Samuel N. Cohen

University of Oxford - Mathematical Institute

Woodstock Road

Oxford, Oxfordshire OX26GG

United Kingdom

The Alan Turing Institute

British Library

96 Euston Road

London, NW1 2DB

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS

5,323

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (13)

1.

Statistical Predictions of Trading Strategies in Electronic Markets

Number of pages: 55 Posted: 12 May 2023 Last Revised: 16 May 2023
University of Oxford, University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Mathematical Institute, Mathematical Institute, University of Oxford and Autoriteit Financiële Markten (AFM)
Downloads 2,709 (8,692)

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trading behaviour, proprietary trading data, limit order books, machine learning, statistical models

2.

Black-Box Model Risk in Finance

Number of pages: 31 Posted: 19 Mar 2021
Samuel N. Cohen, Derek Snow and Lukasz Szpruch
University of Oxford - Mathematical Institute, The Alan Turing Institute and University of Edinburgh - School of Mathematics
Downloads 710 (63,563)

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Neural Networks, derivative pricing, hedging, model risk, data cleaning, quantitative finance, data-driven models, market generators, uncertainty, reinforcement learning, sensitivity, adversarial attacks, robustness, expert design

3.

Gradient-based estimation of linear Hawkes processes with general kernels

Number of pages: 51 Posted: 23 Nov 2021
Álvaro Cartea, Samuel N. Cohen and Saad Labyad
University of Oxford, University of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 403 (128,235)

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Hawkes processes, stochastic gradient descent, point processes, Monte Carlo methods, adaptive stratified sampling.

4.

The Paradox of Adversarial Liquidation in Decentralised Lending

Number of pages: 23 Posted: 14 Aug 2023
University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and Morpho Labs
Downloads 386 (133,559)

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decentralised finance, smart contracts, risk managment

5.

Arbitrage-Free Neural-SDE Market Models

Number of pages: 46 Posted: 28 May 2021 Last Revised: 23 Aug 2021
University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative FinanceUniversity of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 298 (176,389)
Citation 3

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Market models, no-arbitrage, European options, neural networks, neural SDE, constrained diffusions, statistical inference

6.

A Limit Order Book Model for Latency Arbitrage

Number of pages: 28 Posted: 21 Oct 2011
Samuel N. Cohen and Lukasz Szpruch
University of Oxford - Mathematical Institute and University of Edinburgh - School of Mathematics
Downloads 273 (193,119)
Citation 1

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limit order book, latency arbitrage, high-frequency trading, Tobin tax

7.

The Economics of Interest Rate Models in Decentralised Lending Protocols

Number of pages: 21 Posted: 01 Dec 2023
University of Oxford - Mathematical Institute, Mathematical Institute, University of Oxford and University of Edinburgh - School of Mathematics
Downloads 178 (296,041)

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decentralised lending protocols, interest rate models, utilisation, PID controller

8.

Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations

Number of pages: 11 Posted: 10 Feb 2023
University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 88 (490,591)

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9.

Hedging Option Books Using Neural-SDE Market Models

Number of pages: 36 Posted: 09 Jun 2022
University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative FinanceUniversity of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 88 (494,069)

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Market models, European options, market simulators, no-arbitrage, neural-SDE, hedging

10.

Correlated Bandits for Dynamic Pricing Via the Arc Algorithm

Number of pages: 14 Posted: 18 Feb 2021
Tanut Treetanthiploet and Samuel N. Cohen
University of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 81 (515,903)

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multi-armed bandit, parametric bandit, generalised linear model, dynamic pricing

11.

Estimating risks of option books using neural-SDE market models

Number of pages: 35 Posted: 16 Feb 2022
University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative FinanceUniversity of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 79 (523,592)

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Market models, European options; risk measures, market simulators; no-arbitrage, neural SDE

12.

Switching Cost Models as Hypothesis Tests

CAMA Working Paper No. 40/2018
Number of pages: 14 Posted: 14 Sep 2018
University of Oxford - Mathematical Institute, Australian National University (Centre for Applied Macroeconomic Analysis), University of Technology Sydney (UTS) - School of Finance and Economics, Imperial College London - Department of Mathematics and University of Queensland - School of Economics
Downloads 29 (804,754)
Citation 1

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Inference, switching cost, inferential expectations, hypothesis test.

13.

Estimating Risks of European Option Books Using Neural Stochastic Differential Equation Market Models

Journal of Computational Finance, Vol. 26, No. 3, 2022
Number of pages: 40 Posted: 09 Mar 2023
University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative FinanceUniversity of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Downloads 1 (1,050,673)
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market models, European options, risk measures, market simulators, no-arbitrage, stochastic differential equation (SDE)