2023 journal article
A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs
IEEE Access, 1โ1.
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), 37โ65.
2023 journal article
State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE
AUTOMATICA, 155.
2022 journal article
Consistent timeโhomogeneous modeling of SPX and VIX derivatives
Mathematical Finance, 32(3), 907โ940.
2022 journal article
Principal Eigenportfolios for U.S. Equities
SIAM Journal on Financial Mathematics, 13(3), 702โ744.
2022 journal article
Static replication of European standard dispersion options
Quantitative Finance, 22(5), 799โ811.
2022 journal article
Statistical Arbitrage for Multiple Co-integrated Stocks
Applied Mathematics & Optimization, 86(1).
2021 journal article
Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas
The Journal of Portfolio Management, 48(3), 220โ239.
2021 article proceedings
State Constrained Stochastic Optimal Control Using LSTMs
Presented at the 2021 American Control Conference (ACC).
Event: 2021 American Control Conference (ACC)
2021 journal article
Trading Signals in VIX Futures
Applied Mathematical Finance, 28(3), 275โ298.
2020 journal article
A functional analysis approach to the static replication of European options
Quantitative Finance, 21(4), 637โ655.
2020 journal article
PCA for Implied Volatility Surfaces
The Journal of Financial Data Science, 2(2), 85โ109.
2019 journal article
PRICE IMPACT OF LARGE ORDERS USING HAWKESย PROCESSES
The ANZIAM Journal, 61(02), 161โ194.
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.
2019 journal article
Singular Perturbation Expansion for Utility Maximization with Order-ฮต Quadratic Transaction Costs
International Journal of Theoretical and Applied Finance, 22(7), 1950039.
2018 journal article
Backward SDEs for control with partial information
Mathematical Finance, 29(1), 208โ248.
2018 journal article
Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options
SIAM Journal on Financial Mathematics, 9(2), 401โ434.
2017 journal article
Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes
SIAM/ASA Journal on Uncertainty Quantification, 5(1), 1220โ1247.
2017 journal article
Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions
SIAM Journal on Control and Optimization, 55(3), 1534โ1566.
2016 journal article
Analysis of VIX Markets with a Time-Spread Portfolio
Applied Mathematical Finance, 23(5), 374โ408.
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.
2015 journal article
Filtering and portfolio optimization with stochastic unobserved drift in asset returns
Communications in Mathematical Sciences, 13(4), 935โ953.
2014 journal article
Filtering the Maximum Likelihood for Multiscale Problems
Multiscale Modeling & Simulation, 12(3), 1193โ1229.
2014 journal article
Implied Filtering Densities on the Hidden State of Stochastic Volatility
Applied Mathematical Finance, 21(6), 483โ522.
2013 journal article
A regime-switching Heston model for VIX and S&P 500 implied volatilities
Quantitative Finance, 14(10), 1811โ1827.
2013 journal article
Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information
SIAM Journal on Financial Mathematics, 4(1), 916โ960.
2012 journal article
Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States
Multiscale Modeling & Simulation, 10(3), 906โ935.
2010 journal article
Filtering for fast mean-reverting processes
Asymptotic Analysis, 70(3-4), 155โ176.
Updated: February 8th, 2021 14:09
2020 - present
Updated: February 8th, 2021 14:11
2007 - 2010
Funding history based on the linked ORCID record. Updated: December 14th, 2021 15:16
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