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