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

18-06 Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps

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

18-14 Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models

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

18-29 Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations

Authors: Olivier Bokanowski, Athena Picarelli, Christoph Reisinger

18-30 Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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

18-44 Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations

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

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