Agnes Tourin

NYU Tandon - Department of Finance and Risk Engineering

Industry Assistant Professor

NY

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 17,332

SSRN RANKINGS

Top 17,332

in Total Papers Downloads

2,263

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 (12,183)

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 (137,048)

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, 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 142 (128,081)

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 (134,885)

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 (257,244)

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 (301,054)

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 (86,991)

Abstract:

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