Ivan Guo
Monash University
H-index: 10
Oceania-Australia
Top articles of Ivan Guo
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Simultaneous upper and lower bounds of American option prices with hedging via neural networks | arXiv preprint arXiv:2302.12439 | Ivan Guo Nicolas Langrené Jiahao Wu | 2023/2/24 |
Macroscopic Market Making | arXiv preprint arXiv:2307.14129 | Ivan Guo Shijia Jin Kihun Nam | 2023/7/26 |
Calibration of local‐stochastic volatility models by optimal transport | Mathematical Finance | Ivan Guo Grégoire Loeper Shiyi Wang | 2022/1 |
Valuation of general contingent claims with short selling bans: An equal-risk pricing approach | International Journal of Theoretical and Applied Finance | Guiyuan Ma Song-Ping Zhu Ivan Guo | 2022/6/13 |
Portfolio optimization with a prescribed terminal wealth distribution | Quantitative Finance | Ivan Guo Nicolas Langrené Grégoire Loeper Wei Ning | 2022/2/1 |
Joint modeling and calibration of spx and vix by optimal transport | SIAM Journal on Financial Mathematics | Ivan Guo Grégoire Loeper Jan Obłój Shiyi Wang | 2022 |
Robust utility maximization under model uncertainty via a penalization approach | Mathematics and Financial Economics | Ivan Guo Nicolas Langrené Grégoire Loeper Wei Ning | 2022/1 |
Path dependent optimal transport and model calibration on exotic derivatives | The Annals of Applied Probability | Ivan Guo Grégoire Loeper | 2021/6 |
On Stochastic PDEs for the pricing of derivatives in a multi-dimensional diffusion framework | Kaustav Das Ivan Guo Grégoire Loeper | 2021/6 | |
Robust pricing-hedging duality for multi-action options | arXiv preprint arXiv:2111.14502 | Anna Aksamit Ivan Guo Shidan Liu Zhou Zhou | 2021/11/29 |
Deep semi-martingale optimal transport | arXiv preprint arXiv:2103.03628 | Ivan Guo Nicolas Langrené Grégoire Loeper Wei Ning | 2021/3/5 |
Superhedging duality for multi-action options under model uncertainty with information delay | arXiv e-prints | Anna Aksamit Ivan Guo Shidan Liu Zhou Zhou | 2021/11 |
Optimal transport for model calibration | arXiv preprint arXiv:2107.01978 | Ivan Guo Gregoire Loeper Jan Obloj Shiyi Wang | 2021/7/5 |
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula | arXiv preprint arXiv:2106.14870 | Kaustav Das Ivan Guo Grégoire Loeper | 2021/6/28 |
Efficient Use of Options for Tail Risk Hedging | Available at SSRN 3688843 | Ivan Guo Gregoire Loeper | 2020/9/8 |
On Dynkin Games with Unordered Payoff Processes | arXiv preprint arXiv:2008.06882 | Ivan Guo | 2020/8/16 |
Designing All-Weather Overlays—A Study on Option-Based Systematic Strategies | Available at SSRN | Ivan Guo G Loeper | 2020/7/13 |
The volatility risk premium: an empirical study on the s&p 500 index | Available at SSRN 3739933 | Ivan Guo Gregoire Loeper | 2020/11/30 |
On the nonexistence of pseudo-generalized quadrangles | European Journal of Combinatorics | Ivan Guo Jack H Koolen Greg Markowsky Jongyook Park | 2020/10/1 |
Co-Authors
