Agnes Tourin

NYU Tandon - Department of Finance and Risk Engineering

Industry Assistant Professor

Brooklyn, NY 11201

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 17,489

SSRN RANKINGS

Top 17,489

in Total Papers Downloads

2,193

CITATIONS

0

Scholarly Papers (7)

1.

Dynamic Pairs Trading Using the Stochastic Control Approach

Journal of Economic Dynamics and Control, 2013
Number of pages: 20 Posted: 09 Mar 2012 Last Revised: 07 Feb 2014
Agnes Tourin and Raphael Yan
NYU Tandon - Department of Finance and Risk Engineering and BlackRock, Inc
Downloads 897 (12,252)

Abstract:

Optimal Stochastic Control, Pairs trading, Co-integration, Hamilton-Jacobi-Bellman equation

2.

On the Credit Risk of Secured Loans with Maximum Loan-to-Value Covenants

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 21 Posted: 27 Oct 2011 Last Revised: 07 Aug 2014
Fabian Astic and Agnes Tourin
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 150 (135,527)

Abstract:

Credit risk, secured loans, illiquid asset, optimal stochastic control, HJB equation

3.

Optimal Bank Management Under Capital and Liquidity Constraints

Journal of Financial Engineering, Forthcoming
Number of pages: 37 Posted: 16 Jun 2013 Last Revised: 07 Aug 2014
Fabian Astic and Agnes Tourin
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 142 (132,066)

Abstract:

Liquidity, bank regulations, optimal portfolio selection, transaction costs

4.

An Introduction to Finite Diffference Methods for PDEs in Finance

Book Chapter: Nizar Touzi, Optimal Stochastic Target problems, and Backward SDE, Fields Institute Monographs, 29, Springer, 2013, pp. 201-212.
Number of pages: 18 Posted: 16 Feb 2014 Last Revised: 21 Feb 2014
Agnes Tourin
NYU Tandon - Department of Finance and Risk Engineering
Downloads 67 (141,058)

Abstract:

Partial Differential Equations in Finance, Monotone Finite Difference methods, viscosity solutions

5.

A Regulated Bank Optimal Portfolio with Correlated Liquid and Illiquid Assets

Number of pages: 15 Posted: 10 Mar 2014 Last Revised: 01 Apr 2014
Fabian Astic and Agnes Tourin
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 47 (261,818)

Abstract:

bank regulations, optimal stochastic control, Finite Difference scheme

6.

Optimal Soaring via Hamilton-Jacobi-Bellman Equations

Optimal Control, Applications and Methods, Forthcoming.
Number of pages: 28 Posted: 22 Feb 2014 Last Revised: 03 Apr 2014
Robert Almgren and Agnes Tourin
University of Toronto - Department of Mathematics and NYU Tandon - Department of Finance and Risk Engineering
Downloads 32 (295,122)

Abstract:

Hamilton-Jacobi equations; glider flying; Variational Inequalities; stochastic control; finite difference; monotone approximation

7.

Optimal Pairs Trading with Time-Varying Volatility

International Journal of Financial Engineering, Forthcoming
Number of pages: 45 Posted: 23 Nov 2015 Last Revised: 07 Jan 2016
Thomas N. LI and Agnes Tourin
New York University and NYU Tandon - Department of Finance and Risk Engineering
Downloads 0 (90,564)

Abstract:

Stochastic control; pairs trading; cointegration; Constant Elasticity of Variance; statistical arbitrage