Следене
Ivan Guo
Ivan Guo
Senior Lecturer, Monash University
Потвърден имейл адрес: monash.edu
Заглавие
Позовавания
Позовавания
Година
Joint modeling and calibration of spx and vix by optimal transport
I Guo, G Loeper, J Obłój, S Wang
SIAM Journal on Financial Mathematics 13 (1), 1-31, 2022
222022
Calibration of local‐stochastic volatility models by optimal transport
I Guo, G Loeper, S Wang
Mathematical Finance 32 (1), 46-77, 2022
222022
Path dependent optimal transport and model calibration on exotic derivatives
I Guo, G Loeper
The Annals of Applied Probability 31 (3), 1232-1263, 2021
212021
Equal risk pricing under convex trading constraints
I Guo, SP Zhu
Journal of Economic Dynamics and Control 76, 136-151, 2017
212017
Robust utility maximization under model uncertainty via a penalization approach
I Guo, N Langrené, G Loeper, W Ning
Mathematics and Financial Economics 16 (1), 51-88, 2022
182022
Effective and simple VWAP options pricing model
A Buryak, I Guo
International Journal of Theoretical and Applied Finance 17 (06), 1450036, 2014
172014
Optimal execution with regime-switching market resilience
CC Siu, I Guo, SP Zhu, RJ Elliott
Journal of Economic Dynamics and Control 101, 17-40, 2019
162019
Portfolio optimization with a prescribed terminal wealth distribution
I Guo, N Langrené, G Loeper, W Ning
Quantitative Finance 22 (2), 333-347, 2022
112022
Local volatility calibration by optimal transport, in 2017 MATRIX Annals, MATRIX Book Ser. 2
I Guo, G Loeper, S Wang
Springer, Cham, 2019
112019
A zero-sum competitive multi-player game
I Guo, M Rutkowski
Demonstratio Mathematica 45 (2), 415-433, 2012
102012
Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
I Guo, G Loeper
Journal of Optimization Theory and Applications 179 (2), 598-617, 2018
92018
Local volatility calibration by optimal transport
I Guo, G Loeper, S Wang
arXiv preprint arXiv:1709.08075, 2017
82017
Discrete-time multi-player stopping and quitting games with redistribution of payoffs
I Guo, M Rutkowski
Arbitrage, Credit and Informational Risks, 171-206, 2014
72014
Pricing European options on regime-switching assets: a comparative study of Monte Carlo and finite-difference approaches
XC Zeng, I Guo, SP Zhu
The ANZIAM Journal 59 (2), 183-199, 2017
62017
Discrete time stochastic multi-player competitive games with affine payoffs
I Guo, M Rutkowski
Stochastic Processes and their Applications 126 (1), 1-32, 2016
6*2016
Competitive multi-player stochastic games with applications to multi-person financial contracts
I Guo
University of Sydney, 2013
62013
New analytic approach to address put–call parity violation due to discrete dividends
A Buryak, I Guo
Applied Mathematical Finance 19 (1), 37-58, 2012
62012
The volatility risk premium: an empirical study on the s&p 500 index
I Guo, G Loeper
Available at SSRN 3739933, 2020
52020
Arbitrage pricing of multi-person game contingent claims
I Guo, M Rutkowski
arXiv preprint arXiv:1405.2718, 2014
52014
Pricing contingent claims with short selling bans
G Ma, SP Zhu, I Guo
arXiv preprint arXiv:1910.04960, 2019
42019
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