Ivan Guo
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View article: Macroscopic Market Making Games
Macroscopic Market Making Games Open
Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the other…
View article: Macroscopic Market Making Games via Multidimensional Decoupling Field
Macroscopic Market Making Games via Multidimensional Decoupling Field Open
Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the other…
View article: Macroscopic Market Making
Macroscopic Market Making Open
We propose a macroscopic market making model à la Avellaneda-Stoikov, using continuous processes for orders instead of discrete point processes. The model intends to bridge the gap between market making and optimal execution problems, whil…
View article: Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks Open
In this paper, we introduce two novel methods to solve the American-style option pricing problem and its dual form at the same time using neural networks. Without applying nested Monte Carlo, the first method uses a series of neural networ…
View article: Robust pricing-hedging duality for multi-action options
Robust pricing-hedging duality for multi-action options Open
We aim to generalize the duality results of arXiv:1604.05517v2 to the case of exotic options that allow the buyer to choose some action from an action space, countable or uncountable, at each time step in the setup of arXiv:1305.6008v3. By…
View article: Superhedging duality for multi-action options under model uncertainty with information delay
Superhedging duality for multi-action options under model uncertainty with information delay Open
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) action space at each time step. By introducing an enlarged spa…
View article: On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula Open
The price of a financial derivative can be expressed as an iterated conditional expectation, where the inner term conditions on the future of an auxiliary process. We show that this inner conditional expectation solves an SPDE (a 'conditio…
View article: On Stochastic PDEs for the pricing of derivatives in a multi-dimensional diffusion framework
On Stochastic PDEs for the pricing of derivatives in a multi-dimensional diffusion framework Open
In a multi-dimensional diffusion framework, the price of a financial derivative can be expressed as an iterated conditional expectation, where the inner conditional expectation conditions on the future of an auxiliary process that enters i…
View article: Deep Semi-Martingale Optimal Transport
Deep Semi-Martingale Optimal Transport Open
We propose two deep neural network-based methods for solving semi-martingale optimal transport problems. The first method is based on a relaxation/penalization of the terminal constraint, and is solved using deep neural networks. The secon…
View article: On Dynkin Games with Unordered Payoff Processes
On Dynkin Games with Unordered Payoff Processes Open
A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process of the max-player is assumed to be smaller than the payoff p…
View article: Valuation of contingent claims with short selling bans under an equal-risk pricing framework
Valuation of contingent claims with short selling bans under an equal-risk pricing framework Open
This paper studies the valuation of European contingent claims with short selling bans under the equal risk pricing (ERP) framework proposed in Guo and Zhu (2017) where analytical pricing formulae were derived in the case of monotonic payo…
View article: Pricing contingent claims with short selling bans
Pricing contingent claims with short selling bans Open
Guo and Zhu (2017) recently proposed an equal-risk pricing approach to the valuation of contingent claims when short selling is completely banned and two elegant pricing formulae are derived in some special cases. In this paper, we establi…
View article: On the nonexistence of pseudo-generalized quadrangles
On the nonexistence of pseudo-generalized quadrangles Open
In this paper we consider the question of when a strongly regular graph with parameters $((s+1)(st+1),s(t+1),s-1,t+1)$ can exist. These parameters arise when the graph is derived from a generalized quadrangle, but there are other examples …
View article: Robust utility maximization under model uncertainty via a penalization\n approach
Robust utility maximization under model uncertainty via a penalization\n approach Open
This paper addresses the problem of utility maximization under uncertain\nparameters. In contrast with the classical approach, where the parameters of\nthe model evolve freely within a given range, we constrain them via a penalty\nfunction…
View article: Calibration of Local-Stochastic Volatility Models by Optimal Transport
Calibration of Local-Stochastic Volatility Models by Optimal Transport Open
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial …
View article: Local Volatility Calibration by Optimal Transport
Local Volatility Calibration by Optimal Transport Open
The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the …