← All authors Samuel N. Cohen University of Oxford (from arXiv:2305.10256, 2023) · ORCID · OpenAlex
30 papers in scope · 29 published · 1 on the econ.EM arXiv · 412 citations · h-index 9 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Remigijus Leipus Dmitrij Celov Saulius Jokubaitis Paulina Jonéus Sebastian Ankargren Dan Zhu Jonas Striaukas Éric Ghysels Aubrey Poon Andrii Babii Etiënne Wijler Giulia Mantoan Lars Nesheim Lingyi Yang Stephan Smeekes Joshua C. C. Chan Áureo de Paula Gregor Kastner Måns Unosson Ryan T. Ball Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 30)
Interest rate models in decentralised lending protocols
published 2026 · Digital Finance · 4 citations · first circulated 2023
with Leandro Sánchez-Betancourt, Łukasz Szpruch
Global Convergence of Deep Galerkin and PINN Methods for Solving Partial Differential Equations
published 2026 · SIAM Journal on Financial Mathematics · 2 citations · first circulated 2023
with D M Brosi Z D Jiang, Justin Sirignano, Deqing Jiang
Asymptotic randomised control with applications to bandits
published 2026 · 1 citations
with Tanut Treetanthiploet
Optimal Adaptive Control with Separable Drift Uncertainty
published 2025 · 3 citations · first circulated 2023
with Christoph Knochenhauer, Alexander Merkel
Statistical Predictions of Trading Strategies in Electronic Markets
published 2024 · Journal of Financial Econometrics · 3 citations · first circulated 2023
with Álvaro Cartea, Robert Graumans, Saad Labyad, Leandro Sánchez-Betancourt, Leon van Veldhuijzen, Rob Graumans
Subtle variation in sepsis-III definitions markedly influences predictive performance within and across methods
published 2024 · Scientific Reports · 7 citations
with James Foster, Peter R. Foster, Hang Lou, Terry Lyons, Sam Morley, James Morrill, Hao Ni, Edward Palmer, Bo Wang, Yue Wu, Lingyi Yang, Weixin Yang, …
working paper 2023 · arXiv · 3 citations
Estimating risks of European option books using neural stochastic differential equation market models
published 2023 · The Journal of Computational Finance · 1 citations
with Christoph Reisinger, Sheng Wang
Reflected backward stochastic difference equations and optimal stopping problems under g-expectation
published 2023 · Electronic Journal of Probability · 8 citations · first circulated 2013
with Lifen An, Shaolin Ji
Hedging Option Books Using Neural-SDE Market Models
published 2022 · Applied Mathematical Finance · 3 citations
with Christoph Reisinger, Sheng Wang
Arbitrage-Free Neural-SDE Market Models
published 2021 · Applied Mathematical Finance · 12 citations
with Christoph Reisinger, Sheng Wang
Healing Gaussian Process Experts
published 2020 · International Conference on Machine Learning
with Rendani Mbuvha, Tshilidzi Marwala, Marc Peter Deisenroth
no link
European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty
published 2019 · Springer proceedings in mathematics & statistics · 5 citations · first circulated 2018
Parameter Uncertainty in the Kalman--Bucy Filter
published 2019 · 3 citations
with Andrew L. Allan
Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications
published 2019 · Springer proceedings in mathematics & statistics · 1 citations
with István Gyöngy, Gonçalo dos Reis, David Šiška, Łukasz Szpruch
Switching cost models as hypothesis tests
published 2018 · Economics Letters · 7 citations
with Timo Henckel, Gordon Menzies, Johannes Muhle-Karbe, Daniel John Zizzo
Malliavin calculus in a binomial framework
published 2018 · Applied Stochastic Models in Business and Industry
with Robert J. Elliott, Tak Kuen Siu
Nash equilibria for nonzero-sum ergodic stochastic differential games
published 2017 · Journal of Applied Probability
with Victor Fedyashov
Ergodic backward stochastic difference equations
published 2016 · Stochastics · 2 citations
with Andrew L. Allan
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
published 2015 · Journal of Applied Probability · 11 citations
with Robert J. Elliott, Tak Kuen Siu
Undiscounted Markov Chain BSDEs to Stopping Times
published 2014 · Journal of Applied Probability · 7 citations · first circulated 2013
A generalized Girsanov transformation of finite state stochastic processes in discrete time
published 2013 · Statistics & Probability Letters
with Shaolin Ji, Shuzhen Yang
Ergodic BSDEs Driven by Markov Chains
published 2013 · 25 citations · first circulated 2012
with Ying Hu
A limit order book model for latency arbitrage
published 2012 · Mathematics and Financial Economics · 5 citations · first circulated 2011
with Łukasz Szpruch
On Markovian solutions to Markov Chain BSDEs
published 2012 · 22 citations · first circulated 2011
with Łukasz Szpruch
Representing filtration consistent nonlinear expectations as g -expectations in general probability spaces
published 2011 · Stochastic Processes and their Applications · 24 citations
Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations
published 2011 · 46 citations
with Robert J. Elliott
A general comparison theorem for backward stochastic differential equations
published 2010 · Advances in Applied Probability · 32 citations
with Robert J. Elliott, C. E. M. Pearce
A general theory of finite state Backward Stochastic Difference Equations
published 2010 · Stochastic Processes and their Applications · 103 citations
with Robert J. Elliott
Solutions of backward stochastic differential equations on Markov chains
published 2008 · Communications on Stochastic Analysis · 72 citations
with Robert J. Elliott
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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