Dr Leandro Sanchez Betancourt
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Jaimungal, S., Pesenti, S. M., & Sánchez-Betancourt, L. (2024). Minimal Kullback-Leibler Divergence for Constrained Levy-Ito Processes. SIAM Journal on Control and Optimization 60 (2), 982-1005.
Cartea, Á., & Sánchez-Betancourt, L. (2023). Optimal Execution with Stochastic Delay. Finance and Stochastics 27(1), 1-47.
Höglund, M., Ferrucci, E., Hernández, C., Muguruza Gonzalez, A., Salvi, C., Sánchez-Betancourt, L., & Zhang, Y. (2023). A Neural RDE approach for continuous-time non-Markovian stochastic control problems. Workshop on New Frontiers in Learning, Control, and Dynamical Systems at the International Conference on Machine Learning (ICML), Honolulu, Hawaii, USA, 2023.
Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2023). Reinforcement Learning for Algorithmic Trading. In Machine Learning and Data Sciences for Financial Markets: A guide to contemporary practices. Edited by C.-A. Lehalle and A. Capponi. Cambridge University Press.
Cartea, Á., Perez Arribas, I., & Sánchez-Betancourt, L. (2022). Double-Execution Strategies using Path Signatures. SIAM Journal on Financial Mathematics 13 (4), 1379–1417.
Cartea, Á., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Latency and Liquidity Risk. International Journal of Theoretical and Applied Finance 24 (06n07), 1-37.
Forde, M., Sánchez-Betancourt, L., & Smith, B. (2021). Optimal Trade Execution for Gaussian Signals with Power-law Resilience. Quantitative Finance, 22 (3), 585-596.
Bouzianis, G., Hughston, L. P., Jaimungal, S., & Sánchez-Betancourt, L. (2021). Lévy-Ito Models in Finance. Probability Surveys 18, 132-178.
Cartea, Á., & Sánchez-Betancourt, L. (2021). The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. SIAM Journal on Financial Mathematics 12 (1), 254-294.
Hughston, L. P., & Sánchez-Betancourt, L. (2020). Pricing with Variance Gamma Information. Risks 8 (4), 105.
Bruti Liberati Prize for best PhD thesis in Quantitative Finance, awarded by the Bachelier Finance Society and the Politecnico di Milano, in cooperation with Springer.
Best overall performance student award, awarded by Department of Mathematics, King’s College London.
Gabino Barreda medal, awarded by Universidad Nacional Autónoma de México.
High-Frequency and Algorithmic Trading
Stochastic Games between Takers and Makers of Liquidity
Mathematical Finance
Market Microstructure
Market Simulation