Ivan Guo

Publication Activity (10 Years)

Years Active: 2012-2022
Publications (10 Years): 4

Top Topics

Pricing Mechanism

Monte Carlo Methods

Financial Markets

Stochastic Approximation

Top Venues

Finance Stochastics

J. Optim. Theory Appl.

SIAM J. Financial Math.

Publications

Ivan Guo, Grégoire Loeper, Jan Oblój, Shiyi Wang
Joint Modeling and Calibration of SPX and VIX by Optimal Transport. SIAM J. Financial Math. 13 (1) (2022)
Ivan Guo, Jack H. Koolen, Greg Markowsky, Jongyook Park
On the nonexistence of pseudo-generalized quadrangles. Eur. J. Comb. 89 (2020)
Ivan Guo, Grégoire Loeper
Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo. J. Optim. Theory Appl. 179 (2) (2018)
Ivan Guo, Marek Rutkowski
Arbitrage-free pricing of multi-person game claims in discrete time. Finance Stochastics 21 (1) (2017)
Ivan Guo
Unilaterally Competitive Multi-Player Stopping Games CoRR (2012)