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Publications

by members of

Oxford University → Oxford-Man Institute of Quantitative Finance

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2021

  1. Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala, 2021, "Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics," Working Paper Series, Federal Reserve Bank of San Francisco, number 2021-23, Mar, DOI: 10.24148/wp2021-23.
  2. Mathias S. Kruttli & Phillip J. Monin & Lubomir Petrasek & Sumudu W. Watugala, 2021, "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-038, Jun, DOI: 10.17016/FEDS.2021.038.

2020

  1. Gechun Liang & Xingchun Wang, 2020, "Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes," Papers, arXiv.org, number 2001.09443, Jan, revised Jun 2020.
  2. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020, "A Data-driven Market Simulator for Small Data Environments," Papers, arXiv.org, number 2006.14498, Jun.

2019

  1. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019, "An ergodic BSDE approach to entropic risk measure and its large time behavior," Post-Print, HAL, number hal-01361585, DOI: 10.1007/s00780-018-0377-3.
  2. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019, "Nonparametric pricing and hedging of exotic derivatives," Papers, arXiv.org, number 1905.00711, May.
  3. Jasdeep Kalsi & Terry Lyons & Imanol Perez Arribas, 2019, "Optimal execution with rough path signatures," Papers, arXiv.org, number 1905.00728, May.
  4. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019, "Numerical method for model-free pricing of exotic derivatives using rough path signatures," Papers, arXiv.org, number 1905.01720, May, revised Feb 2020.
  5. Meraj Allahrakha & Jill Cetina & Benjamin Munyan & Sumudu Watugala, 2019, "The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption," Working Papers, Office of Financial Research, US Department of the Treasury, number 19-02, Aug.
  6. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2019, "The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks," Working Papers, Office of Financial Research, US Department of the Treasury, number 19-03, Oct.

2018

  1. Ying Hu & Gechun Liang & Shanjian Tang, 2018, "Systems of ergodic BSDEs arising in regime switching forward performance processes," Papers, arXiv.org, number 1807.01816, Jul, revised Jun 2020.
  2. Wing Fung Chong & Gechun Liang, 2018, "Optimal investment and consumption with forward preferences and uncertain parameters," Papers, arXiv.org, number 1807.01186, Jul, revised Nov 2023.
  3. Gechun Liang & Haodong Sun, 2018, "Dynkin games with Poisson random intervention times," Papers, arXiv.org, number 1803.00329, Mar, revised Jul 2019.
  4. Gechun Liang & Zhou Yang, 2018, "Analysis of the optimal exercise boundary of American put options with delivery lags," Papers, arXiv.org, number 1805.02909, May, revised Dec 2020.
  5. Jerry Tsai & Jessica A. Wachter, 2018, "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 24641, May.

2017

  1. Ying Hu & Gechun Liang & Shanjian Tang, 2017, "Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility," Papers, arXiv.org, number 1707.00199, Jul, revised Oct 2024.
  2. Zhou Yang & Gechun Liang & Chao Zhou, 2017, "Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs," Papers, arXiv.org, number 1711.02939, Nov, revised Dec 2018.
  3. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017, "Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-121, Dec, DOI: 10.17016/FEDS.2017.121.

2016

  1. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2016, "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Papers, arXiv.org, number 1607.02289, Jul, revised Apr 2017.

2015

  1. Huiwen Yan & Zhou Yang & Fahuai Yi & Gechun Liang, 2015, "Dynkin Game of Convertible Bonds and Their Optimal Strategy," Papers, arXiv.org, number 1503.08961, Mar.
  2. Huiwen Yan & Gechun Liang & Zhou Yang, 2015, "Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints," Papers, arXiv.org, number 1503.08969, Mar.
  3. Gechun Liang & Thaleia Zariphopoulou, 2015, "Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE," Papers, arXiv.org, number 1511.04863, Nov, revised Nov 2016.
  4. Jerry Tsai & Jessica A. Wachter, 2015, "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 20926, Feb.
  5. Sumudu W. Watugala, 2015, "Economic Uncertainty and Commodity Futures Volatility," Working Papers, Office of Financial Research, US Department of the Treasury, number 15-14, Aug.

2014

  1. Vicky Henderson & Gechun Liang, 2014, "Pseudo Linear Pricing Rule for Utility Indifference Valuation," Papers, arXiv.org, number 1403.7830, Mar.
  2. Terry Lyons, 2014, "Rough paths, Signatures and the modelling of functions on streams," Papers, arXiv.org, number 1405.4537, May.
  3. Jerry Tsai & Jessica A. Wachter, 2014, "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20062, Apr.
  4. Rui Albuquerque & Tarun Ramadorai & Sumudu W. Watugala, 2014, "Trade Credit and Cross-country Predictable Firm Returns," Staff Discussion Papers, Office of Financial Research, US Department of the Treasury, number 14-04, Nov.

2013

  1. Lajos Gergely Gyurk'o & Terry Lyons & Mark Kontkowski & Jonathan Field, 2013, "Extracting information from the signature of a financial data stream," Papers, arXiv.org, number 1307.7244, Jul, revised Jul 2014.
  2. Daniel Levin & Terry Lyons & Hao Ni, 2013, "Learning from the past, predicting the statistics for the future, learning an evolving system," Papers, arXiv.org, number 1309.0260, Sep, revised Mar 2016.
  3. Jerry Tsai, 2013, "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers, University of Oxford, Department of Economics, number 665, Jul.

2012

  1. Gechun Liang & Eva Lutkebohmert & Wei Wei, 2012, "Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model," Papers, arXiv.org, number 1209.3513, Sep, revised Mar 2015.
  2. Neil Shephard & Kevin Sheppard, 2012, "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Series Working Papers, University of Oxford, Department of Economics, number 593, Feb.
  3. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate Rotated ARCH Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W01, Feb.

2011

  1. Vicky Henderson & Gechun Liang, 2011, "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers, arXiv.org, number 1111.3856, Nov, revised Sep 2015.
  2. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011, "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11032, May.
  3. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011, "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 533, Feb.
  4. Albuquerque, Rui & Watugala, Sumudu, 2011, "Trade Credit and International Return Comovement," CEPR Discussion Papers, Centre for Economic Policy Research, number 8222, Feb.

2010

  1. G. Liang & T. Lyons & Z. Qian, 2010, "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers, arXiv.org, number 1011.4499, Nov.

2009

  1. Neil Shephard & Thomas Flury, 2009, "Learning and filtering via simulation: smoothly jittered particle filters," Economics Series Working Papers, University of Oxford, Department of Economics, number 469, Dec.
  2. Nathaniel Frank & Mr. Heiko Hesse, 2009, "Financial Spillovers to Emerging Markets During the Global Financial Crisis," IMF Working Papers, International Monetary Fund, number 2009/104, May.
  3. Mr. Heiko Hesse & Nathaniel Frank, 2009, "The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis," IMF Working Papers, International Monetary Fund, number 2009/206, Sep.
  4. Nathaniel Frank, 2009, "Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W04, Mar.
  5. Neil Shephard & Kevin Sheppard, 2009, "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W03, Jul.
  6. Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009, "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series, Oxford Financial Research Centre, number 2009fe03.

2008

  1. Thomas Flury & Neil Shephard, 2008, "Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models," OFRC Working Papers Series, Oxford Financial Research Centre, number 2008fe32.
  2. Mr. Heiko Hesse & Nathaniel Frank & Ms. Brenda Gonzalez-Hermosillo, 2008, "Transmission of Liquidity Shocks: Evidence from the 2007 Subprime Crisis," IMF Working Papers, International Monetary Fund, number 2008/200, Aug.
  3. Frank, Nathaniel & Ley, Eduardo, 2008, "Refinements to the probabilistic approach to fiscal sustainability analysis," Policy Research Working Paper Series, The World Bank, number 4709, Sep.
  4. Andrew J. Patton & Kevin Sheppard, 2008, "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series, Oxford Financial Research Centre, number 2008fe22.
  5. Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008, "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers, University of Oxford, Department of Economics, number 403, Sep.

2001

  1. Robert F. Engle & Kevin Sheppard, 2001, "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers, National Bureau of Economic Research, Inc, number 8554, Oct.

Journal articles

2025

  1. DECOVID Consortium & Louis J. M. Aslett & Andreea Avramescu & Nicholas Bakewell & Isabel Birds & Louise Bowler & Michael P. J. Camilleri & Sheng-Chia Chung & David A. Clifton & Samuel N. Cohen & Natha, 2025, "DECOVID: A UK Two-Center Harmonized Database of Acute Care Electronic Health Records for COVID-19 Research," Data, MDPI, volume 10, issue 12, pages 1-27, November.

2024

  1. Lyons, Terry J. & Margarint, Vlad & Nejad, Sina, 2024, "Convergence to closed-form distribution for the backward SLEκ at some random times and the phase transition at κ=8," Statistics & Probability Letters, Elsevier, volume 205, issue C, DOI: 10.1016/j.spl.2023.109958.
  2. Augustus Kmetz & Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala & Alan Yan, 2024, "Extreme Weather and Financial Market Uncertainty," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, volume 2024, issue 01, pages 1-5, January.
  3. Ivan T Ivanov & Mathias S Kruttli & Sumudu W Watugala, 2024, "Banking on Carbon: Corporate Lending and Cap-and-Trade Policy," The Review of Financial Studies, Society for Financial Studies, volume 37, issue 5, pages 1640-1684.

2023

  1. Ibraheem, Rasheed & Wu, Yue & Lyons, Terry & dos Reis, Gonçalo, 2023, "Early prediction of Lithium-ion cell degradation trajectories using signatures of voltage curves up to 4-minute sub-sampling rates," Applied Energy, Elsevier, volume 352, issue C, DOI: 10.1016/j.apenergy.2023.121974.

2022

  1. Yue Wu & Guy M Goodwin & Terry Lyons & Kate E A Saunders, 2022, "Identifying psychiatric diagnosis from missing mood data through the use of log-signature features," PLOS ONE, Public Library of Science, volume 17, issue 11, pages 1-18, November, DOI: 10.1371/journal.pone.0276821.
  2. Kruttli, Mathias S. & Monin, Phillip J. & Watugala, Sumudu W., 2022, "The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks," Journal of Financial Economics, Elsevier, volume 146, issue 3, pages 965-988, DOI: 10.1016/j.jfineco.2022.02.002.

2020

  1. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2020, "Non-parametric Pricing and Hedging of Exotic Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 27, issue 6, pages 457-494, November, DOI: 10.1080/1350486X.2021.1891555.

2019

  1. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019, "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Finance and Stochastics, Springer, volume 23, issue 1, pages 239-273, January, DOI: 10.1007/s00780-018-0377-3.
  2. P J Moore & T J Lyons & J Gallacher & for the Alzheimer’s Disease Neuroimaging Initiative, 2019, "Random forest prediction of Alzheimer’s disease using pairwise selection from time series data," PLOS ONE, Public Library of Science, volume 14, issue 2, pages 1-14, February, DOI: 10.1371/journal.pone.0211558.
  3. Terry Lyons & Sina Nejad & Imanol Perez Arribas, 2019, "Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures," Applied Mathematical Finance, Taylor & Francis Journals, volume 26, issue 6, pages 583-597, November, DOI: 10.1080/1350486X.2020.1726784.
  4. Sumudu W. Watugala, 2019, "Economic uncertainty, trading activity, and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 8, pages 921-945, August, DOI: 10.1002/fut.22018.

2016

  1. Flint, Guy & Hambly, Ben & Lyons, Terry, 2016, "Discretely sampled signals and the rough Hoff process," Stochastic Processes and their Applications, Elsevier, volume 126, issue 9, pages 2593-2614, DOI: 10.1016/j.spa.2016.02.011.

2015

  1. Albuquerque, Rui & Ramadorai, Tarun & Watugala, Sumudu W., 2015, "Trade credit and cross-country predictable firm returns," Journal of Financial Economics, Elsevier, volume 115, issue 3, pages 592-613, DOI: 10.1016/j.jfineco.2014.10.007.

2014

  1. Vicky Henderson & Gechun Liang, 2014, "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, volume 18, issue 3, pages 593-615, July, DOI: 10.1007/s00780-014-0235-x.
  2. Gechun Liang & Eva Lütkebohmert & Yajun Xiao, 2014, "A Multiperiod Bank Run Model for Liquidity Risk," Review of Finance, European Finance Association, volume 18, issue 2, pages 803-842.

2012

  1. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 907-933, September.

2011

  1. Flury, Thomas & Shephard, Neil, 2011, "Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models," Econometric Theory, Cambridge University Press, volume 27, issue 5, pages 933-956, October.
  2. Jianwei Lin & Gechun Liang & Sen Wu & Harry Zheng, 2011, "The Valuation Of The Basket Cds In A Primary-Subsidiary Model," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., volume 28, issue 02, pages 213-238, DOI: 10.1142/S0217595911003144.

2010

  1. Neil Shephard & Kevin Sheppard, 2010, "Realising the future: forecasting with high-frequency-based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 25, issue 2, pages 197-231, DOI: 10.1002/jae.1158.

2009

  1. Nathaniel Frank & Heiko Hesse, 2009, "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 59, issue 6, pages 507-521, December.
  2. Nathaniel Frank & Eduardo Ley, 2009, "On the Probabilistic Approach to Fiscal Sustainability: Structural Breaks and Non-Normality," IMF Staff Papers, Palgrave Macmillan, volume 56, issue 4, pages 742-757, November.
  3. Patton, Andrew J. & Sheppard, Kevin, 2009, "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 218-238.

2006

  1. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006, "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 4, pages 537-572.

2004

  1. A. Norman & A. Ahmed & J. Chou & A. Dalal & K. Fortson & M. Jindal & C. Kurz & H. Lee & K. Payne & R. Rando & K. Sheppard & E. Sublett & J. Sussman & I. White, 2004, "On the Computational Complexity of Consumer Decision Rules," Computational Economics, Springer;Society for Computational Economics, volume 23, issue 2, pages 173-192, March.

2003

  1. Norman, A. & Ahmed, M. & Chou, J. & Fortson, K. & Kurz, C. & Lee, H. & Linden, L. & Meythaler, K. & Rando, R. & Sheppard, K., 2003, "An ordering experiment," Journal of Economic Behavior & Organization, Elsevier, volume 50, issue 2, pages 249-262, February.

2002

  1. Crisan Dan & Lyons Terry, 2002, "Minimal Entropy Approximations and Optimal Algorithms," Monte Carlo Methods and Applications, De Gruyter, volume 8, issue 4, pages 343-356, December, DOI: 10.1515/mcma.2002.8.4.343.

1996

  1. Lyons, T. J. & Röckner, M. & Zhang, T. S., 1996, "Martingale decomposition of Dirichlet processes on the Banach space C0[0, 1]," Stochastic Processes and their Applications, Elsevier, volume 64, issue 1, pages 31-38, November.

1995

  1. T. J. Lyons, 1995, "Uncertain volatility and the risk-free synthesis of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 2, issue 2, pages 117-133, DOI: 10.1080/13504869500000007.

Chapters

2026

  1. Hans Bühler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2026, "A Data-Driven Market Simulator for Small Data Environments," Springer Books, Springer, in: Dan Crisan & Ilya Chevyrev & Thomas Cass & James Foster & Christian Litterer & Cristopher Salvi, "Stochastic Analysis and Applications 2025", DOI: 10.1007/978-3-032-03914-9_10.
  2. James Morrill & Adeline Fermanian & Patrick Kidger & Terry Lyons, 2026, "A Canonical Signature-Based Feature Set for Multivariate Time Series Classification," Springer Books, Springer, in: Dan Crisan & Ilya Chevyrev & Thomas Cass & James Foster & Christian Litterer & Cristopher Salvi, "Stochastic Analysis and Applications 2025", DOI: 10.1007/978-3-032-03914-9_3.

2024

  1. Adeline Fermanian & Jiawei Chang & Terry Lyons & Gérard Biau, 2024, "The Insertion Method to Invert the Signature of a Path," Springer Books, Springer, in: Matteo Barigozzi & Siegfried Hörmann & Davy Paindaveine, "Recent Advances in Econometrics and Statistics", DOI: 10.1007/978-3-031-61853-6_29.

2022

  1. Weixin Yang & Terry Lyons & Hao Ni & Cordelia Schmid & Lianwen Jin, 2022, "Developing the Path Signature Methodology and Its Application to Landmark- Based Human Action Recognition," Springer Books, Springer, in: George Yin & Thaleia Zariphopoulou, "Stochastic Analysis, Filtering, and Stochastic Optimization", DOI: 10.1007/978-3-030-98519-6_18.

2011

  1. Lajos Gergely Gyurkó & Terry J. Lyons, 2011, "Efficient and Practical Implementations of Cubature on Wiener Space," Springer Books, Springer, in: Dan Crisan, "Stochastic Analysis 2010", DOI: 10.1007/978-3-642-15358-7_5.

2007

  1. Keisuke Hara & Terry Lyons, 2007, "Smooth Rough Paths and the Applications," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe, "Stochastic Processes And Applications To Mathematical Finance".
  2. Christian Litterer & Terry Lyons, 2007, "Cubature on Wiener Space Continued," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe, "Stochastic Processes And Applications To Mathematical Finance".

1996

  1. T. J. Lyons & Z. M. Qian, 1996, "Calculus for multiplicative functionals, Itô’s formula and differential equations," Springer Books, Springer, in: Nobuyuki Ikeda & Shinzo Watanabe & Masatoshi Fukushima & Hiroshi Kunita, "Itô’s Stochastic Calculus and Probability Theory", DOI: 10.1007/978-4-431-68532-6_15.

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