Publications

2020-21 Publications (July 2020 -- December 2020):

  • arXiv:2012.00975 Semimartingale properties of a generalized fractional Brownian motion and its mixtures with applications in finance by Tomoyuki Ichiba, Guodong Pang, Murad S. Taqqu

  • arXiv:2012.00729  mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms by Mike Ludkovski

  • arXiv:2011.04279  Linear-Quadratic Stochastic Differential Games on Random Directed Networks by Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba

  • arXiv:2010.13245  Endogenous Representation of Asset Returns by Zhipu Zhou, Alexander Shkolnik, Sang-Yun Oh 

  • arXiv:2010.08407  KrigHedge: Gaussian Process Surrogates for Delta Hedging by Mike Ludkovski, Yuri Saporito

  • arXiv:2010.02483  Abstract polynomial processes by Fred Espen Benth, Nils Detering, Paul Kruhner

  • arXiv:2009.07788  Path Properties of a Generalized Fractional Brownian Motion by Tomoyuki Ichiba, Guodong Pang, Murad S. Taqqu

  • arXiv:2009.06719  Convolutional Signature for Sequential Data by Ming Min, Tomoyuki Ichiba

  •  

2019-20 Publications (July 2019 -- June 2020):

  • arXiv:2006.15158   Relative Arbitrage Opportunities in  N Investors and Mean-Field Regimes by Tomoyuki Ichiba, Tianjiao Yang

  • arXiv:2006.13912 Unified Reinforcement Q-Learning for Mean Field Game and Control Problems by Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière

  • arXiv:2006.08110 Suffocating Fire Sales by Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter

  • arXiv:2006.04970  Degenerate Competing Three-Particle Systems by Tomoyuki Ichiba, Ioannis Karatzas

  • arXiv:2006.04382   An Impulse-Regime Switching Game Model of Vertical Competition by René Aïd, Luciano Campi, Liangchen Li, Mike Ludkovski

  • arXiv:2006.01911  Accuracy of Deep Learning in Calibrating HJM Forward Curves by Fred Espen Benth, Nils Detering, Silvia Lavagnini

  • arXiv:2003.08840 Linear-Quadratic Stochastic Differential Games on Directed Chain Networks by Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba

  • arXiv:2003.08579   Adaptive Batching for Gaussian Process Surrogates with Application in Noisy Level Set Estimation by Xiong Lyu, Mike Ludkovski

  • arXiv:2003.02443  Multi-Output Gaussian Processes for Multi-Population Longevity Modeling by Nhan Huynh, Mike Ludkovski

  • ​arXiv:2001.10206 Large Banking Systems with Default and Recovery: A Mean Field Game Model by Romuald Élie, Tomoyuki Ichiba, Mathieu Laurière

  • arXiv:1912.00244  A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging by Tao Chen, Michael Ludkovski

  • arXiv:1908.07626 Optimal Investment with Correlated Stochastic Volatility Factors by Maxim Bichuch, Jean-Pierre Fouque

  • arXiv:1907.04257 Systemic Optimal Risk Transfer Equilibrium by Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque, Marco Frittelli, Thilo Meyer-Brandis

     

2018-19 Publications (July 2018 -- June 2019):

  • The Effect of Rate Design on Power Distribution Reliability Considering Adoption of DERs by M. Heleno, M. Ludkovski and A. Maheshwari), submitted June 2019

  • Gaussian Process Models for Incremental Loss Ratios by M. Ludkovski, H. Zail, submitted, April 2019

  • Multi-Population Longevity Models: a Spatial Random Field Approach by N. Huynh, M. Ludkovski and H. Zail, submitted, April 2019

  • arXiv:1905.00358 Deep Learning Methods for Mean Field Control Problems with Delay by Jean-Pierre Fouque, Zhaoyu Zhang

  • arXiv:1905.00107 Statistical Learning for Probability-Constrained Stochastic Optimal Control by Alessandro Balata, Michael Ludkovski, Aditya Maheshwari, Jan Palczewski

  • Capital Allocation Techniques: Review and Comparison by Guo, Q., Bauer, D., Zanjani, G, submitted, April 2019 

  • arXiv:1903.05045  Stochastic Volterra integral equations and a class of first order stochastic partial differential equations by Fred Espen Benth, Nils Detering, Paul Kruehner 

  • arXiv:1902.06883  Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment by Jean-Pierre Fouque, Ruimeng Hu

  • An Integrated Model for Fire Sales and Default Contagion by N. Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter, submitted, 2019

  • ssrn:3282465 Better Betas by Lisa Goldberg, Alex Papanicolaou, Alex Shkolnik, submitted, 2018

  • arXiv:1809.01336  Multilinear processes in Banach space by Fred Espen Benth, Nils Detering, Paul Kruhner

  • arXiv:1807.09897 Dynamic Contagion in a Banking System with Births and Defaults by Tomoyuki Ichiba, Michael Ludkovski, Andrey Sarantsev

  • arXiv:1807.06712 Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation by Xiong Lyu, Mickael Binois, Michael Ludkovski

  • arXiv:1807.04795 Mean Field Game with Delay: a Toy Model by Jean-Pierre Fouque, Zhaoyu Zhang

  • arXiv:1807.03893 Stochastic Switching Games by Liangchen Li, Michael Ludkovski

  • arXiv:1807.00095 Probabilistic Bisection with Spatial Metamodels by Sergio Rodriguez, Mike Ludkovski

  • Suffocating Fire Sales by N. Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter, submitted, 2018

  • Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices by D Bauer, Q. Guo,  to Appear in North American Actuarial Journal, 2018 
     

2017-18 Publications (July 2017 -- June 2018):

  • arxiv:1805.01962 : Directed Chain Stochastic Differential Equations by Nils Detering, Jean-Pierre Fouque, Tomoyuki Ichiba

  • arXiv:1804.07392 : Optimal investment with transient price impact by Peter Bank, Moritz Voss

  • arXiv:1804.03002 : Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment by Jean-Pierre Fouque, Ruimeng Hu

  • arXiv:1803.11309 : Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective by Michael Ludkovski, Aditya Maheshwari

  • arXiv:1803.08169 : Financial Contagion in a Generalized Stochastic Block Model by Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, and Daniel Ritter

  • arXiv:1803.09898 : On Fairness of Systemic Risk Measures by Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli, Thilo Meyer-Brandis

  • arXiv:1712.03468 : Two numerical methods to evaluate stop-loss premiums by Pierre-Olivier Goffard, Patrick J. Laub

  • arXiv:1711.00843  Generalized Probabilistic Bisection for Stochastic Root-Finding by Sergio Rodriguez, Michael Ludkovski

  • hal-01716687 : Fraud risk assessment within blockchain transactions by Pierre-Olivier Goffard

  • arXiv:1710.05204 : Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement by Michael Ludkovski, James Risk

  • arXiv:1710.05131 : Mean Field Game Approach to Production and Exploration of Exhaustible Commodities by Michael Ludkovski, Xuwei Yang

  • arXiv:1710.03206 : Replication or exploration? Sequential design for stochastic simulation experiments by Mickael Binois, Jiangeng Huang, Robert B Gramacy, Mike Ludkovski

  • arXiv:1710.01845 :  Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes by Pierre-Olivier Goffard, Andrey Sarantsev

  • arXiv:1709.07098 : Talagrand Concentration Inequalities for Stochastic Partial Differential Equations by Davar Khoshnevisan, Andrey Sarantsev

  • arXiv:1708.01918 : Brownian Particles with Rank-Dependent Drifts: Out-of-Equilibrium Behavior by Manuel Cabezas, Amir Dembo, Andrey Sarantsev, Vladas Sidoravicius

  • arXiv:1708.02715 : Order Flows and Limit Order Book Resiliency on the Meso-Scale by Kyle Bechler, Michael Ludkovski

  • arXiv:1707.03542 :   A Model of Interbank Flows, Borrowing, and Investing by Aditya Maheshwari, Andrey Sarantsev

  • arXiv:1707.01600 : Option Pricing with Delayed Information by Tomoyuki Ichiba, Seyyed Mostafa Mousavi

2016-17 Publications (Jan 2016 -- June 2017):