Ctr for Quanti Fin & Invest Strategies

Research Output 2016 2019

2019

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 journalArticleResearchpeer-review

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 journalArticleResearchpeer-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 journalArticleResearchpeer-review

Local Volatility Calibration by Optimal Transport

Guo, I., Loeper, G. & Wang, S., 2019, 2017 MATRIX Annals. Wood, D., de Gier, J., Praeger, C. E. & Tao, T. (eds.). 1 ed. Springer, Vol. 2. p. 51-64 13 p. (MATRIX Book Series; vol. 2).

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Modelling tail risk with tempered stable distributions: an overview

Fallahgoul, H. & Loeper, G., 1 Jan 2019, (Accepted/In press) In : Annals of Operations Research.

Research output: Contribution to journalArticleResearchpeer-review

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 journalArticleResearchpeer-review

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 journalArticleResearchpeer-review

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 journalArticleResearchpeer-review

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 and Neurobiology. 247, p. 20-23 4 p.

Research output: Contribution to journalArticleResearchpeer-review

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 journalArticleResearchpeer-review

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 journalArticleResearchpeer-review

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 journalArticleResearchpeer-review

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 journalArticleOtherpeer-review

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 journalArticleResearchpeer-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 journalArticleResearchpeer-review

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 journalArticleResearchpeer-review

Mathematical model for pancreatic cancer progression using non-constant gene mutation rate

Sun, S., Klebaner, F. & Tian, T., 15 Dec 2017, Proceedings: 2017 IEEE International Conference on Bioinformatics and Biomedicine (BIBM). Hu, X., Gong, Y., Shyu, C-R., Korkin, D., Bromberg, Y., Yoo, I., Gao, J. & Zheng, J. H. (eds.). Piscataway NJ USA: IEEE, Institute of Electrical and Electronics Engineers, Vol. 2017-January. p. 138-141 4 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

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 journalArticleResearchpeer-review

Open Access
File

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 journalArticleResearchpeer-review

Option Pricing and Hedging with Liquidity Costs and Market Impact

Abergel, F. & Loeper, G., 2017, Econophysics and Sociophysics: Recent Progress and Future Directions. Abergel, F., Aoyama, H., Chakrabarti, B. K., Chakraborti, A., Deo, N., Raina, D. & Vodenska, I. (eds.). Cham Switzerland: Springer, p. 19-40 22 p. (New Economic Windows; vol. 6901).

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

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 journalArticleResearchpeer-review

Open Access
File

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 : ANZIAM Journal. 59, 2, p. 183-199 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
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 journalArticleResearchpeer-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 journalArticleResearchpeer-review

From size to age and type structure dependent branching: a first step to sexual reproduction in general population processes

Jagers, P. & Klebaner, F. C., 7 Sep 2016, Branching Processes and Their Applications. del Puerto, I. M., Gonzalez, M., Gutierrez, C., Martinez, R., Minuesa, C., Molina, M., Mota, M. & Ramos, A. (eds.). Switzerland: Springer, p. 137-148 12 p. (Lecture Notes in Statistics; vol. 219).

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

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 journalArticleResearchpeer-review

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 journalArticleResearchpeer-review

The Effects of Liquidity on Multi-period Portfolio Selection: A Case Study of American Sector ETFs

Zhang, R., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. C. & Hamza, K., 2016, Proceedings of 4th Annual International Conference on Operations Research and Statistics. Ganikhodjaev, N. (ed.). Singapore: Global Science and Technology Forum, p. 75-83 9 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review