LSE creators

Number of items: 14.
Mathematics
  • Acciaio, Beatrice, Veraguas, Julio Backhoff, Jia, Junchao (2021). Cournot-Nash equilibrium and optimal transport in a dynamic setting. SIAM Journal on Control and Optimization, 59(3), 2273 - 2300. https://doi.org/10.1137/20M1321462
    • Statistics
  • Klemmer, Konstantin, Xu, Tianlin, Acciaio, Beatrice, Neill, Daniel B. (2022). SPATE-GAN: improved generative modeling of dynamic spatio-temporal patterns with an autoregressive embedding loss. In AAAI-22 Technical Tracks 4 (pp. 4523-4531). Association for the Advancement of Artificial Intelligence. https://doi.org/10.1609/aaai.v36i4.20375
  • Acciaio, Beatrice, Veraguas, Julio Backhoff, Jia, Junchao (2021). Cournot-Nash equilibrium and optimal transport in a dynamic setting. SIAM Journal on Control and Optimization, 59(3), 2273 - 2300. https://doi.org/10.1137/20M1321462
  • Acciaio, B., Backhoff-Veraguas, J., Zalashko, A. (2020). Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization. Stochastic Processes and Their Applications, 130(5), 2918 - 2953. https://doi.org/10.1016/j.spa.2019.08.009 picture_as_pdf
  • Acciaio, Beatrice, Guyon, Julien (2020). Short communication: inversion of convex ordering: local volatility does not maximise the price of VIX futures. SIAM Journal on Financial Mathematics, 11(1), SC1 - SC13. https://doi.org/10.1137/19M129303X picture_as_pdf
  • Acciaio, Beatrice, Backhoff-Veraguas, J., Carmona, Rene (2019). Extended mean field control problems: stochastic maximum principle and transport perspective. SIAM Journal on Control and Optimization, 57(6), 3666 - 3693. https://doi.org/10.1137/18M1196479 picture_as_pdf
  • Acciaio, Beatrice, Larsson, Martin, Schachermayer, Walter (2017). The space of outcomes of semi-static trading strategies need not be closed. Finance and Stochastics, 21(3), 741-751. https://doi.org/10.1007/s00780-017-0329-3
  • Acciaio, Beatrice, Larsson, Martin (2017). Semi-static completeness and robust pricing by informed investors. Annals of Applied Probability, 27(4), 2270-2304. https://doi.org/10.1214/16-AAP1259
  • Acciaio, Beatrice, Penner, I. (2016). Characterization of max-continuous local martingales vanishing at infinity. Electronic Communications in Probability, 21(71), 1-10. https://doi.org/10.1214/16-ECP3963
  • Acciaio, Beatrice, Fontana, Claudio, Kardaras, Constantinos (2016). Arbitrage of the first kind and filtration enlargements in semimartingale financial models. Stochastic Processes and Their Applications, 126(6), 1761-1784. https://doi.org/10.1016/j.spa.2015.12.004
  • Acciaio, Beatrice, Beiglböck, M., Penkner, F., Schachermayer, W. (2016). A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Mathematical Finance, 26(2), 233 - 251. https://doi.org/10.1111/mafi.12060
  • Acciaio, Beatrice, Svindland, Gregor (2014). On the lower arbitrage bound of American contingent claims. Mathematical Finance, 24(1), 147-155. https://doi.org/10.1111/j.1467-9965.2012.00519.x
  • Acciaio, B., Beigelböck, M., Penkner, F., Schachermayer, W., Temme, J. (2013). A trajectorial interpretation of Doob's martingale inequalities. Annals of Applied Probability, 23(4), 1494-1505. https://doi.org/10.1214/12-AAP878
  • Acciaio, Beatrice, Föllmer, Hans, Penner, Irina (2012). Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles. Finance and Stochastics, 16(4), 669-709. https://doi.org/10.1007/s00780-012-0176-1
  • Acciaio, Beatrice, Svindland, Gregor (2009). Optimal risk sharing with different reference probabilities. Insurance: Mathematics and Economics, 44(3), 426-433. https://doi.org/10.1016/j.insmatheco.2008.12.002