Citation:Dai, Min, et al. “Leveraged Exchange-Traded Funds with Market Closure and Frictions”. Management Science (2022). Web.Download CitationBibTex Tagged XML Publisher's Version
Burzoni, Matteo, Frank Riedel, and H. Mete Soner. “Viability and arbitrage under Knightian uncertainty”. Econometrica 89.3 (2021): , 89, 3, 1207-1234. Print. Viability.pdf
Cheridito, Patrick, et al. “Martingale Optimal Transport Duality”. Mathematische Annalen 379.3-4 (2021): , 379, 3-4, 1685-1712. Print. martingaleoptimaltransportdual.pdf
Keppo, Jussi, Max Reppen, and H. Mete Soner. “Discrete dividend payments in continuous time”. Mathematics of Operations Research 46.3 (2021): , 46, 3, 895-911. Print. Discrete Dividends.pdf
Bouchard, Bruno, et al. “Second order stochastic target problems with generalized market impact”. SIAM Journal on Control and Optimisation 57.6 (2019): , 57, 6, 4125-4149. Print. Impact.pdf
Larsen, Kasper, H. Mete Soner, and Gordan Zitkovic. “Conditional Davis prices”. Finance & Stochastics 24.3 (2020): , 24, 3, 565-599. Print. Davis prices.pdf
Burzoni, Matteo, et al. “Viscosity solutions for controlled McKean–Vlasov jump-diffusions”. SIAM Journal on Control and Optimization 58.3 (2020): , 58, 3, 1676-1699. Print. McKean-Vlasov with jumps.pdf
Reppen, Max, and H. Mete Soner. “Deep Empirical Risk Minimization in finance: looking into the future”. Mathematical Finance (In Press). Print.
Soner, H. Mete, Max Reppen, and Valentin Tissot-Daguette. “Deep Stochastic Optimization in Finance”. Digital Finance (Forthcoming). Print. Deep ERM.pdf
Soner, H. Mete, Max Reppen, and Valentin Tissot-Daguette. “Neural Optimal Stopping Boundary”. (Submitted). Print. neural_optimal_stopping_boundary.pdf
Dai, Min, et al. “Leveraged Exchange-Traded Funds with Market Closure and Frictions”. Management Science (2022). Web. Publisher's Version
Carmona, Rene, Quentin Cormier, and H. Mete Soner. “Synchronization in a Kuramoto Mean Field Game”. arXiv:2210.12912v1 (Submitted). Print. Kuramoto MFG.pdf
Soner, H. Mete, and Qinxin Yan. “Viscosity Solutions for McKean-Vlasov Control on a torus”. archiv:2212.11053 (Submitted). Print. McKean-Vlasov MFG.pdf