E-LIB Suche - Ergebnisse für: Guo, Ivan

1

Joint Modeling and Calibration of SPX and VIX by Optimal Tr..:

Guo, Ivan ; Loeper, Grégoire ; Obłój, Jan.
SIAM Journal on Financial Mathematics. 13 (2022) 1 - p. 1-31 , 2022

Link: https://doi.org/10.1137/..

2

Robust utility maximization under model uncertainty via a p..:

Guo, Ivan ; Langrené, Nicolas ; Loeper, Grégoire.
Mathematics and Financial Economics. 16 (2021) 1 - p. 51-88 , 2021

Link: https://doi.org/10.1007/..

3

Portfolio optimization with a prescribed terminal wealth di..:

Guo, Ivan ; Langrené, Nicolas ; Loeper, Grégoire.
Quantitative Finance. 22 (2021) 2 - p. 333-347 , 2021

Link: https://doi.org/10.1080/..

4

Calibration of local‐stochastic volatility models by optima..:

Guo, Ivan ; Loeper, Grégoire ; Wang, Shiyi
Mathematical Finance. 32 (2021) 1 - p. 46-77 , 2021

Link: https://doi.org/10.1111/..

5

On the nonexistence of pseudo-generalized quadrangles:

Guo, Ivan ; Koolen, Jack H. ; Markowsky, Greg.
European Journal of Combinatorics. 89 (2020) - p. 103128 , 2020

Link: https://doi.org/10.1016/..

6

Local Volatility Calibration by Optimal Transport:

, In: 2017 MATRIX Annals; MATRIX Book Series,

Guo, Ivan ; Loeper, Grégoire ; Wang, Shiyi - p. 51-64 , 2019

Link: https://doi.org/10.1007/..

7

Optimal execution with regime-switching market resilience:

Siu, Chi Chung ; Guo, Ivan ; Zhu, Song-Ping.
Journal of Economic Dynamics and Control. 101 (2019) - p. 17-40 , 2019

Link: https://doi.org/10.1016/..

8

Pricing Bounds for Volatility Derivatives via Duality and L..:

Guo, Ivan ; Loeper, Gregoire
Journal of Optimization Theory and Applications. 179 (2017) 2 - p. 598-617 , 2017

Link: https://doi.org/10.1007/..

9

Equal risk pricing under convex trading constraints:

Guo, Ivan ; Zhu, Song-Ping
Journal of Economic Dynamics and Control. 76 (2017) - p. 136-151 , 2017

Link: https://doi.org/10.1016/..

10

Arbitrage-free pricing of multi-person game claims in discr..:

Guo, Ivan ; Rutkowski, Marek
Finance and Stochastics. 21 (2016) 1 - p. 111-155 , 2016

Link: https://doi.org/10.1007/..

11

Discrete time stochastic multi-player competitive games wit..:

Guo, Ivan ; Rutkowski, Marek
Stochastic Processes and their Applications. 126 (2016) 1 - p. 1-32 , 2016

Link: https://doi.org/10.1016/..

12

A zero-sum competitive multi-player game:

Guo, Ivan ; Rutkowski, Marek
Demonstratio Mathematica. 45 (2012) 2 - p. 415-433 , 2012

Link: https://doi.org/10.1515/..

13

New Analytic Approach to Address Put–Call Parity Violation ..:

Buryak, Alexander ; Guo, Ivan
Applied Mathematical Finance. 19 (2012) 1 - p. 37-58 , 2012

Link: https://doi.org/10.1080/..

14

Simultaneous upper and lower bounds of American option pric..:

Guo, Ivan ; Langrené, Nicolas ; Wu, Jiahao
http://arxiv.org/abs/2302.12439. , 2023

Link: http://arxiv.org/abs/230..

15

Macroscopic Market Making:

Guo, Ivan ; Jin, Shijia ; Nam, Kihun
http://arxiv.org/abs/2307.14129. , 2023

Link: http://arxiv.org/abs/230..