Prof. Samuel Cohen

B. Math Sci (Hons), B. Finance, Ph.D. (Adelaide)

Status

Academic Faculty

Associate Professor

Contact form

http://people.maths.ox.ac.uk/cohens/

+44 1865 270107

ORCID iD

https://orcid.org/0000-0003-0539-6414

Research groups

Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG

Recent books

Stochastic Calculus and Applications Cohen, S Elliott, R (19 Nov 2015)

Stochastic Calculus and Applications Cohen, S Elliott, R (18 Nov 2015)

Stochastic Processes, Finance and Control Cohen, S Madan, D Siu, T Yang, H (08 Oct 2012)

Recent publications

Inefficiency of CFMs: hedging perspective and agent-based simulations

Cohen, S Vidales, M Šiška, D Szpruch, Ł (08 Feb 2023) http://arxiv.org/abs/2302.04345v1

TAPAS: a toolbox for adversarial privacy auditing of synthetic data

Houssiau, F Jordon, J Cohen, S Daniel, O Elliott, A Geddes, J Mole, C Rangel-Smith, C Szpruch, L (02 Dec 2022)

A Framework for Auditable Synthetic Data Generation

Houssiau, F Cohen, S Szpruch, L Daniel, O Lawrence, M Mitra, R Wilde, H Mole, C (21 Nov 2022) http://arxiv.org/abs/2211.11540v1

TAPAS: a Toolbox for Adversarial Privacy Auditing of Synthetic Data

Houssiau, F Jordon, J Cohen, S Daniel, O Elliott, A Geddes, J Mole, C Rangel-Smith, C Szpruch, L (12 Nov 2022) http://arxiv.org/abs/2211.06550v1

Hedging option books using neural-SDE market models

Cohen, S Reisinger, C Wang, S (31 May 2022) http://arxiv.org/abs/2205.15991v1

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

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 an Associate Professor in the Mathematical and Computational Finance Group. My main research interests are in the areas of stochastic analysis and mathematical finance. In particular, I work with Backward Stochastic Differential Equations (BSDEs), which arise in various areas in stochastic control and mathematical finance. I am interested in problems associated with decision making in the presence of risk and uncertainty.

A key problem in risk-averse decision making is time-consistency - "How can I be sure that tomorrow's decisions will satisfy today's objectives?" To guarantee time-consistency, we must ensure that the objective pursued satisfies certain properties. These properties, in general, are satisfied by solutions to BSDEs.

For more details, see my Personal Site.