Oxford Working Papers in Mathematical and Computational Finance: 2023
23-01 MLMC techniques for discontinuous functions
Author: Michael B Giles
23-02 Efficient Risk Estimation for the Credit Valuation Adjustment
Authors: Michael B Giles, Abdul-Lateef Haji-Ali, Jonathan Spence
23-03 Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks
Authors: Milena Vuletić, Felix Prenzel and Mihai Cucuringu
23-04 Generalizing Quasi-Newton Updates to Higher-Order Derivative Tensors
Authors: Karl Welzel, Raphael A Hauser
23-05 Convergence of the Euler--Maruyama particle scheme for a regularised McKean--Vlasov equation arising from the calibration of local-stochastic volatility models
Authors: Christoph Reisinger, Maria Olympia Tsianni
23-06 Inefficiency of CFMs: hedging perspective and agent-based simulations
Authors: Samuel Cohen, Marc Sabaté Vidales, David Šiška, Łukasz Szpruch
23-07 Dynamic Deep Learning LES Closures: Online Optimization With Embedded DNS
Authors: Justin Sirignano, Jonathan F MacArt
23-08 Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers
Authors: Álvaro Cartea, Fayçal Drissi and Marcello Monga
23-09 Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach
Authors: Blanka Horvath, Maud Lemercier, Chong Liu, Terry Lyons, Cristopher Salvi
23-10 MFGLib: A Library for Mean-Field Games
Authors: Xin Guo, Anran Hu, Matteo Santamaria, Mahan Tajrobehkar, Junzi Zhang
23-11 OFTER: An Online Pipeline for Time Series Forecasting
Authors: Nikolas Michael, Mihai Cucuringu, Sam Howison
23-12 Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport
Authors: Gregoire Loeper, Jan Obloj, Benjamin Joseph
23-13 Exponential contractions and robustness for approximate Wonham filters
Authors: Samuel N Cohen, Eliana Fausti
23-14 Statistical Predictions of Trading Strategies in Electronic Markets
Authors: Álvaro Cartea, Samuel N Cohen, Rob Graumans, Saad Labyad, Leandro Sánchez-Betancourt, Leon van Veldhuijzen
23-15 Global Convergence of Deep Galerkin and PINNs Methods for Solving Partial Differential Equations
Authors: Deqing Jiang, Justin Sirignano, Samuel N Cohen
23-16 Nowcasting with signature methods
Authors: Samuel N Cohen, Silvia Lui, Will Malpass, Giulia Mantoan, Lars Nesheim, Aureo de Paula, Andrew Reeves, Craig Scott, Emma Small, Lingyi Yang
23-17 Automated Market Makers Designs Beyond Constant Functions
Authors: Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska, Lukasz Szpruch
23-18 Non-adversarial training of Neural SDEs with signature kernel scores
Authors: Zacharia Issa, Blanka Horvath, Maud Lemercier, Cristopher Salvi
23-19 Optimal execution and speculation with trade signals
Authors: Peter Bank, Álvaro Cartea, Laura Körber
23-20 Robust Hedging GANs
Authors: Blanka Horvath, Yannick Limmer
23-21 K-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control
Authors: Michael Giegrich, Roel Oomen, Christoph Reisinger
23-22 Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers
Authors: Alvaro Arroyo, Alvaro Cartea, Fernando Moreno-Pino, Stefan Zohren
23-23 Wasserstein distributional robustness of neural networks
Authors: Xingjian Bai, Guangyi He, Yifan Jiang, Jan Obloj
23-24 Bandits for Algorithmic Trading with Signals
Authors: Álvaro Cartea, Fayçal Drissi, Pierre Osselin
23-25 Mean-field Analysis of Generalization Errors
Authors: Gholamali Aminian, Samuel N Cohen, Łukasz Szpruch
23-26 Randomness and early termination: what makes a game exciting?
Authors: Gaoyue Guo, Dylan Possamaï, Christoph Reisinger
23-27 Model-free Analysis of Dynamic Trading Strategies
Authors: Anna Ananova, Rana Cont, Renyuan Xu
23-28 Fast and Slow Optimal Trading with Exogenous Information
Authors: Rama Cont, Alessandro Micheli, Eyal Neuman
23-29 EURAXI: A Benchmark for Euro Credit Spreads
Authors: Rama Cont, Susanna Saroyan
23-30 Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures
Authors: Blanka Horvath, Zach Issa
23-31 Decentralised finance and automated market making: Execution and speculation
Authors: Álvaro Cartea, Fayçal Drissi, Marcello Monga
23-32 Limit Order Book Simulation with Generative Adversarial Networks
Authors: Rama Cont, Mihai Cucuringu, Jonathan Kochems, Felix Prenzel
23-33 Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times
Authors: Ben Hambly, Aldaïr Petronilia, Christoph Reisinger, Stefan Rigger, Andreas Søjmark
23-34 A Hybrid Quantum Wasserstein GAN with Applications to Option Pricing
Authors: Felix Fuchs, Blanka Horvath
23-35 Linear-quadratic Gaussian Games with Asymmetric Information: Belief Corrections Using the Opponents Actions
Authors: Ben Hambly, Renyuan Xu, Huining Yang
23-36 Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects
Authors: Chao Zhang, Xingyue (Stacy) Pu, Mihai Cucuringu, Xiaowen Dong
23-37 The Paradox of Adversarial Liquidation in Decentralised Lending
Authors: Samuel N Cohen, Marc Sabate-Vidales, Lukasz Szpruch, Mathis Gontier Delaunay
23-38 Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals
Authors: Owen Futter, Blanka Horvath, Magnus Wiese
23-39 Hyperbolic contractivity and the Hilbert metric on probability measures
Authors: Samuel N Cohen, Eliana Fausti
23-40 Optimal adaptive control with separable drift uncertainty
Authors: Samuel N. Cohen, Christoph Knochenhauer, Alexander Merkel
23-41 Correlation Matrix Clustering for Statistical Arbitrage Portfolios
Authors: Álvaro Cartea, Mihai Cucuringu, Qi Jin
23-42 Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets
Authors: Álvaro Cartea, Fayçal Drissi and Marcello Monga
23-43 Detecting Toxic Flow
Authors: Álvaro Cartea, Gerardo Duran-Martin, and Leandro Sánchez-Betancourt
23-44 Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies
Authors: Álvaro Cartea, Mihai Cucuringu, Qi Jin
23-45 VolGAN: a generative model for arbitrage-free implied volatility surfaces
Authors: Milena Vuletić, Rama Cont
23-46 Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity
Authors: Ben Hambly, Philipp Jettkant
23-47 Mean-field games of speedy information access with observation costs
Authors: Dirk Becherer, Christoph Reisinger, Jonathan Tam
23-48 Joint Calibration of Local Volatility Models with Stochastic Interest Rates using Semimartingale Optimal Transport
Authors: Benjamin Joseph, Gregoire Loeper, Jan Obloj
23-49 The Economics of Interest Rate Models in Decentralised Lending Protocols
Authors: Samuel N. Cohen, Leandro Sánchez-Betancourt, Lukasz Szpruch
23-50 Spoofing Order Books with Learning Algorithms
Authors: Álvaro Cartea, Patrick Chang, Gabriel García-Arenas
23-51 A Similarity-based Approach to Covariance Forecasting
Authors: Álvaro Cartea, Mihai Cucuringu, Mark Jennings, Chao Zhang
23-52 The Good, the Bad, and Latency: Exploratory Trading on Bybit and Binance
Authors: Jakob Albers, Mihai Cucuringu, Sam Howison, Alexander Y. Shestopaloff