Works (26)
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, ORCID
Added: February 18, 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
Sources: Web Of Science, 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, ORCID, Crossref
Added: November 14, 2022
2022 journal article
Static replication of European standard dispersion options
Quantitative Finance, 22(5), 799–811.
Sources: Web Of Science, ORCID, 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
Sources: Web Of Science, ORCID, 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.
Sources: Web Of Science, 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
Added: January 13, 2023
2021 journal article
Trading Signals in VIX Futures
Applied Mathematical Finance, 28(3), 275–298.
Sources: ORCID, Crossref
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
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
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
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
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, ORCID
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
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
Sources: ORCID, Crossref
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
Sources: ORCID, Crossref
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
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
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
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
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
Sources: ORCID, Crossref
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
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
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
Sources: ORCID, Crossref
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
Sources: ORCID, Crossref
Added: January 13, 2023
Employment
2020 - present
North Carolina State University Raleigh, North Carolina, US
Assistant Professor
Department of Mathematics
Education
2007 - 2010
Brown University Providence, RI, US
PhD
Division of Applied Mathematics
Funding History
Funding history based on the linked ORCID record.
grant
Deep Neural Networks for Solving Non-Markov Optimization Problems
National Science Foundation
