Samuel N. Cohen

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Robert ElliottResearch Professor, University of South Australia.. Faculty Professor and Emeritus Professor CalgaryVerified email at ucalgary.ca
Lukasz SzpruchUniversity of Edinburgh and The Alan Turing InstituteVerified email at ed.ac.uk
Florimond HoussiauTune InsightVerified email at turing.ac.uk
Christoph ReisingerProfessor of Applied Mathematics, University of OxfordVerified email at maths.ox.ac.uk
Sheng WangUniversity of OxfordVerified email at maths.ox.ac.uk
James JordonResearch Assistant, The Alan Turing InstituteVerified email at turing.ac.uk
Adrian WellerDirector of Research, Machine Learning, University of CambridgeVerified email at eng.cam.ac.uk
Giovanni CherubinMicrosoftVerified email at microsoft.com
Mirko BottarelliUniversity of WarwickVerified email at warwick.ac.uk
Carsten MapleProfessor of Cyber Systems Engineering, University of WarwickVerified email at warwick.ac.uk
Charles E. M. PearceElder Chair of Mathematics, University of AdelaideVerified email at adelaide.edu.au
Andrew L. AllanAssistant Professor, Durham UniversityVerified email at durham.ac.uk
Shaolin JiShandong UniversityVerified email at sdu.edu.cn
Victor FedyashovResearch Fellow, University of MelbourneVerified email at unimelb.edu.au
Callum MoleThe Alan Turing InstituteVerified email at turing.ac.uk
Justin SirignanoUniversity of OxfordVerified email at maths.ox.ac.uk
Gholamali AminianResearch Associate, The Alan Turing InstituteVerified email at turing.ac.uk
Haoyang CaoDepartment of Applied Mathematics and Statistics, Johns Hopkins UniversityVerified email at jhu.edu
Camila Rangel SmithThe Alan Turing InstituteVerified email at turing.ac.uk
Andrew ElliottLecturer, Department of Maths and Statistics, University of GlasgowVerified email at turing.ac.uk

Samuel N. Cohen

Professor of Mathematics, University of Oxford

Verified email at maths.ox.ac.uk - Homepage

Stochastic analysis mathematical finance


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Stochastic Calculus and Applications SN Cohen, RJ Elliott Birkhäuser Basel-New York, 2nd ed., 2015	418	2015
Synthetic Data--what, why and how? J Jordon, L Szpruch, F Houssiau, M Bottarelli, G Cherubin, C Maple, ... arXiv preprint arXiv:2205.03257, 2022	253	2022
A general theory of finite state backward stochastic difference equations SN Cohen, RJ Elliott Stochastic Processes and their Applications 120 (4), 442-466, 2010	102	2010
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions SN Cohen, RJ Elliott	97	2010
Solutions of backward stochastic differential equations on Markov chains SN Cohen, RJ Elliott arXiv preprint arXiv:0809.5102, 2008	89	2008
Existence, uniqueness and comparisons for BSDEs in general spaces SN Cohen, RJ Elliott	72	2012
Identifiability in inverse reinforcement learning H Cao, S Cohen, L Szpruch Advances in Neural Information Processing Systems 34, 12362-12373, 2021	61	2021
Backward stochastic difference equations and nearly time-consistent nonlinear expectations SN Cohen, RJ Elliott SIAM Journal on Control and Optimization 49 (1), 125-139, 2011	48	2011
TAPAS: a toolbox for adversarial privacy auditing of synthetic data F Houssiau, J Jordon, SN Cohen, O Daniel, A Elliott, J Geddes, C Mole, ... arXiv preprint arXiv:2211.06550, 2022	46	2022
A general comparison theorem for backward stochastic differential equations SN Cohen, RJ Elliott, CEM Pearce Advances in Applied Probability 42 (3), 878-898, 2010	41	2010
Arbitrage-free neural-SDE market models SN Cohen, C Reisinger, S Wang Applied Mathematical Finance 30 (1), 1-46, 2023	40	2023
Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces S Cohen	37	2012
Ergodic BSDEs driven by Markov chains SN Cohen, Y Hu SIAM Journal on Control and Optimization 51 (5), 4138-4168, 2013	30	2013
Detecting and repairing arbitrage in traded option prices SN Cohen, C Reisinger, S Wang Applied Mathematical Finance 27 (5), 345-373, 2020	29	2020
Black-box model risk in finance SN Cohen, D Snow, L Szpruch Cambridge University Press, 2023	28	2023
A limit order book model for latency arbitrage SN Cohen, L Szpruch Mathematics and Financial Economics 6, 211-227, 2012	28	2012
On Markovian solutions to Markov chain bsdes SN Cohen, L Szpruch arXiv preprint arXiv:1111.5739, 2011	27	2011
Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces SN Cohen Stochastic Processes and their Applications 122 (4), 1601-1626, 2012	26	2012
Sublinear expectations and martingales in discrete time S Cohen, S Ji, S Peng arXiv preprint arXiv:1104.5390, 2011	24	2011
European option pricing with stochastic volatility models under parameter uncertainty SN Cohen, M Tegnér Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications …, 2019	20	2019

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