Zobrazeno 1 - 10
of 111
pro vyhledávání: '"Samuel N. Cohen"'
Autor:
Samuel N. Cohen, James Foster, Peter Foster, Hang Lou, Terry Lyons, Sam Morley, James Morrill, Hao Ni, Edward Palmer, Bo Wang, Yue Wu, Lingyi Yang, Weixin Yang
Publikováno v:
Scientific Reports, Vol 14, Iss 1, Pp 1-10 (2024)
Abstract Early detection of sepsis is key to ensure timely clinical intervention. Since very few end-to-end pipelines are publicly available, fair comparisons between methodologies are difficult if not impossible. Progress is further limited by discr
Externí odkaz:
https://doaj.org/article/9b65bbaddeef4abca076f8e4c7695290
This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collabor
Publikováno v:
Journal of Computational Finance.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::86bb6286cb9be7c63510f05ef45d1834
https://doi.org/10.21314/jcf.2022.028
https://doi.org/10.21314/jcf.2022.028
Autor:
Álvaro Cartea, Samuel N. Cohen, Rob Graumans, Saad Labyad, Leandro Sánchez-Betancourt, Leon van Veldhuijzen
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8df6ac657e8c4bb814e09e51bb9daa2
https://doi.org/10.2139/ssrn.4442770
https://doi.org/10.2139/ssrn.4442770
In this paper, we examine the capacity of an arbitrage-free neural-SDE market model to produce realistic scenarios for the joint dynamics of multiple European options on a single underlying. We subsequently demonstrate its use as a risk simulation en
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7bab3102bbe5fe545d89107d5eec2245
Linear multivariate Hawkes processes (MHP) are a fundamental class of point processes with self-excitation. When estimating parameters for these processes, a difficulty is that the two main error functionals, the log-likelihood and the least squares
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fa51f9aa37b6a47a6821b9e85011e345
http://arxiv.org/abs/2111.10637
http://arxiv.org/abs/2111.10637
Autor:
Tanut Treetanthiploet, Samuel N. Cohen
Publikováno v:
SSRN Electronic Journal.
The Asymptotic Randomised Control (ARC) algorithm provides a rigorous approximation to the optimal strategy for a wide class of Bayesian bandits, while retaining reasonable computational complexity. In particular, it allows a decision maker to observ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc04dbbb651e63c7ccd55de4ab04c43f
https://doi.org/10.2139/ssrn.3781766
https://doi.org/10.2139/ssrn.3781766
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting underlying f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9a8d797f1e53529814770a5f64bea079
Autor:
Samuel N. Cohen
We consider the problem of filtering an unseen Markov chain from noisy observations, in the presence of uncertainty regarding the parameters of the processes involved. Using the theory of nonlinear expectations, we describe the uncertainty in terms o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6606bde96d360ebed6ac0e69673ace91
https://ora.ox.ac.uk/objects/uuid:9a9a8cef-bbaf-4ea8-ba3b-be3f7b94f1ee
https://ora.ox.ac.uk/objects/uuid:9a9a8cef-bbaf-4ea8-ba3b-be3f7b94f1ee
Autor:
Samuel N. Cohen, Victor Fedyashov
Publikováno v:
Journal of Applied Probability. 54:977-994
We consider nonzero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of ergodic backward stochastic differential equations, and prove the ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a8664c67b3e5c6d22ce9eee9c882264c
https://doi.org/10.1017/jpr.2017.48
https://doi.org/10.1017/jpr.2017.48