Publications

2017-18 Publications (July 2017 -- present):

  • arxiv:1805.01962 : An Infinite-dimensional McKean-Vlasov Stochastic Equation 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:1803.09898 : 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:1710.05204 : Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement by Michael LudkovskiJames Risk
  • arXiv:1710.05131 : Mean Field Game Approach to Production and Exploration of Exhaustible Commodities by Michael LudkovskiXuwei 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 GoffardAndrey 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 BechlerMichael Ludkovski
  • arXiv:1707.03542:   A Model of Interbank Flows, Borrowing, and Investing by Aditya MaheshwariAndrey Sarantsev

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

arXiv:1706.03139:  Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment by Jean-Pierre FouqueRuimeng Hu
arXiv:1706.00873:  Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options by Jean-Pierre FouqueYuri F. Saporito