Prof. Samuel Cohen
B. Math Sci (Hons), B. Finance, Ph.D. (Adelaide)
Status
Academic Faculty
Professor of Mathematics
Research groups
Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Recent books
Recent publications
Subtle variation in sepsis-III definitions markedly influences predictive performance within and across methods
Cohen, S Foster, J Foster, P Lou, H Lyons, T Morley, S Morrill, J Ni, H Palmer, E Wang, B Wu, Y Yang, L Yang, W Scientific Reports volume 14 (22 Jan 2024) Inefficiency of CFMs: hedging perspective and agent-based simulations
Cohen, S Sabaté-Vidales, M Šiška, D Szpruch, Ł Financial Cryptography and Data Security. FC 2023 International Workshops. FC 2023 303-319 (05 Dec 2023) Optimal adaptive control with separable drift uncertainty
Cohen, S Knochenhauer, C Merkel, A (13 Sep 2023) http://arxiv.org/abs/2309.07091v2 Hyperbolic contractivity and the Hilbert metric on probability measures
Cohen, S Fausti, E (05 Sep 2023) http://arxiv.org/abs/2309.02413v1 Hedging option books using neural-SDE market models
Reisinger, C Cohen, S Wang, S Applied Mathematical Finance volume 29 issue 5 366-401 (21 Jun 2023) Highlighted publications
Generalised correlated batched bandits via the ARC algorithm with
application to dynamic pricing
Cohen, S Treetanthiploet, T (08 Feb 2021) http://arxiv.org/abs/2102.04263v2 application to dynamic pricing
Detecting and Repairing Arbitrage in Traded Option Prices
Cohen, S Reisinger, C Wang, S Applied Mathematical Finance 1-29 (08 Feb 2021) Detecting and repairing arbitrage in traded option prices
Cohen, S Wang, S Reisinger, C Applied Mathematical Finance volume 27 issue 5 345-373 (08 Feb 2021) Asymptotic Randomised Control with applications to bandits
Cohen, S Treetanthiploet, T (14 Oct 2020) http://arxiv.org/abs/2010.07252v2 Switching Cost Models as Hypothesis Tests
Cohen, S Henckel, T Menzies, G Muhle-Karbe, J Zizzo, D Economics Letters (22 Nov 2018) http://arxiv.org/abs/1808.09686v1 Research interests
I am a Professor in the Mathematical and Computational Finance and Data Science Groups. My main research interests are in the areas of stochastic analysis and mathematical finance. In particular, I am interested in problems associated with decision making in the presence of risk and uncertainty, combining probability, statistics, optimal control theory and mathematical modelling of economic and financial systems.
For more details, see my Personal Site.