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: M.B. Giles, K. Debrabant, A. Roessler

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

Authors: W. Fang, M.B. Giles

19-04 Random bit multilevel algorithms for stochastic differential equations

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

19-05 Multilevel nested simulation for efficient risk estimation

Authors: M.B. Giles, A.L. 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