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