Dr. Zamrik https://validator.w3.org/feed/docs/rss2.html Order Book Dynamics and Price Impact in Limit Order Markets Blog Home Viscosity Solutions of the HJB Equation for Controlled Diffusions Rough Volatility Models and Their Empirical Performance Market Making Under Inventory Risk with Adverse Selection Hawkes Process Models for High-Frequency Trade Arrivals Singular Stochastic Control and Free Boundary Problems Optimal Stopping and the Snell Envelope ABM or MFG? The Cases Where the Answer Is Not Clear The Mean Field Game of Mediocrity What Agent-Based Models See That Regressions Miss When Neurons Forget: The Ornstein-Uhlenbeck Process in Neuroscience The Square Root That Keeps Rain Positive: CIR Processes in Weather Modelling Solving the 2D Wave Equation with Spectral Methods Solar Magnetohydrodynamics: Solving Magnetic Diffusion in a Sphere Mean Field Games on Graphs and Sparse Interaction Networks Heat Diffusion in an Iron Sphere — A FEniCSx Simulation Probability Fundamentals Course 3 Course 2 Courses Lecture 02: Random Variables Lecture 01: Sample Spaces and Events Agent-Based Models in the Peanut Butter Industry Research Optimal Control and Mean Field Games in Stochastic Finance About Miscellaneous Notes on Mathematical Finance Numerical Linear Algebra for Large-Scale Finance Problems Risk Measures, Coherence, and Capital Allocation A Review of Deep Learning Approaches to Derivative Pricing Notes on Quantitative Methods in Algorithmic Trading Mean Field Games: Variational Formulation and PDE Systems Synthetic Market Generation via Hawkes 7D Model Agent-Based Simulation of Central Bank Interventions Herding Behaviour and Systemic Risk in Agent Networks Learning and Adaptation in Agent-Based Financial Markets Emergent Price Dynamics in Agent-Based Double Auction Markets Invariant Measures and Ergodicity for Degenerate Diffusions Stochastic Filtering and Parameter Estimation for Hidden Markov Models Large Deviations for Diffusion Processes Backward Stochastic Differential Equations in Finance Malliavin Calculus and Sensitivity Analysis for SDEs Consumption and Portfolio Choice Under Recursive Utility Mean Field Games with Common Noise Numerical Methods for Mean Field Game Systems Optimal Execution Under Linear Price Impact Pricing a Gas Liquefaction Plant as a Real Option: An HJB Approach Mean Field Games with Common Noise and Master Equation