Richard Sowers

University of Illinois at Urbana-Champaign - Department of Mathematics

Professor

1409 W. Green St.

Urbana, IL 61801

United States

http://www.math.uiuc.edu/~r-sowers/

SCHOLARLY PAPERS

14

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2,442

SSRN CITATIONS
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Top 18,905

in Total Papers Citations

18

CROSSREF CITATIONS

37

Scholarly Papers (14)

1.

A Multiscale Model of High-Frequency Trading

Algorithmic Finance (2013), 2:1, 59-98
Number of pages: 41 Posted: 26 Apr 2012
Richard Sowers, Andrei A. Kirilenko and Xiangqian Meng
University of Illinois at Urbana-Champaign - Department of Mathematics, University of Cambridge - Finance and University of Illinois at Urbana-Champaign
Downloads 1,091 (28,983)
Citation 1

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2.

The Structure of Central Counterparty Clearing Networks and Network Stability

Number of pages: 17 Posted: 22 May 2012
Rui Song, Richard Sowers and Jonathan Jones
University of Illinois at Urbana-Champaign - College of Liberal Arts and Sciences, University of Illinois at Urbana-Champaign - Department of Mathematics and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 226 (192,201)
Citation 5

Abstract:

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central counterparty, large deviations theory, clearing, systemic risk, network analysis

3.

On Latency and Volatility

Number of pages: 20 Posted: 21 Jun 2015
Andrei A. Kirilenko and Richard Sowers
University of Cambridge - Finance and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 194 (221,205)

Abstract:

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4.

Losses in Investment-Grade Tranches of Synthetic CDO's: A Large Deviations Analysis

Number of pages: 12 Posted: 27 Mar 2009 Last Revised: 23 Apr 2009
Richard Sowers
University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 167 (251,486)
Citation 1

Abstract:

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rare events, synthetic collateralized debt obligations, large deviations

5.

Dynamics of Bankrupt Stocks

Number of pages: 21 Posted: 22 Apr 2012
Richard Sowers, Xiao Li and Mike Lipkin
University of Illinois at Urbana-Champaign - Department of Mathematics, affiliation not provided to SSRN and Columbia University
Downloads 160 (260,762)
Citation 2

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bubbles, hard-to-borrow, put-call parity

6.
Downloads 129 (309,012)
Citation 16

Large Portfolio Asymptotics for Loss from Default

Mathematical Finance, Forthcoming
Number of pages: 29 Posted: 06 Sep 2011 Last Revised: 04 Nov 2020
Stanford University - Department of Management Science & Engineering, Brown University - Division of Applied Mathematics, University of Illinois at Urbana-Champaign - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 129 (310,207)
Citation 2

Abstract:

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law of large numbers, loss distribution, interacting point processes, portfolio credit risk

Large Portfolio Asymptotics for Loss from Default

Mathematical Finance, Vol. 25, Issue 1, pp. 77-114, 2015
Number of pages: 38 Posted: 17 Jan 2015
Kay Giesecke, Richard Sowers and Justin Sirignano
Stanford University - Department of Management Science & Engineering, University of Illinois at Urbana-Champaign - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 0
Citation 3

Abstract:

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law of large numbers, interacting point process, credit risk

7.

Default Clustering in Large Portfolios: Typical Events

Annals of Applied Probability, Forthcoming
Number of pages: 40 Posted: 09 Jan 2011 Last Revised: 29 Apr 2012
Stanford University - Department of Management Science & Engineering, Brown University - Division of Applied Mathematics and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 121 (323,764)
Citation 10

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Large Portfolio, Self-Exciting Defaults, Mean-Field, law of large numbers

8.

Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios

Office of Financial Research Working Paper No. 15-19
Number of pages: 24 Posted: 03 Oct 2015
Jingnan Chen, Mark D. Flood and Richard Sowers
University of Illinois at Urbana-Champaign, R. H. Smith School of Business, U. of Maryland and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 116 (333,615)

Abstract:

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9.

Large Correlation Structures in Pools of Defaults: A Large Deviations Analysis

Number of pages: 19 Posted: 17 Jun 2009 Last Revised: 22 Jun 2009
Richard Sowers
University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 80 (422,817)
Citation 1

Abstract:

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correlation, structured finance, large deviations

10.

Recovery Rates in Investment-Grade Pools of Credit Assets: A Large Deviations Analysis

Number of pages: 27 Posted: 09 Jun 2010
Konstantinos Spiliopoulos and Richard Sowers
Brown University - Division of Applied Mathematics and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 42 (572,666)
Citation 1

Abstract:

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Recovery rates, large deviations

11.

Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool

Number of pages: 24 Posted: 10 Apr 2009 Last Revised: 22 Jun 2009
Richard Sowers
University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 42 (572,666)

Abstract:

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synthetic CDO's, large deviations, investment-grade tranches

12.

Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's - Part ll: A Large Heterogeneous Pool

Number of pages: 46 Posted: 24 Apr 2009
Richard Sowers
University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 41 (577,852)
Citation 4

Abstract:

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large deviations, synthetic CDO's

13.

Default Clustering in Large Pools: Large Deviations

Number of pages: 25 Posted: 04 Nov 2013 Last Revised: 24 Sep 2014
Konstantinos Spiliopoulos and Richard Sowers
Boston University and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 33 (622,838)
Citation 1

Abstract:

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14.

A Multicrop Program for Optimal Harvesting Decisions in Distributed Grain Production Systems

Number of pages: 36 Posted: 04 Oct 2022
affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 0 (930,918)

Abstract:

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grain harvesting, distributed farm systems, on-farm storage, optimization, decision support