Maxim Bichuch

State University of New York (SUNY) - Buffalo

12 Capen Hall

Buffalo, NY 14260

United States

SCHOLARLY PAPERS

28

DOWNLOADS
Rank 27,212

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Top 27,212

in Total Papers Downloads

3,544

SSRN CITATIONS
Rank 13,057

SSRN RANKINGS

Top 13,057

in Total Papers Citations

61

CROSSREF CITATIONS

56

Scholarly Papers (28)

1.

Arbitrage-Free Pricing of XVA - Part I: Framework and Explicit Examples

Number of pages: 35 Posted: 24 Jan 2015 Last Revised: 15 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
State University of New York (SUNY) - Buffalo, Columbia University - Department of Industrial Engineering and Operations Research and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 346 (162,611)
Citation 4

Abstract:

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XVA, counterparty credit risk, funding spreads, backward stochastic differential equations, arbitrage-free pricing, valuation adjustment

2.

Investing with Liquid and Illiquid Assets

Number of pages: 32 Posted: 14 Nov 2014 Last Revised: 08 Apr 2016
Maxim Bichuch, Paolo Guasoni and Paolo Guasoni
State University of New York (SUNY) - Buffalo and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 308 (183,939)

Abstract:

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portfolio choice, transaction costs, hedging, illiquidity, fund separation

3.

Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon

Number of pages: 29 Posted: 04 Jan 2014 Last Revised: 22 Sep 2015
Maxim Bichuch and Ronnie Sircar
State University of New York (SUNY) - Buffalo and Princeton University - Department of Operations Research and Financial Engineering
Downloads 230 (246,768)
Citation 6

Abstract:

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Transaction costs, optimal investment, asymptotic analysis, utility maximization, stochastic volatility

4.

Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

Number of pages: 24 Posted: 14 Sep 2015 Last Revised: 19 Aug 2018
Maxim Bichuch and Ronnie Sircar
State University of New York (SUNY) - Buffalo and Princeton University - Department of Operations Research and Financial Engineering
Downloads 192 (291,707)
Citation 7

Abstract:

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Transaction costs, optimal investment, asymptotic analysis, utility maximization, stochastic volatility

5.

A Deep Learning Scheme for Solving Fully Nonlinear Partial Differential Equation

Number of pages: 31 Posted: 11 Dec 2022
Maxim Bichuch and Ke Chen
State University of New York (SUNY) - Buffalo and Johns Hopkins University
Downloads 184 (302,822)

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Deep Learning, Machine Learning, Partial Differential Equation, Convergence, Optimal Investment, Transaction Costs.

6.

Arbitrage-Free XVA

Math. Finance 28:2 (2018), 582-620
Number of pages: 39 Posted: 12 Aug 2016 Last Revised: 23 Feb 2020
Maxim Bichuch, Agostino Capponi and Stephan Sturm
State University of New York (SUNY) - Buffalo, Columbia University - Department of Industrial Engineering and Operations Research and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 178 (311,935)
Citation 13

Abstract:

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XVA, counterparty risk, asymmetric rates, collateralization

7.

Arbitrage-Free Pricing of XVA – Part II: PDE Representation and Numerical Analysis

Number of pages: 18 Posted: 23 Feb 2015 Last Revised: 15 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
State University of New York (SUNY) - Buffalo, Columbia University - Department of Industrial Engineering and Operations Research and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 170 (324,765)
Citation 7

Abstract:

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XVA, counterparty credit risk, funding spreads, partial differential equations, viscosity and classical solutions

8.

The Learning Premium

Number of pages: 27 Posted: 02 May 2018
Maxim Bichuch, Paolo Guasoni and Paolo Guasoni
State University of New York (SUNY) - Buffalo and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 148 (364,837)

Abstract:

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Equilibrium, Asset Pricing, Filtering, Learning

9.

Decentralized Payment Clearing using Blockchain and Optimal Bidding

Number of pages: 32 Posted: 02 Sep 2021 Last Revised: 10 Jan 2022
Hamed Amini, Maxim Bichuch and Zachary Feinstein
University of Florida, State University of New York (SUNY) - Buffalo and Stevens Institute of Technology - School of Business
Downloads 145 (370,960)

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blockchain; decentralized finance; decentralized clearing; default contagion; systemic risk

10.

Robust XVA

Forthcoming, Mathematical Finance
Number of pages: 45 Posted: 27 Feb 2018 Last Revised: 23 Feb 2020
Maxim Bichuch, Agostino Capponi and Stephan Sturm
State University of New York (SUNY) - Buffalo, Columbia University - Department of Industrial Engineering and Operations Research and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 138 (385,529)
Citation 1

Abstract:

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robust XVA, counterparty credit risk, backward stochastic differential equation, arbitrage-free valuation

11.

Portfolio Optimization Under Convex Incentive Schemes

Finance Stochastics 18:4, pp. 873-915 (2014)
Number of pages: 39 Posted: 15 Sep 2011 Last Revised: 21 Feb 2015
Maxim Bichuch and Stephan Sturm
State University of New York (SUNY) - Buffalo and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 136 (390,018)
Citation 9

Abstract:

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portfolio optimization, hedgefund manager's problem, incentive scheme, convex duality, incomplete market, stochastic volatility model

12.

Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration

Number of pages: 33 Posted: 17 Nov 2020 Last Revised: 16 Mar 2021
State University of New York (SUNY) - Buffalo, Johns Hopkins University, affiliation not provided to SSRN and Johns Hopkins University
Downloads 133 (397,010)

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Distributed generation, net metering, optimization, game theory, equilibrium

13.

Identification of Optimal Capacity Expansion and Differentiated Capacity Payments Under Risk Aversion

Number of pages: 30 Posted: 10 Jan 2022 Last Revised: 13 Jan 2022
Maxim Bichuch, Benjamin F. Hobbs and Xinyue Song
State University of New York (SUNY) - Buffalo, Johns Hopkins University and Johns Hopkins University
Downloads 130 (404,064)

Abstract:

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Electricity, Capacity Payment, Resource Adequacy, Reliability, Nash Equilibrium, Variational Inequality, Mathematical Program with Equilibrium Constraints (MPEC)

14.

Utility Maximization Trading Two Futures with Transaction Costs

SIAM Journal on Financial Mathematics, Forthcoming
Number of pages: 58 Posted: 04 Jan 2014
Maxim Bichuch and Steven E. Shreve
State University of New York (SUNY) - Buffalo and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 130 (404,064)
Citation 3

Abstract:

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Transaction costs, optimal control, asymptotic analysis, utility maximization

15.

Deep PDE Solution to BSDE

Number of pages: 29 Posted: 23 Sep 2022
Maxim Bichuch and Jiahao Hou
State University of New York (SUNY) - Buffalo and Johns Hopkins University
Downloads 129 (406,525)

Abstract:

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BSDE, PDE, Deep Learning, Deep Galerkin Method, Convergence

16.

Optimal Switching between Locking Down and Opening the Economy Because of an Infection

Number of pages: 15 Posted: 11 Nov 2020 Last Revised: 17 Dec 2020
Maxim Bichuch
State University of New York (SUNY) - Buffalo
Downloads 120 (429,122)

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Optimal Switching, Switching Model, Asymptotic Analysis, Viscosity Solutions, COVID-19.

17.

Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs

SIAM Journal on Financial Mathematics, Forthcoming
Number of pages: 26 Posted: 04 Jan 2014
Maxim Bichuch
State University of New York (SUNY) - Buffalo
Downloads 96 (503,136)
Citation 2

Abstract:

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Transaction costs, optimal control, asymptotic analysis, utility maximization

18.

Optimization of Fire Sales and Borrowing in Systemic Risk

Number of pages: 9 Posted: 23 Feb 2018
Maxim Bichuch and Zachary Feinstein
State University of New York (SUNY) - Buffalo and Stevens Institute of Technology - School of Business
Downloads 92 (517,002)
Citation 18

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Systemic Risk, Networks, Fire Sales, Borrowing, Financial Contagion

19.

Optimal Investment with Correlated Stochastic Volatility Factors

Number of pages: 17 Posted: 30 Aug 2019 Last Revised: 30 Sep 2020
Maxim Bichuch and Jean-Pierre Fouque
State University of New York (SUNY) - Buffalo and University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity
Downloads 75 (584,524)
Citation 1

Abstract:

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optimal investment, asymptotic analysis, utility maximization, stochastic volatility

20.

Decentralized Prediction Markets and Sports Books

Number of pages: 30 Posted: 24 Jul 2023 Last Revised: 03 Aug 2023
Hamed Amini, Maxim Bichuch and Zachary Feinstein
University of Florida, State University of New York (SUNY) - Buffalo and Stevens Institute of Technology - School of Business
Downloads 66 (626,146)

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Decentralized Finance, FinTech, Decentralized Exchange, Automated Market Makers, Prediction Market, Sports Book.

21.

Endogenous Inverse Demand Functions

Number of pages: 33 Posted: 18 Feb 2021
Maxim Bichuch and Zachary Feinstein
State University of New York (SUNY) - Buffalo and Stevens Institute of Technology - School of Business
Downloads 65 (631,136)

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Finance, Systemic Risk, Buhlmann equilibrium, Price impact, Clearing prices

22.

Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment

Finance and Stochastics, Forthcoming
Number of pages: 40 Posted: 04 Jan 2014
Maxim Bichuch
State University of New York (SUNY) - Buffalo
Downloads 64 (636,245)
Citation 1

Abstract:

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Transaction costs, optimal control, asymptotic analysis, utility maximization, option pricing

23.

A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms

Number of pages: 30 Posted: 17 Nov 2020
Maxim Bichuch and Zachary Feinstein
State University of New York (SUNY) - Buffalo and Stevens Institute of Technology - School of Business
Downloads 63 (641,236)
Citation 1

Abstract:

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Finance, Systemic Risk, Price-Mediated Contagion, Repurchase Agreements

24.

Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance

Number of pages: 58 Posted: 02 Oct 2023
Maxim Bichuch and Zachary Feinstein
State University of New York (SUNY) - Buffalo and Stevens Institute of Technology - School of Business
Downloads 56 (679,015)
Citation 4

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Decentralized Finance, FinTech, Decentralized Exchange, Automated Market Makers, Divergence Loss, Blockchain

25.

Supplemental Appendix to Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

Number of pages: 5 Posted: 28 Aug 2018
Maxim Bichuch and Ronnie Sircar
State University of New York (SUNY) - Buffalo and Princeton University - Department of Operations Research and Financial Engineering
Downloads 51 (708,472)
Citation 1

Abstract:

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Transaction costs, optimal investment, asymptotic analysis, utility maximization, stochastic volatility

26.

Systemic Risk: the Effect of Market Confidence

Number of pages: 32 Posted: 12 Feb 2021
Maxim Bichuch and Ke Chen
State University of New York (SUNY) - Buffalo and Johns Hopkins University
Downloads 44 (753,789)

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Systemic risk, market confi dence, overnight interest rate, Nash equilibrium

27.

Supplemental Appendix to Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration

Number of pages: 10 Posted: 22 Mar 2021
State University of New York (SUNY) - Buffalo, Johns Hopkins University, affiliation not provided to SSRN and Johns Hopkins University
Downloads 29 (870,197)

Abstract:

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Distributed generation, net metering, optimization, game theory, equilibrium

28.

When Do You Stop Supporting Your Bankrupt Subsidiary? A Systemic Risk Perspective

Number of pages: 35 Posted: 13 Apr 2023
Maxim Bichuch and Nils Detering
State University of New York (SUNY) - Buffalo and University of California, Santa Barbara (UCSB)
Downloads 26 (897,361)

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systemic risk, financial contagion, holdings, subsidiaries, multilayered networks