Projects per year
Network
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Integrating energy storage into the NEM: Bidding, clearing, settlement, dispatch and ancillary markets
Roger, G., Rieger, J., Guo, I., Goeree, J., Karaduman, O. & Pandey, S.
2/03/22 → 30/03/24
Project: Research
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Data61 CRP #46 - Risklab Projects - Mathematical Sciences (Hamza) 2020-22
Zhu, Z., Guo, I., Hamza, K., Klebaner, F., Lee, G., Dong, W., Langrené, N. & Knight, K.
1/07/20 → 30/06/23
Project: Research
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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
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The role of liquidity in financial markets
Zhu, S., Elliott, R. & Guo, I.
15/06/17 → 31/12/20
Project: Research
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On the nonexistence of pseudo-generalized quadrangles
Guo, I., Koolen, J. H., Markowsky, G. & Park, J., Oct 2020, In: European Journal of Combinatorics. 89, 9 p., 103128.Research output: Contribution to journal › Article › Research › peer-review
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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
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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
3 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
2 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