Agnes Tourin

NYU Tandon - Department of Finance and Risk Engineering

Industry Assistant Professor

NY

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 17,482

SSRN RANKINGS

Top 17,482

in Total Papers Downloads

3,062

SSRN CITATIONS
Rank 46,455

SSRN RANKINGS

Top 46,455

in Total Papers Citations

10

CROSSREF CITATIONS

3

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 1,609 (11,782)
Citation 10

Abstract:

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

2.

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 LI and Agnes Tourin
New York University and NYU Tandon - Department of Finance and Risk Engineering
Downloads 419 (76,917)

Abstract:

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

3.

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 412 (78,517)

Abstract:

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

4.

Optimal Bank Management Under Capital and Liquidity Constraints

Journal of Financial Engineering, Forthcoming, NYU Tandon Research Paper No. 2279627
Number of pages: 37 Posted: 16 Jun 2013 Last Revised: 26 Jun 2017
Fabian Astic and Agnes Tourin
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 220 (153,843)
Citation 1

Abstract:

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Liquidity, bank regulations, optimal portfolio selection, transaction costs

5.

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 203 (165,749)

Abstract:

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

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 107 (279,143)

Abstract:

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

7.

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 92 (308,461)

Abstract:

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bank regulations, optimal stochastic control, Finite Difference scheme