An elementary approach to the Merton problem M Herdegen, D Hobson, J Jerome
Mathematical Finance 31 (4), 1218-1239, 2021
13 2021 Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness A Coletta, J Jerome, R Savani, S Vyetrenko
arXiv preprint arXiv:2306.12806, 2023
8 2023 Market Making with Scaled Beta Policies J Jerome, G Palmer, R Savani
Proceedings of the Third ACM International Conference on AI in Finance, 214-222, 2022
7 2022 The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations M Herdegen, D Hobson, J Jerome
Finance and Stochastics 27 (1), 127-158, 2023
5 2023 Proper solutions for Epstein-Zin Stochastic Differential Utility M Herdegen, D Hobson, J Jerome
arXiv preprint arXiv:2112.06708, 2021
5 2021 The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility J Jerome, M Herdegen, D Hobson
Available at SSRN 3886439, 2021
4 2021 The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for M Herdegen, D Hobson, J Jerome
Finance and Stochastics 27 (1), 159-188, 2023
3 2023 Model-based gym environments for limit order book trading J Jerome, L Sánchez-Betancourt, R Savani, M Herdegen
arXiv preprint arXiv:2209.07823, 2022
3 2022 Optimal investment and consumption under infinite horizon Epstein–Zin stochastic differential utility J Jerome
PhD Thesis, University of Warwick, 2021
1 2021 When is Recursive Utility Well-Founded? M Herdegen, D Hobson, J Jerome
Available at SSRN 4217738, 2022
2022