel, A SIAM Journal on Control and Optimization volume 63 issue 2 1348-1373 (22 Apr 2025)

Highlighted publications

Generalised correlated batched bandits via the ARC algorithm with
application to dynamic pricing

Cohen, S Treetanthiploet, T (08 Feb 2021) http://arxiv.org/abs/2102.04263v2

Detecting and Repairing Arbitrage in Traded Option Prices

Cohen, S Reisinger, C Wang, S Applied Mathematical Finance 1-29 (08 Feb 2021)

Detecting and repairing arbitrage in traded option prices

Cohen, S Wang, S Reisinger, C Applied Mathematical Finance volume 27 issue 5 345-373 (08 Feb 2021)

Asymptotic Randomised Control with applications to bandits

Cohen, S Treetanthiploet, T (14 Oct 2020) http://arxiv.org/abs/2010.07252v2

Switching Cost Models as Hypothesis Tests

Cohen, S Henckel, T Menzies, G Muhle-Karbe, J Zizzo, D Economics Letters (22 Nov 2018) http://arxiv.org/abs/1808.09686v1

Research interests

I am a Professor in the Mathematical and Computational Finance and Data Science Groups. My main research interests are in the areas of stochastic analysis and mathematical finance. In particular, I am interested in problems associated with decision making in the presence of risk and uncertainty, combining probability, statistics, optimal control theory and mathematical modelling of economic and financial systems.

For more details, see my Personal Site.