4 papers in the archive (2024–2025), average empirical rigor 2.8/10, average math complexity 8.5/10. Quadrant mix: Lab Rats ×4.
Works mostly in Risk Management & Tail Risk, Fixed Income & Interest Rates, Options & Derivatives Pricing.
Frequent co-authors: Zachary Feinstein (2), Wissam AlAli (1), Atiqah Almuzaini (1), Jin Ma (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
This paper investigates the convergence properties of sample-average approximations (SAA) for set-valued systemic risk measures. We assume that the systemic risk measure is defined using a general aggregation function with some continuity properties and value-at-risk applied as a monetary risk measu
Systemic risk measures aggregate the risks from multiple financial institutions to find system-wide capital requirements. Though much attention has been given to assessing the level of systemic risk, less has been given to allocating that risk to the constituent institutions. Within this work, we pr
We revisit the well-studied superhedging problem under proportional transaction costs in continuous time using the recently developed tools of set-valued stochastic analysis. By relying on a simple Black-Scholes-type market model for mid-prices and using continuous trading schemes, we define a dynam
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a random vector its set of all capital requirements or allocation