Prof. Samuel Cohen

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

Status

Academic Faculty

Professor of Mathematics

+44 1865 270107

Contact form

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

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 (18 Nov 2015)

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

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

Recent publications

Understanding Transfer Learning via Mean-field Analysis

Aminian, G Szpruch, Ł Cohen, S (22 Oct 2024) http://arxiv.org/abs/2410.17128v2

Generalization Error of the Tilted Empirical Risk

Aminian, G Asadi, A Li, T Beirami, A Reinert, G Cohen, S (28 Sep 2024) http://arxiv.org/abs/2409.19431v2

Generalization error of graph neural networks in the mean-field regime

Aminian, G He, Y Reinert, G Szpruch, L Cohen, S Proceedings of the 41st International Conference on Machine Learning (ICML 2024) volume 235 1359-1391 (29 Jul 2024)

Generalization Error of Graph Neural Networks in the Mean-field Regime

Aminian, G He, Y Reinert, G Szpruch, Ł Cohen, S (10 Feb 2024)

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)

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 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.