Dr Ivan Guo

Research Overview

My research interest predominantly lies in the areas of stochastic control and financial mathematics. My current research focus is in the field of stochastic optimal transport and its applications to model calibration and robust finance. This involves establishing convex duality results for optimal control and stopping problems in path-dependent settings, and exploring various numerical implementations.

I am also interested in combining elements of financial mathematics and game theory, particularly for multi-agent stochastic games, multi-person game options, and connections to multi-dimensional reflected BSDEs. Previously, I have published on various aspects of volatility and liquidity modelling. These include: the pricing of VIX (volatility) derivatives, optimal execution problems, and modelling short-selling bans. Recently, I have also dabbled in the field of spectral graph theory, on the existence of pseudo-generalised quadrangles.

Selected Publications

[1] Guo, Ivan ; Loeper, Gregoire. "Path dependent optimal transport and model calibration on exotic derivatives". Pre-print. 2018. https://arxiv.org/abs/1812.03526

[2] Guo, Ivan ; Loeper, Gregoire ; Obloj, Jan ; Wang, Shiyi. "Joint Modelling and Calibration of SPX and VIX by Optimal Transport". Pre-print. 2020. https://arxiv.org/abs/2004.02198

[3] Guo, Ivan ; Rutkowski, Marek. "Arbitrage-free pricing of multi-person game claims in discrete time". In: Finance and Stochastics. 2017 ; Vol. 21, No. 1. pp. 111-155. https://doi.org/10.1007/s00780-016-0315-1

[4] Guo, Ivan ; Zhu, Song Ping. "Equal risk pricing under convex trading constraints". In: Journal of Economic Dynamics and Control. 2017 ; Vol. 76. pp. 136-151. https://doi.org/10.1016/j.jedc.2017.01.005

[5] Guo, Ivan ; Koolen, Jack H. ; Markowsky, Greg ; Park, Jongyook. "On the nonexistence of pseudo-generalized quadrangles". In: European Journal of Combinatorics. 2020 ; Vol. 89. https://doi.org/10.1016/j.ejc.2020.103128