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

6

DOWNLOADS

1,075

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (6)

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 490 (75,804)

Abstract:

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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

2.

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 213 (185,865)
Citation 1

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

3.

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 179 (217,439)
Citation 1

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

4.

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 166 (234,177)

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

5.

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 18 (673,435)

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

6.

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 (743,359)
Citation 1

Abstract:

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Inference, switching cost, inferential expectations, hypothesis test.