Oxford Working Papers in Mathematical and Computational Finance: 2020
20-01 Rough differential equations with path-dependent coefficients
Author: Anna Ananova
20-02 Q-Learning for Mean-Field Controls
Authors: Haotian Gu, Xin Guo, Xiaoli Wei, Renyuan Xu
20-03 Estimating processes in adapted Wasserstein distance
Authors: Julio Backhoff, Daniel Bartl, Mathias Beiglböck, Johannes Wiesel
20-04 Approximation of Solutions to Heat Equations defined by Generalized Measure Theoretic Laplacians
Authors: Tim Ehnes, Ben Hambly
20-05 Executive stock option exercise with full and partial information on a drift change point
Authors: Vicky Henderson, Kamil Kladívko, Michael Monoyios, Christoph Reisinger
20-06 Local times and Tanaka-Meyer formulae for càdlàg paths
Authors: Rafał M. Łochowski, Jan Obłój, David J. Prömel, Pietro Siorpaes
20-07 Online drift estimation for jump-diffusion processes
Authors: Theerawat Bhudisaksang and Álvaro Cartea
20-08 Adaptive Robust Control in Continuous-Time
Authors: Theerawat Bhudisaksang and Álvaro Cartea
20-09 Joint Modelling and Calibration of SPX and VIX by Optimal Transport
Authors: Ivan Guo, Gregoire Loeper, Jan Obloj, Shiyi Wang
Authors: Álvaro Cartea, Imanol Perez Arribas and Leandro Sánchez-Betancourt
20-11 Pareto optimality for a class of stochastic games
Authors: Xin Guo and Renyuan Xu
20-12 Deep xVA solver: A neural network based counterparty credit risk management framework
Authors: Alessandro Gnoatto, Athena Picarelli and Christoph Reisinger
20-13 Milstein schemes for delay McKean equations and interacting particle systems
Authors: Jianhai Bao, Christoph Reisinger, Panpan Ren and Wolfgang Stockinger
20-14 Delay-Adaptive Learning in Generalized Linear Contextual Bandits
Authors: Jose Blanchet, Renyuan Xu, Zhengyuan Zhou
20-15 Duality for optimal consumption under no unbounded profit with bounded risk
Author: Michael Monoyios
20-16 Modelling COVID-19 contagion: risk assessment and targeted mitigation policies
Authors: Rama Cont, Artur Kotlicki and RenYuan Xu
20-17 Duality and deep learning for optimal consumption with randomly terminating income
Authors: A Davey, Michael Monoyios, Harry Zheng
20-18 Excursion risk
Authors: Anna Ananova, Rama Cont, RenYuan Xu
20-19 Entropy regularization for mean field games with learning
Authors: Xin Guo, Renyuan Xu, Thaleia Zariphopoulou
20-20 Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon
Authors: Ben Hambly, RenYuan Xu, Huining Yang
20-21 Infinite horizon utility maximisation from inter-temporal wealth
Author: Michael Monoyios
20-22 Path regularity of coupled McKean-Vlasov FBSDEs
Authors: Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
20-23 Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise
Authors: Neelima, Sani Biswas, Chaman Kumar, Goncalo dos Reis, Christoph Reisinger
20-24 Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem
Authors: Vadim Kaushansky, Christoph Reisinger, Mykhaylo Shkolnikov, Zhuo Qun Song
20-25 Optimal regularity of extended mean field controls and their piecewise constant approximation
Authors: Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
20-26 Detecting and repairing arbitrage in traded option prices
Authors: Samuel N. Cohen, Christoph Reisinger, Sheng Wang
20-27 A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs
Authors: Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
20-28 Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift
Authors: Gunther Leobacher, Christoph Reisinger, Wolfgang Stockinger
20-29 Understanding deep architectures with reasoning layer
Authors: Xinshi Chen, Yufei Zhang, Christoph Reisinger, Le Song
20-30 Well-posedness and tamed schemes for McKean-Vlasov equations with common noise
Authors: Chaman Kumar, Neelima, Christoph Reisinger, Wolfgang Stockinger
20-31 An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
Authors: Christoph Reisinger and Wolfgang Stockinger
20-32 First order convergence of Milstein schemes for McKean equations and interacting particle systems
Authors: Jianhai Bao, Christoph Reisinger, Panpan Ren, Wolfgang Stockinger
20-33 Regularity and stability of feedback relaxed controls
Authors: Christoph Reisinger and Yufei Zhang
20-34 Pareto Optima for a Class of Singular Control Games
Authors: Rama Cont, Xin Guo and RenYuan Xu
20-35 Asymptotic Randomized Control with applications to bandits
Authors: Samuel N Cohen and Tanut Treetanthiploet
20-36 Understanding Deep Architectures with Reasoning Layer
Authors: Xinshi Chen, Yufei Zhang, Christoph Reisinger and Le Song