Maxim Bichuch

University at Buffalo, SUNY

12 Capen Hall

Buffalo, NY 14260

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 29,691

SSRN RANKINGS

Top 29,691

in Total Papers Downloads

2,442

SSRN CITATIONS
Rank 10,211

SSRN RANKINGS

Top 10,211

in Total Papers Citations

59

CROSSREF CITATIONS

62

Scholarly Papers (24)

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
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 318 (136,185)
Citation 4

Abstract:

Loading...

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

2.
Downloads 269 (162,062)
Citation 5

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
University at Buffalo, SUNY and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 266 (163,140)

Abstract:

Loading...

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

Investing with Liquid and Illiquid Assets

Mathematical Finance, Vol. 28, Issue 1, pp. 119-152, 2018
Number of pages: 34 Posted: 17 Jan 2018
Maxim Bichuch, Paolo Guasoni and Paolo Guasoni
University at Buffalo, SUNY and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 3 (921,528)
Citation 1

Abstract:

Loading...

portfolio choice, transaction costs, hedging

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
University at Buffalo, SUNY and Princeton University - Department of Operations Research and Financial Engineering
Downloads 207 (208,211)
Citation 6

Abstract:

Loading...

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
University at Buffalo, SUNY and Princeton University - Department of Operations Research and Financial Engineering
Downloads 168 (249,821)
Citation 7

Abstract:

Loading...

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

5.
Downloads 147 (278,729)
Citation 13

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
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 144 (284,225)
Citation 8

Abstract:

Loading...

XVA, counterparty risk, asymmetric rates, collateralization

Arbitrage‐Free XVA

Mathematical Finance, Vol. 28, Issue 2, pp. 582-620, 2018
Number of pages: 39 Posted: 16 Mar 2018
Maxim Bichuch, Agostino Capponi and Stephan Sturm
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 3 (921,528)
Citation 5

Abstract:

Loading...

arbitrage‐free valuation, backward stochastic differential equations, counterparty credit risk, funding spreads, XVA

6.

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
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 147 (278,729)
Citation 6

Abstract:

Loading...

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

7.

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, University at Buffalo, SUNY and Stevens Institute of Technology - School of Business
Downloads 142 (286,398)

Abstract:

Loading...

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

8.

The Learning Premium

Number of pages: 27 Posted: 02 May 2018
Maxim Bichuch, Paolo Guasoni and Paolo Guasoni
University at Buffalo, SUNY and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 125 (315,633)

Abstract:

Loading...

Equilibrium, Asset Pricing, Filtering, Learning

9.

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
University at Buffalo, SUNY and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 116 (332,993)
Citation 8

Abstract:

Loading...

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

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
University at Buffalo, SUNY, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 114 (337,156)
Citation 1

Abstract:

Loading...

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

11.

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
University at Buffalo, SUNY and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 105 (356,615)
Citation 3

Abstract:

Loading...

Transaction costs, optimal control, asymptotic analysis, utility maximization

12.

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
University at Buffalo, SUNY
Downloads 102 (363,488)

Abstract:

Loading...

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

Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration

Number of pages: 33 Posted: 17 Nov 2020 Last Revised: 16 Mar 2021
University at Buffalo, SUNY, Johns Hopkins University, affiliation not provided to SSRN and Johns Hopkins University
Downloads 80 (429,723)

Abstract:

Loading...

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

Optimal Electricity Distribution Pricing Under Risk and High Photovoltaics Penetration

Journal of Energy Markets, Vol. 14, No. 1, 2021
Number of pages: 38 Posted: 04 May 2021
University at Buffalo, SUNY, Johns Hopkins University, Johns Hopkins University and Johns Hopkins University
Downloads 2 (936,939)
  • Add to Cart

Abstract:

Loading...

distributed generation; net metering; optimization; game theory; equilibrium.

14.

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
University at Buffalo, SUNY
Downloads 67 (464,732)
Citation 2

Abstract:

Loading...

Transaction costs, optimal control, asymptotic analysis, utility maximization

15.

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
University at Buffalo, SUNY, Johns Hopkins University and Johns Hopkins University
Downloads 58 (498,936)

Abstract:

Loading...

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

16.

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
University at Buffalo, SUNY
Downloads 45 (556,617)
Citation 1

Abstract:

Loading...

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

17.

Optimization of Fire Sales and Borrowing in Systemic Risk

Number of pages: 9 Posted: 23 Feb 2018
Maxim Bichuch and Zachary Feinstein
University at Buffalo, SUNY and Stevens Institute of Technology - School of Business
Downloads 43 (566,473)
Citation 12

Abstract:

Loading...

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

18.

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
University at Buffalo, SUNY and Stevens Institute of Technology - School of Business
Downloads 39 (587,355)
Citation 1

Abstract:

Loading...

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

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
University at Buffalo, SUNY and University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity
Downloads 37 (598,354)
Citation 1

Abstract:

Loading...

optimal investment, asymptotic analysis, utility maximization, stochastic volatility

20.

Endogenous Inverse Demand Functions

Number of pages: 33 Posted: 18 Feb 2021
Maxim Bichuch and Zachary Feinstein
University at Buffalo, SUNY and Stevens Institute of Technology - School of Business
Downloads 34 (615,671)

Abstract:

Loading...

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

21.

Systemic Risk: the Effect of Market Confidence

Number of pages: 32 Posted: 12 Feb 2021
Maxim Bichuch and Ke Chen
University at Buffalo, SUNY and Johns Hopkins University
Downloads 29 (647,233)

Abstract:

Loading...

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

22.

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
University at Buffalo, SUNY and Princeton University - Department of Operations Research and Financial Engineering
Downloads 24 (683,282)
Citation 1

Abstract:

Loading...

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

23.

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

Number of pages: 10 Posted: 22 Mar 2021
University at Buffalo, SUNY, Johns Hopkins University, affiliation not provided to SSRN and Johns Hopkins University
Downloads 17 (739,889)

Abstract:

Loading...

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

24.

Deep PDE Solution to BSDE

Number of pages: 29 Posted: 23 Sep 2022
Maxim Bichuch and Jiahao Hou
University at Buffalo, SUNY and Johns Hopkins University
Downloads 7 (848,682)

Abstract:

Loading...

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