2 citations · 2 across the 2 of their papers we have counts for
3 papers
Model-based gym environments for limit order book trading
Joseph Jerome, Leandro Sanchez-Betancourt, Rahul Savani +1
Within the mathematical finance literature there is a rich catalogue of mathematical models for studying algorithmic trading problems -- such as market-making and optimal execution…
The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility
David Hobson, Martin Herdegen, Joseph Jerome
In this article we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a consta…
An elementary approach to the Merton problem
Martin Herdegen, David Hobson, Joseph Jerome
In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black - Scholes - Merton market for an agent with constant relative r…