South Kensington Campus
Imperial College
LONDON, SW7 2AZ
United Kingdom
Imperial College London - Department of Mathematics
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Optimal stochastic control, stochastic games, price impact, predictive signals, Stackelberg equilibrium
optimal portfolio liquidation, price impact, propagator models, predictive signals, Volterra stochastic control, offline reinforcement learning, nonparametric estimation, pessimistic principle, regret analysis
central risk book, market making, optimal liquidation, price impact, partially observable stochastic control
optimal portfolio choice, price impact, cross-impact, propagator models, predictive signals, Volterra stochastic control
optimal portfolio liquidation, price impact, propagator models, predictive signals, Volterra stochastic control
mean-field games, Nash equilibrium, Volterra stochastic control, optimal portfolio liquidation, systemic risk, price impac
Optimal portfolio liquidation, price impact, propagator models, predictive signals, Volterra stochastic control, non-parametric estimation, reinforcement learning, regret analysis
crowding, indexing strategies, price impact, Russell Index
stochastic games, network games, Nash equilibrium, non-Markovian, Volterra stochastic control, graphon games
Price impact, term structure models, fixed-income market impact, cross impact, impacted risk-neutral measure, impacted yield curve, optimal execution, impacted bond price, impacted Eurodollar futures price
currency target zone, currency peg, price impact, central bank intervention, singular stochastic control, second-order differential equation with infinite boundary conditions
limit order books, fragmented markets, fluid limits, asymptotic stability, order routing
Crowding, Optimal Portfolio Liquidation, Price Impact, Mean Field Games, Optimal Stochastic Control, Predictive Signals
price impact, stochastic games, closed-loop Nash equilibrium
currency peg, market impact, target zone models, singular stochastic control, local time, Stackelberg equilibrium
market making, price impact, market equilibrium, metastability, Kyle's model, market liquidity, market microstructure, neural networks
