10 citations · 35 across the 17 of their papers we have counts for
4 papers · 1 filter
Valuation of contingent claims with short selling bans under an equal-risk pricing framework
Guiyuan Ma, Song-Ping Zhu, Ivan Guo
This paper studies the valuation of European contingent claims with short selling bans under the equal risk pricing (ERP) framework proposed in Guo and Zhu (2017) where analytical…
On the nonexistence of pseudo-generalized quadrangles
Ivan Guo, Jack H. Koolen, Greg Markowsky +1
In this paper we consider the question of when a strongly regular graph with parameters can exist. These parameters arise when the graph is derived f…
Robust utility maximization under model uncertainty via a penalization approach
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within…
Calibration of Local-Stochastic Volatility Models by Optimal Transport
Ivan Guo, Gregoire Loeper, Shiyi Wang
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the…