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http://people.maths.ox.ac.uk/cohens/

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Loop profile: 777548

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Employment (1)

University of Oxford: Oxford, Oxfordshire, GB

(Mathematical Institute; New College; Oxford Man Institute)
Employment
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ORCID Integration at the University of Oxford

Education and qualifications (1)

University of Adelaide: Adelaide, SA, AU

2011-03 | PhD (Mathematics)
Education
Source: Self-asserted source
Samuel N. Cohen

Works (36)

Subtle variation in sepsis-III definitions markedly influences predictive performance within and across methods

Scientific Reports
2024-01-22 | Journal article
DOI: 10.1038/s41598-024-51989-6
Contributors: Samuel N. Cohen; James Foster; Peter Foster; Hang Lou; Terry Lyons; Sam Morley; James Morrill; Hao Ni; Edward Palmer; Bo Wang et al.
Source: check_circle
Crossref

Hedging Option Books Using Neural-SDE Market Models

Applied Mathematical Finance
2022-09-03 | Journal article
DOI: 10.1080/1350486X.2023.2221448
Contributors: Samuel N. Cohen; Christoph Reisinger; Sheng Wang
Source: check_circle
Crossref

Pathwise stochastic control with applications to robust filtering

Annals of Applied Probability
2020-10 | Journal article
DOI: 10.1214/19-aap1558
Part of ISSN: 1050-5164
Contributors: Andrew L. Allan; Samuel N. Cohen
Source: Self-asserted source
Samuel N. Cohen via Crossref Metadata Search

Detecting and Repairing Arbitrage in Traded Option Prices

Applied Mathematical Finance
2020-09-02 | Journal article
DOI: 10.1080/1350486X.2020.1846573
Contributors: Samuel N. Cohen; Christoph Reisinger; Sheng Wang
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Crossref
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Uncertainty and filtering of hidden Markov models in discrete time

Probability, Uncertainty and Quantitative Risk
2020-06-03 | Journal article
DOI: 10.1186/s41546-020-00046-x
Part of ISSN: 2367-0126
Contributors: Samuel N. Cohen
Source: Self-asserted source
Samuel N. Cohen via Crossref Metadata Search

Switching cost models as hypothesis tests

2019-02 | Journal article
DOI: doi:10.1016/j.econlet.2018.11.014
Source: Self-asserted source
Samuel N. Cohen

Data and Uncertainty in Extreme Risks: A Nonlinear Expectations Approach

Innovations in Insurance, Risk- and Asset Management
2018-11 | Book chapter
DOI: 10.1142/11051
Source: Self-asserted source
Samuel N. Cohen

Malliavin calculus in a binomial framework

Applied Stochastic Models in Business and Industry
2018-02-13 | Journal article
DOI: doi:10.1002/asmb.2318
Source: Self-asserted source
Samuel N. Cohen

Data-driven nonlinear expectations for statistical uncertainty in decisions

Electronic Journal of Statistics
2017 | Journal article
DOI: 10.1214/17-ejs1278
Source: Self-asserted source
Samuel N. Cohen

Nash equilibria for nonzero-sum ergodic stochastic differential games

Journal of Applied Probability
2017-12 | Journal article
DOI: 10.1017/jpr.2017.48
Source: Self-asserted source
Samuel N. Cohen

Ergodic backward stochastic difference equations

Stochastics
2016-09-02 | Journal article
DOI: 10.1080/17442508.2016.1224881
Source: Self-asserted source
Samuel N. Cohen

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree

Journal of Applied probability
2015 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Stochastic Calculus and Applications

2015 | Book
Source: Self-asserted source
Samuel N. Cohen

A generalized Girsanov transformation of finite state stochastic processes in discrete time

Statistics & Probability Letters
2014 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Undiscounted Markov chain BSDEs to stopping times

Journal of Applied Probability
2014 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Ergodic BSDEs driven by Markov chains

SIAM Journal on Control and Optimization
2013 | Journal article
Source: Self-asserted source
Samuel N. Cohen

A limit order book model for latency arbitrage

Mathematics and Financial Economics
2012 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Chaos representations for marked point processes

Communications on Stochastic Analysis
2012 | Journal article
DOI: 10.31390/cosa.6.2.06
Source: Self-asserted source
Samuel N. Cohen

Existence, uniqueness and comparisons for BSDEs in general spaces

The Annals of Probability
2012 | Journal article
Source: Self-asserted source
Samuel N. Cohen

On Markovian solutions to Markov chain BSDEs

Numerical Algebra, Control and Optimization
2012 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces

Electron. J. Probab
2012 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces

Stochastic Processes and their Applications
2012 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J. Elliott

2012 | Book
Source: Self-asserted source
Samuel N. Cohen

On Markovian solutions to Markov Chain BSDEs

Numerical Algebra, Control and Optimization
2012-02 | Journal article
DOI: 10.3934/naco.2012.2.257
Source: Self-asserted source
Samuel N. Cohen

Backward stochastic difference equations and nearly time-consistent nonlinear expectations

SIAM Journal on Control and Optimization
2011 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Backward stochastic difference equations with finite states

Stochastic Analysis with Financial Applications
2011 | Book chapter
Source: Self-asserted source
Samuel N. Cohen

Problems in backward stochastic differential equations: with applications to nonlinear evaluations and risk measures.

2011 | Dissertation or Thesis
Source: Self-asserted source
Samuel N. Cohen

A general comparison theorem for backward stochastic differential equations

Advances in Applied Probability
2010 | Journal article
Source: Self-asserted source
Samuel N. Cohen

A general theory of finite state backward stochastic difference equations

Stochastic Processes and their Applications
2010 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Comparison theorems for finite state backward stochastic differential equations

Contemporary Quantitative Finance
2010 | Book chapter
Source: Self-asserted source
Samuel N. Cohen

Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions

The Annals of Applied Probability
2010 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Comparisons for Backward Stochastic Differential Equations on Markov chains and related no-arbitrage conditions

2010 | Journal article
Source: Self-asserted source
Samuel N. Cohen

New Zealand palaeodemography: pitfalls & possibilities

BIOMAT 2009
2010 | Book chapter
Source: Self-asserted source
Samuel N. Cohen

A general theory of Backward Stochastic Difference Equations

1st PRIMA Congress 2009
2009 | Conference paper
Source: Self-asserted source
Samuel N. Cohen

Solutions of backward stochastic differential equations on Markov chains

Communications on Stochastic Analysis
2008 | Journal article
Source: Self-asserted source
Samuel N. Cohen

Pricing and risk measurement with backward stochastic differential equations

The Australian Mathematical Society
Journal article
Source: Self-asserted source
Samuel N. Cohen
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