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

20-10  Optimal Execution of Foreign Securities: A Double-Execution Problem with Signatures and Machine Learning

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