Works (28)
Updated: April 4th, 2024 09:30
2023 journal article
A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs
IEEE Access, 1–1.
ieeexplore.ieee.org (publisher PDF)
Sources: Crossref, NC State University Libraries, ORCID
Added: February 18, 2023
2023 journal article
An optimal control strategy for execution of large stock orders using long short-term memory networks
JOURNAL OF COMPUTATIONAL FINANCE, 26(4), 37–65.
author keywords: price impact; order books; optimal execution; long short-term memory (LSTM) networks; trading volume
Sources: Web Of Science, NC State University Libraries
Added: December 18, 2023
2023 journal article
State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE
AUTOMATICA, 155.
author keywords: Stochastic control; Optimal control; Forward and backward stochastic; differential equations
Sources: Web Of Science, NC State University Libraries
Added: August 14, 2023
2022 journal article
Consistent time‐homogeneous modeling of SPX and VIX derivatives
Mathematical Finance, 32(3), 907–940.
author keywords: consistent pricing; market models; stochastic volatility; VIX futures
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, NC State University Libraries, ORCID, Crossref
Added: May 23, 2022
2022 journal article
Principal Eigenportfolios for U.S. Equities
SIAM Journal on Financial Mathematics, 13(3), 702–744.
author keywords: eigenportfolios; principal component analysis; tensor decompositions
Sources: Web Of Science, NC State University Libraries, ORCID, Crossref
Added: November 14, 2022
2022 journal article
Static replication of European standard dispersion options
Quantitative Finance, 22(5), 799–811.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, NC State University Libraries, Crossref
Added: April 4, 2022
2022 journal article
Statistical Arbitrage for Multiple Co-integrated Stocks
Applied Mathematics & Optimization, 86(1).
author keywords: Co-integrated stocks; Eigenportfolio; Factor model; Market-neutral portfolio; Matrix Riccati equation; Optimisation; Statistical arbitrage; Stochastic control
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries, Crossref
Added: April 23, 2022
2021 journal article
Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas
The Journal of Portfolio Management, 48(3), 220–239.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, NC State University Libraries, ORCID, Crossref
Added: February 21, 2022
2021 article proceedings
State Constrained Stochastic Optimal Control Using LSTMs
Presented at the 2021 American Control Conference (ACC).
Event: 2021 American Control Conference (ACC)
TL;DR:
A new methodology for state constrained stochastic optimal control (SOC) problems using a deep neural network (DNN) to solve the FBSDE, and the state constraints are incorporated using a hard penalty function, resulting in a controller that respects the constraint boundaries.
(via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2021 journal article
Trading Signals in VIX Futures
Applied Mathematical Finance, 28(3), 275–298.
TL;DR:
Out-of-sample backtests of the Vix futures trading strategy suggest that this approach gives rise to reasonable portfolio performance, and to positions in which the investor will be either long or short VIX futures contracts depending on the market environment.
(via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2020 journal article
A functional analysis approach to the static replication of European options
Quantitative Finance, 21(4), 637–655.
author keywords: Derivatives; Options; Static replication; Payoff; Integral equation; Functional analysis; Spectral theorem; Breeden-Litzenberger formula; Implied distribution
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2020 journal article
PCA for Implied Volatility Surfaces
The Journal of Financial Data Science, 2(2), 85–109.
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2019 journal article
PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES
The ANZIAM Journal, 61(02), 161–194.
author keywords: price-impact function; limit order books; execution of large orders; Hawkes processes
Sources: ORCID, Crossref, NC State University Libraries
Added: June 5, 2022
2019 journal article
STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS
International Journal of Theoretical and Applied Finance, 22(01), 1850061.
author keywords: VIX futures; volatility ETNs; contango
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2019 journal article
Singular Perturbation Expansion for Utility Maximization with Order-ε Quadratic Transaction Costs
International Journal of Theoretical and Applied Finance, 22(7), 1950039.
author keywords: Transaction costs; singular perturbation expansion; stochastic control; Merton problem; aim portfolio
Sources: Web Of Science, NC State University Libraries
Added: February 18, 2023
2018 journal article
Backward SDEs for control with partial information
Mathematical Finance, 29(1), 208–248.
author keywords: backward stochastic differential equations; non-Markov control; partial information; portfolio optimization
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2018 journal article
Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options
SIAM Journal on Financial Mathematics, 9(2), 401–434.
author keywords: VIX options; moment formulas; extreme strikes; model free
TL;DR:
The relationship between the SPX and Vix options markets is explored, which means that SPX options are a reflection of the extreme-strike asymptotics of VIX options, and vice versa.
(via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2017 journal article
Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes
SIAM/ASA Journal on Uncertainty Quantification, 5(1), 1220–1247.
author keywords: data assimilation; filtering; parameter estimation; homogenization; multiscale diffusions,dimension reduction
TL;DR:
It is established for a very general class of test functions that the filter of the original model converges to a filter of reduced dimension, which allows to learn the unknown parameters of interest while working in lower dimensions, as opposed to working with the original high dimensional system.
(via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2017 journal article
Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions
SIAM Journal on Control and Optimization, 55(3), 1534–1566.
author keywords: filtering; control; Hamilton-Jacobi-Bellman equation; portfolio optimization; partial information; expert opinions
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2016 journal article
Analysis of VIX Markets with a Time-Spread Portfolio
Applied Mathematical Finance, 23(5), 374–408.
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2016 journal article
PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION
International Journal of Theoretical and Applied Finance, 19(08), 1650054.
author keywords: Pairs trading; co-integration; Kalman filter; partial information; stochastic control
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2015 journal article
Filtering and portfolio optimization with stochastic unobserved drift in asset returns
Communications in Mathematical Sciences, 13(4), 935–953.
author keywords: Portfolio optimization; filtering; Hamilton-Jacobi-Bellman equation; asymptotic approximations
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2014 journal article
Filtering the Maximum Likelihood for Multiscale Problems
Multiscale Modeling & Simulation, 12(3), 1193–1229.
author keywords: ergodic filtering; fast mean reversion; homogenization; Zakai equation; maximum likelihood estimation; central limit theory
TL;DR:
It is proved that an appropriate normalization of the log-likelihood minus a log- likelihood of reduced dimension converges weakly to a normal distribution and consistency and asymptotic normality of the maximum likelihood estimator are established.
(via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2014 journal article
Implied Filtering Densities on the Hidden State of Stochastic Volatility
Applied Mathematical Finance, 21(6), 483–522.
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2013 journal article
A regime-switching Heston model for VIX and S&P 500 implied volatilities
Quantitative Finance, 14(10), 1811–1827.
author keywords: Applied mathematical finance; Calibration of stochastic volatility; VIX options; Model calibration
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2013 journal article
Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information
SIAM Journal on Financial Mathematics, 4(1), 916–960.
author keywords: filtering; fast mean reversion; partial information; portfolio optimization; approximate dynamic programming; dimension reduction
Source: ORCID
Added: January 13, 2023
2012 journal article
Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States
Multiscale Modeling & Simulation, 10(3), 906–935.
author keywords: filtering; hidden Markov models; homogenization; ergodic theory
TL;DR:
It is shown that the nonlinear filter for a hidden Markov model that evolves with multiple time scales in the hidden states can be approximated by an averaged filter that asymptotically coincides with the true non linear filter of the regime-changing Markov chain as the rate of mean-reversion approaches infinity.
(via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
2010 journal article
Filtering for fast mean-reverting processes
Asymptotic Analysis, 70(3-4), 155–176.
author keywords: nonlinear filtering; tracking; fast mean reversion; Kramers-Smoluchowski
TL;DR:
The main results of this paper show that nonlinear filtering algorithms for multi-scale models with FMR states can be simplified by exploiting the FMR structures, which leads to a simplified Baum-Welch recursion that is of reduced dimension.
(via Semantic Scholar)
Sources: ORCID, Crossref, NC State University Libraries
Added: January 13, 2023
Employment
Updated: February 8th, 2021 14:09
2020 - present
North Carolina State University Raleigh, North Carolina, US
Assistant Professor
Department of Mathematics
Education
Updated: February 8th, 2021 14:11
2007 - 2010
Brown University Providence, RI, US
PhD
Division of Applied Mathematics
Funding History
Funding history based on the linked ORCID record. Updated: December 14th, 2021 15:16
grant
Deep Neural Networks for Solving Non-Markov Optimization Problems
National Science Foundation
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