Projects per year
Network
Recent external collaboration on country level. Dive into details by clicking on the dots.
Projects
- 2 Active
Development of efficient computational techniques for convection-diffusion-reaction type problems in econophysics
Mishra, C., Mishra, M., Loeper, G. & Guo, I.
25/06/19 → 24/06/21
Project: Research
The role of liquidity in financial markets
Zhu, S., Elliott, R. & Guo, I.
15/06/17 → 31/12/20
Project: Research
Research Output
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 proceeding › Chapter (Book) › Research › peer-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 journal › Article › Research › peer-review
2
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
1
Citation
(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
Equal risk pricing under convex trading constraints
Guo, I. & Zhu, S. P., 1 Mar 2017, In : Journal of Economic Dynamics and Control. 76, p. 136-151 16 p.Research output: Contribution to journal › Article › Research › peer-review
1
Citation
(Scopus)