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

8

DOWNLOADS

1,387

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

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 579 (66,150)

Abstract:

Loading...

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

2.

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 237 (178,797)
Citation 1

Abstract:

Loading...

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

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 232 (182,450)

Abstract:

Loading...

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

4.

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 218 (193,595)
Citation 1

Abstract:

Loading...

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

5.

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 56 (494,754)

Abstract:

Loading...

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

6.

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 33 (605,906)

Abstract:

Loading...

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

7.

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 23 (672,046)

Abstract:

Loading...

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

8.

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 9 (789,738)
Citation 1

Abstract:

Loading...

Inference, switching cost, inferential expectations, hypothesis test.