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