2.3k citations · 2.7k across the 51 of their papers we have counts for
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Optimal Investment, Demand and Arbitrage under Price Impact
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price im…
Pathwise moderate deviations for option pricing
Antoine Jacquier, Konstantinos Spiliopoulos
We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling allows…
DGM: A deep learning algorithm for solving partial differential equations
Justin Sirignano, Konstantinos Spiliopoulos
High-dimensional PDEs have been a longstanding computational challenge. We propose to solve high-dimensional PDEs by approximating the solution with a deep neural network which is…
The pricing of contingent claims and optimal positions in asymptotically complete markets
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors…