Agnes Tourin

NYU Tandon - Department of Finance and Risk Engineering

Industry Assistant Professor

NY

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 20,091

SSRN RANKINGS

Top 20,091

in Total Papers Downloads

3,317

SSRN CITATIONS
Rank 47,730

SSRN RANKINGS

Top 47,730

in Total Papers Citations

11

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 1,706 (13,210)
Citation 11

Abstract:

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

2.

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 500 (73,971)

Abstract:

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

3.

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 452 (83,377)

Abstract:

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

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 228 (173,893)
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 208 (189,563)

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 129 (283,055)

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 94 (352,186)

Abstract:

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bank regulations, optimal stochastic control, Finite Difference scheme