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.

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.

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*.

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).

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)

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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

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

grant

Deep Neural Networks for Solving Non-Markov Optimization Problems

National Science Foundation

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