Centre for Quantitative Finance and Investment Strategies

Research output

Research output per year 2016 2016 2017 2019 2023

• 33 Article
• 3 Conference Paper
• 2 Chapter (Book)

Research output per year

Research output per year

Search results

• 2023

  Forward-backward stochastic equations: a functional fixed point approach

  Nam, K. & Xu, Y., 2 Jan 2023, In: Stochastic Analysis and Applications. 41, 1, p. 16-44 29 p.

  Research output: Contribution to journal › Article › Research › peer-review
  1 Citation (Scopus)
• 2022

  A ℂ^0,1-functional Itô’s formula and its applications in mathematical finance

  Bouchard, B., Loeper, G. & Tan, X., Jun 2022, In: Stochastic Processes and their Applications. 148, p. 299-323 25 p.

  Research output: Contribution to journal › Article › Research › peer-review
  4 Citations (Scopus)

• Calibration of local-stochastic volatility models by optimal transport

  Guo, I., Loeper, G. & Wang, S., Jan 2022, In: Mathematical Finance. 32, 1, p. 46-77 32 p.

  Research output: Contribution to journal › Article › Research › peer-review
  8 Citations (Scopus)

• Robust utility maximization under model uncertainty via a penalization approach

  Guo, I., Langrené, N., Loeper, G. & Ning, W., 2022, In: Mathematics and Financial Economics. 16, p. 51–88 38 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access
  4 Citations (Scopus)
• 2021

  Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach

  Nam, K., Nov 2021, In: Stochastic Processes and their Applications. 141, p. 376-411 36 p.

  Research output: Contribution to journal › Article › Research › peer-review
  2 Citations (Scopus)

• Markovian approximation of the rough bergomi model for Monte Carlo option pricing

  Zhu, Q., Loeper, G., Chen, W. & Langrené, N., 1 Mar 2021, In: Mathematics. 9, 5, 21 p., 528.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access
  4 Citations (Scopus)

• Modelling tail risk with tempered stable distributions: an overview

  Fallahgoul, H. & Loeper, G., Apr 2021, In: Annals of Operations Research. 299, 1-2, p. 1253-1280 28 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access
  16 Citations (Scopus)

• Optimal foreign exchange hedge tenor with liquidity risk

  Zhang, R., Aarons, M. & Loeper, G., Feb 2021, In: Journal of Risk. 23, 3, p. 1-29 29 p.

  Research output: Contribution to journal › Article › Research › peer-review
• 2019

  A deterministic walk on the randomly oriented Manhattan lattice

  Collevecchio, A., Hamza, K. & Tournier, L., 1 Jan 2019, In: Electronic Journal of Probability. 24, 20 p., 137.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  File

• Challenging the robustness of optimal portfolio investment with moving average-based strategies

  Bel Hadj Ayed, A., Loeper, G. & Abergel, F., 2019, In: Quantitative Finance. 19, 1, p. 123–135 13 p.

  Research output: Contribution to journal › Article › Research › peer-review
  1 Citation (Scopus)

• Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

  Zhang, R., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. & Hamza, K., 2019, In: Quantitative Finance. 19, 3, p. 519-532 14 p.

  Research output: Contribution to journal › Article › Research › peer-review
  11 Citations (Scopus)

• Dynamic volatility management: From conditional volatility to realized volatility

  Zhang, R., Langrené, N., Tian, Y. & Zhu, Z., 20 Aug 2019, In: Journal of Investment Strategies. 8, 2, p. 37-67 31 p.

  Research output: Contribution to journal › Article › Research › peer-review

• Invariance principle for biased bootstrap random walks

  Collevecchio, A., Hamza, K. & Liu, Y., Mar 2019, In: Stochastic Processes and their Applications. 129, 3, p. 860-877 18 p.

  Research output: Contribution to journal › Article › Research › peer-review
  3 Citations (Scopus)

• Optimal execution with regime-switching market resilience

  Siu, C. C., Guo, I., Zhu, S. P. & Elliott, R. J., 1 Apr 2019, In: Journal of Economic Dynamics and Control. 101, p. 17-40 24 p.

  Research output: Contribution to journal › Article › Research › peer-review
  10 Citations (Scopus)

• Quantile-Based Inference for Tempered Stable Distributions

  Fallahgoul, H. A., Veredas, D. & Fabozzi, F. J., Jan 2019, In: Computational Economics. 53, 1, p. 51–83 33 p.

  Research output: Contribution to journal › Article › Research › peer-review
  7 Citations (Scopus)

• Quanto Option Pricing with Lévy Models

  Fallahgoul, H., Kim, Y. S., Fabozzi, F. J. & Park, J., Mar 2019, In: Computational Economics. 53, 3, p. 1279–1308 30 p.

  Research output: Contribution to journal › Article › Research › peer-review
  13 Citations (Scopus)

• Second-order stochastic target problems with generalized market impact

  Bouchard, B., Loeper, G., Soner, H. M. & Zhou, C., 1 Jan 2019, In: SIAM Journal on Control and Optimization. 57, 6, p. 4125-4149 25 p.

  Research output: Contribution to journal › Article › Research › peer-review
  3 Citations (Scopus)
• 2018

  Dysfunctional breathing is more frequent in chronic obstructive pulmonary disease than in asthma and in health

  Law, N., Ruane, L. E., Low, K., Hamza, K. & Bardin, P. G., 1 Jan 2018, In: Respiratory Physiology & Neurobiology. 247, p. 20-23 4 p.

  Research output: Contribution to journal › Article › Research › peer-review
  20 Citations (Scopus)

• Option pricing with linear market impact and nonlinear Black–Scholes equations

  Loeper, G., 1 Oct 2018, In: Annals of Applied Probability. 28, 5, p. 2664-2726 63 p.

  Research output: Contribution to journal › Article › Research › peer-review
  13 Citations (Scopus)

• Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo

  Guo, I. & Loeper, G., Nov 2018, In: Journal of Optimization Theory and Applications. 179, 2, p. 598–617 20 p.

  Research output: Contribution to journal › Article › Research › peer-review
  4 Citations (Scopus)

• What can be observed in real time PCR and when does it show?

  Chigansky, P., Jagers, P. & Klebaner, F. C., Feb 2018, In: Journal of Mathematical Biology. 76, 3, p. 679-695 17 p.

  Research output: Contribution to journal › Article › Research › peer-review
  6 Citations (Scopus)
• 2017

  Abnormal vocal cord movement in patients with and without airway obstruction and asthma symptoms

  Low, K., Ruane, L., Uddin, N., Finlay, P., Lau, K. K., Hamza, K., Holmes, P. W., Hamilton, G. & Bardin, P. G., 1 Feb 2017, In: Clinical and Experimental Allergy. 47, 2, p. 200-207 8 p.

  Research output: Contribution to journal › Article › Other › peer-review
  37 Citations (Scopus)

• Arbitrage-free pricing of multi-person game claims in discrete time

  Guo, I. & Rutkowski, M., Jan 2017, In: Finance and Stochastics. 21, 1, p. 111-155 45 p.

  Research output: Contribution to journal › Article › Research › peer-review

• Forecasting trends with asset prices

  Bel Hadj Ayed, A., Loeper, G. & Abergel, F., 2017, In: Quantitative Finance. 17, 3, p. 369-382 14 p.

  Research output: Contribution to journal › Article › Research › peer-review
  4 Citations (Scopus)

• Hedging of covered options with linear market impact and gamma constraint

  Bouchard, B., Loeper, G. & Zou, Y., 1 Jan 2017, In: SIAM Journal on Control and Optimization. 55, 5, p. 3319-3348 30 p.

  Research output: Contribution to journal › Article › Research › peer-review
  13 Citations (Scopus)

• Mathematical modelling for variations of inbreeding populations fitness with single and polygenic traits

  Sun, S., Klebaner, F. & Tian, T., 14 Mar 2017, In: BMC Genomics. 18, Suppl 2, 11 p., 196.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  File
  2 Citations (Scopus)

• Optimal portfolios with downside risk

  Klebaner, F., Landsman, Z., Makov, U. & Yao, J., 2017, In: Quantitative Finance. 17, 3, p. 315-325 11 p.

  Research output: Contribution to journal › Article › Research › peer-review
  21 Citations (Scopus)

• Performance analysis of the optimal strategy under partial information

  Bel Hadj Ayed, A., Loeper, G., El Aoud, S. & Abergel, F., 7 Mar 2017, In: International Journal of Theoretical and Applied Finance. 20, 2, 21 p., 1750016.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  File
  2 Citations (Scopus)

• PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY of MONTE CARLO and FINITE-DIFFERENCE APPROACHES

  Zeng, X. C., Guo, I. & Zhu, S. P., 1 Oct 2017, In: The ANZIAM Journal. 59, 2, p. 183-199 17 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  File
  3 Citations (Scopus)
• 2016

  A mathematical model for chaotic cancer evolution

  Sun, S., Klebaner, F. C. & Tian, T., 2016, In: International Journal of Management and Applied Science. 2, 7, p. 153-157 5 p.

  Research output: Contribution to journal › Article › Research › peer-review

• Bootstrap random walks

  Collevecchio, A., Hamza, K. & Shi, M., 1 Jun 2016, In: Stochastic Processes and their Applications. 126, 6, p. 1744-1760 17 p.

  Research output: Contribution to journal › Article › Research › peer-review
  5 Citations (Scopus)

• On the emergence of random initial conditions in fluid limits

  Barbour, A. D., Chigansky, P. & Klebaner, F. C., 1 Dec 2016, In: Journal of Applied Probability. 53, 4, p. 1193-1205 13 p.

  Research output: Contribution to journal › Article › Research › peer-review
  9 Citations (Scopus)

• On the establishment, persistence, and inevitable extinction of populations

  Hamza, K., Jagers, P. & Klebaner, F. C., 2016, In: Journal of Mathematical Biology. 72, 4, p. 797-820 24 p.

  Research output: Contribution to journal › Article › Research › peer-review
  12 Citations (Scopus)