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个人简介
I am an Associate Professor in the Mathematical Institute at Oxford. I am also an associate member of the Oxford-Man Institute, a member of the Oxford-Nie Financial Big Data Lab and a Senior Research Fellow at New College.
My main research interests are in the areas of stochastic analysis and mathematical finance. In particular, I am interested in the interaction between statistical learning, decision making and control and uncertainty aversion.
One area I have been working on recently is how to build statistical uncertainty directly into preferences. This can be done using a "nonlinear expectation", which involves considering a range of possible probabilistic models, and combining them in a nonlinear way. By using observational data to determine which models are reasonable we connect our observations and our preferences in a direct way.
A key problem in risk-averse decision making is time-consistency: "How can I be sure that tomorrow's decisions will satisfy today's objectives?" To guarantee time-consistency, we must ensure that the objective pursued satisfies certain properties. These properties, in general, are satisfied by solutions to "Backward Stochastic Differential Equations".
My main research interests are in the areas of stochastic analysis and mathematical finance. In particular, I am interested in the interaction between statistical learning, decision making and control and uncertainty aversion.
One area I have been working on recently is how to build statistical uncertainty directly into preferences. This can be done using a "nonlinear expectation", which involves considering a range of possible probabilistic models, and combining them in a nonlinear way. By using observational data to determine which models are reasonable we connect our observations and our preferences in a direct way.
A key problem in risk-averse decision making is time-consistency: "How can I be sure that tomorrow's decisions will satisfy today's objectives?" To guarantee time-consistency, we must ensure that the objective pursued satisfies certain properties. These properties, in general, are satisfied by solutions to "Backward Stochastic Differential Equations".
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Álvaro Cartea,Samuel N. Cohen, Rob Graumans, Saad Labyad,Leandro Sánchez-Betancourt, Leon van Veldhuijzen
Social Science Research Network (2023)
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Journal of Computational Financeno. 3 (2023): 33-72
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arXiv (Cornell University) (2023)
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arXiv (Cornell University) (2023)
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Social Science Research Network (2023)
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CoRR (2023)
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