Oxford Working Papers in Mathematical and Computational Finance: 2021

21-01 Correlated Bandits for Dynamic Pricing via the ARC algorithm
Authors: Samuel Cohen, Tanut Treetanthiploet

21-02 Scaling Properties of Deep Residual Networks
Authors: Alain-Sam Cohen, Rama Cont, Alain Rossier, Renyuan Xu

21-03 Identifiability in inverse reinforcement learning
Authors: Haoyang Cao, Samuel N. Cohen, Lukasz Szpruch

21-04 Arbitrage-free neural-SDE market models
Authors: Samuel N. Cohen, Christoph Reisinger, Sheng Wang

21-05 A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems
Authors: Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang

21-06 Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games
Authors: Ben Hambly, Renyuan Xu, Huining Yang

21-07 When to Quit Gambling, if You Must!
Authors: Sang Hu, Jan Obloj, Xun Yu Zhou

21-08 Causal functional calculus
Authors: Rama Cont and Henry Chiu

21-09 Distributionally robust portfolio maximisation and marginal utility pricing in discrete time
Authors: Jan Obloj, Johannes Wiesel

21-10 Optimal transport for model calibration
Authors: Ivan Guo, Gregoire Loeper, Jan Obloj, Shiyi Wang

21-11 Functions with quadratic variation along refining partitions
Authors: Rama Cont, Purba Das

21-12 Deep Reinforcement Learning for Algorithmic Trading
Authors: Álvaro Cartea, Sebastian Jaimungal, Leandro Sánchez-Betancourt

21-13 Online Adjoint Methods for Optimization of PDEs
Authors: Justin Sirignano, Konstantinos Spiliopoulos

21-14 Global Convergence of the ODE Limit for Online Actor-Critic Algorithms in Reinforcement Learning
Authors: Ziheng Wang, Justin Sirignano

21-15 Higher-Order Exposures
Authors: Garbrand Wiersema, Alissa M. Kleinnijenhuis, Esti Kemp, Thom Wetzer