Ivan Guo

Research activity per year

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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
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

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

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