Oxford Working Papers in Mathematical and Computational Finance: 2019

19-01 Pathwise Stochastic Control with Applications to Robust Filtering

Authors: Andrew L. Allan, Samuel N. Cohen

19-02 Numerical analysis of multilevel Monte Carlo path simulation using the Milstein discretisation

Authors: Michael B. Giles, K. Debrabant, A. Roessler

19-03 Multilevel Monte Carlo method for ergodic SDEs without contractivity

Authors: W. Fang, Michael B. Giles

19-04 Generalised multilevel Picard approximations

Authors: Michael B. Giles, Arnulf Jentzen, Timo Welti

19-05 Multilevel nested simulation for efficient risk estimation

Authors: Michael B. Giles, Abdul-Lateef Haji-Ali

19-06 An Adaptive Random Bit Multilevel Algorithm for SDEs

Authors: M.B. Giles, M. Hefter, L. Mayer, K. Ritter

19-07 Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems

Authors: Espen R. Jakobsen, Athena Picarelli, Christoph Reisinger

19-08 Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems

Authors: Christoph Reisinger,Yufei Zhang

19-09 A numerical scheme for the quantile hedging problem

Authors: Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger

19-10 Trade Duration, Volatility and Market Impact

Authors: Francesco Capponi, Rama Cont

19-11 A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

Authors: Rama Cont, Marvin Mueller

19-12 Martingale Optimal Transport Duality

Authors: Patrick Cheridito, Matti Kiiski, David J. Proemel, H. Mete Soner

19-13 Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

Authors: Christoph Reisinger, Yufei Zhang

19-14 Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations

Authors: Christoph Reisinger, Zhenru Wang

19-15 Liquidity at Risk: joint stress testing of  solvency and liquidity

Authors: Rama Cont, Artur Kotlicki, Laura Valderrama

19-16 Quadratic variation and quadratic roughness 

Authors: Rama Cont, Purba Das

19-17 Model-free pricing and hedging in discrete time using rough path signatures

Authors: Terry Lyons, Sina Nejad, Imanol Perez Arribas

19-18 Optimal execution with rough path signatures

Authors: Jasdeep Kalsi, Terry Lyons, Imanol Perez Arribas

19-19 Nonparametric pricing and hedging of exotic derivatives

Authors: Terry Lyons, Sina Nejad, Imanol Perez Arribas

19-20 Robust pricing and hedging of options on multiple assets and its numerics

Authors: Stephan Eckstein, Gaoyue Guo, Tongseok Lim, Jan Obloj

19-21 Stochastic PDEs for large portfolios with general mean-reverting processes

Authors: Ben Hambly, Nikolaos Kolliopoulos

19-22 Bounding quantiles of Wasserstein distance between true and empirical measure

Authors: Samuel N Cohen, Martin Tegner, Johannes Wiesel 

19-23 Gittins' theorem under uncertainty

Authors: Samuel N Cohen, Tanut Treetanthiploet

19-24 Latency and Liquidity Risk

Authors: Álvaro Cartea, Sebastian Jaimungal, Leandro Sánchez-Betancourt

19-25 Lévy-Ito Models in Finance

Authors: George Bouzianis, Lane P. Hughston, Sebastian Jaimungal, Leandro Sánchez-Betancourt

19-26 Viscosity solutions for controlled McKean-Vlasov jump-diffusions

Authors: Matteo Burzoni, Vincenzo Ignazio, Halil Mete Soner, Max Reppen

19-27 Arbitrage-free modeling under Knightian Uncertainty

Authors: Matteo Burzoni, Marco Maggis

19-28 Multilevel quasi Monte Carlo methods for elliptic PDEs with random field coefficients via fast white noise sampling

Authors: Matteo Croci, Michael B. Giles, M. E. Rognes, Patrick E. Farrell

19-29 Complexity bounds on supermesh construction for quasi-uniform meshes

Authors: Matteo Croci, Patrick E. Farrell

19-30 Sub-sampling and other considerations for efficient risk estimation in large portfolios

Authors: Michael B. Giles, Abdul-Lateef Haji-Ali

19-31 Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options

Authors: Alan Bain, Matthieu Mariapragassam, Christoph Reisinger

19-32 Market Making With Minimum Resting Times

Authors: Álvaro Cartea and Yixuan Wang

19-33 Dynamic Programming Principles for Learning Mean-field controls

Authors:  Haotian Gu, Xin Guo, Xiaoli Wei, Renyuan Xu

19-34 Spoofing and Price Manipulation in Order Driven Markets

Authors: Álvaro Cartea, Yixuan Wang, Sebastian Jaimungal

19-35 Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels.

Authors: G. S. P. Wiersema, A. M. Kleinnijenhuis, T. Wetzer, J. D. Farmer

19-36 Emergent Inequality and Endogenous Dynamics in a Simple Behavioral Macroeconomic Model

Authors: Y. M. Asano, J. Kolb, J. Heitzig, J.D.Farmer

19-37 A neural network based policy iteration algorithm with global H²-superlinear convergence for stochastic games on domains.

Authors: K. Ito, C. Reisinger, Y. Zhang

19-38 Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems.

Authors: A Picarelli, C. Reisinger

19-39 Optimal cross-border electricity trading.

Authors: Álvaro Cartea, Maria Flora,  Georgi Slavov ,  Tiziano Vargiolu