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

21-16 Reinforcement learning in finance
Authors: Ben Hambly, Renyuan Xu, Huining Yang

21-17 Fractional Ito calculus
Authors: Rama Cont, Ruhong Jin

21-18  Interactions of market making algorithms: a study on perceived collusion
Authors: Rama Cont, Wei Xiong

21-19  Black-box model risk in finance 
Authors: Samuel N. Cohen, Derek Snow, Lukasz Szpruch 

21-20  Gradient-based estimation of linear Hawkes processes with general kernels
Authors: Àlvaro Cartea, Samuel N. Cohen, Saad Labyad

21-21  A model-free approach to continuous-time finance
Authors: Henry Chiu and Rama Cont

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