Ivan Guo
Ivan Guo
Adresse e-mail validée de monash.edu
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A zero-sum competitive multi-player game
I Guo, M Rutkowski
Demonstratio Mathematica 45 (2), 415-433, 2012
102012
Equal risk pricing under convex trading constraints
I Guo, SP Zhu
Journal of Economic Dynamics and Control 76, 136-151, 2017
92017
Effective and simple VWAP options pricing model
A Buryak, I Guo
International Journal of Theoretical and Applied Finance 17 (06), 1450036, 2014
92014
Discrete-time multi-player stopping and quitting games with redistribution of payoffs
I Guo, M Rutkowski
Arbitrage, Credit and Informational Risks, 171-206, 2014
72014
Discrete time stochastic multi-player competitive games with affine payoffs
I Guo, M Rutkowski
Stochastic Processes and their Applications 126 (1), 1-32, 2016
6*2016
Arbitrage pricing of multi-person game contingent claims
I Guo, M Rutkowski
arXiv preprint arXiv:1405.2718, 2014
52014
Competitive multi-player stochastic games with applications to multi-person financial contracts
I Guo
University of Sydney, 2013
52013
New analytic approach to address put–call parity violation due to discrete dividends
A Buryak, I Guo
Applied Mathematical Finance 19 (1), 37-58, 2012
52012
Robust utility maximization under model uncertainty via a penalization approach
I Guo, N Langrené, G Loeper, W Ning
Available at SSRN 3612503, 2020
42020
Local volatility calibration by optimal transport
I Guo, G Loeper, S Wang
2017 MATRIX Annals, 51-64, 2019
42019
Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives
I Guo, G Loeper
Available at SSRN 3302384, 2018
42018
Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
I Guo, G Loeper
Journal of Optimization Theory and Applications 179 (2), 598-617, 2018
42018
Optimal execution with regime-switching market resilience
CC Siu, I Guo, SP Zhu, RJ Elliott
Journal of Economic Dynamics and Control 101, 17-40, 2019
32019
Pricing European options on regime-switching assets: a comparative study of Monte Carlo and finite-difference approaches
XC Zeng, I Guo, SP Zhu
The ANZIAM Journal 59 (2), 183-199, 2017
32017
On the nonexistence of pseudo-generalized quadrangles
I Guo, JH Koolen, G Markowsky, J Park
European Journal of Combinatorics 89, 103128, 2020
12020
Calibration of local-stochastic volatility models by optimal transport
I Guo, G Loeper, S Wang
arXiv preprint arXiv:1906.06478, 2019
12019
Designing All-Weather Overlays—A Study on Option-Based Systematic Strategies
I Guo, G Loeper
Available at SSRN 3688843, 2020
2020
On Dynkin Games with Unordered Payoff Processes
I Guo
arXiv preprint arXiv:2008.06882, 2020
2020
Joint Modelling and Calibration of SPX and VIX by Optimal Transport
I Guo, G Loeper, J Obłój, S Wang
Available at SSRN 3568998, 2020
2020
Pricing contingent claims with short selling bans
G Ma, SP Zhu, I Guo
arXiv preprint arXiv:1910.04960, 2019
2019
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