Samuel N. Cohen

Cited by

	All	Since 2019
Citations	2841	1134
h-index	19	15
i10-index	28	21

300

150

225

198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202414 21 18 26 20 23 36 27 30 30 30 24 37 29 39 34 43 41 42 32 46 46 45 42 28 81 64 84 125 103 89 106 113 107 123 103 155 177 276 294

Public access

View all

20 articles

0 articles

available

not available

Based on funding mandates

Co-authors

Robert ElliottResearch Professor, University of South Australia.. Faculty Professor and Emeritus Professor CalgaryVerified email at ucalgary.ca
Lukasz SzpruchUniversity of Edinburgh and The Alan Turing InstituteVerified email at ed.ac.uk
Florimond HoussiauAlan Turing InstituteVerified email at turing.ac.uk
Christoph ReisingerProfessor of Applied Mathematics, University of OxfordVerified email at maths.ox.ac.uk
James JordonResearch Assistant, The Alan Turing InstituteVerified email at turing.ac.uk
Sheng WangUniversity of OxfordVerified email at maths.ox.ac.uk
Adrian WellerDirector of Research, Machine Learning, University of CambridgeVerified email at eng.cam.ac.uk
Giovanni CherubinMicrosoftVerified email at microsoft.com
Mirko BottarelliUniversity of WarwickVerified email at warwick.ac.uk
Tanut TreetanthiploetThe Alan Turing InstituteVerified email at turing.ac.uk
Charles E. M. PearceElder Chair of Mathematics, University of AdelaideVerified email at adelaide.edu.au
Shaolin JiShandong UniversityVerified email at sdu.edu.cn
Carsten MapleProfessor of Cyber Systems Engineering, University of WarwickVerified email at warwick.ac.uk
Victor FedyashovResearch Fellow, University of MelbourneVerified email at unimelb.edu.au
Andrew L. AllanAssistant Professor, Durham UniversityVerified email at durham.ac.uk
Callum MoleThe Alan Turing InstituteVerified email at turing.ac.uk
Haoyang CaoDepartment of Applied Mathematics and Statistics, Johns Hopkins UniversityVerified email at jhu.edu
Álvaro CarteaUniversity of Oxford and Oxford-Man InstituteVerified email at maths.ox.ac.uk
Saad LabyadMathematical Institute, University of OxfordVerified email at maths.ox.ac.uk
David SiskaSchool of Mathematics, University of EdinburghVerified email at ed.ac.uk

Samuel N. Cohen

Professor of Mathematics, University of Oxford

Verified email at maths.ox.ac.uk - Homepage

Stochastic analysis mathematical finance


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Stochastic Calculus and Applications SN Cohen, RJ Elliott Birkhäuser Basel-New York, 2nd ed., 2015	1626	2015
Synthetic Data--what, why and how? J Jordon, L Szpruch, F Houssiau, M Bottarelli, G Cherubin, C Maple, ... arXiv preprint arXiv:2205.03257, 2022	156	2022
A general theory of finite state backward stochastic difference equations SN Cohen, RJ Elliott Stochastic Processes and their Applications 120 (4), 442-466, 2010	101	2010
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions SN Cohen, RJ Elliott	93	2010
Solutions of backward stochastic differential equations on Markov chains SN Cohen, RJ Elliott arXiv preprint arXiv:0809.5102, 2008	89	2008
Existence, uniqueness and comparisons for BSDEs in general spaces SN Cohen, RJ Elliott	72	2012
Identifiability in inverse reinforcement learning H Cao, S Cohen, L Szpruch Advances in Neural Information Processing Systems 34, 12362-12373, 2021	46	2021
Backward stochastic difference equations and nearly time-consistent nonlinear expectations SN Cohen, RJ Elliott SIAM Journal on Control and Optimization 49 (1), 125-139, 2011	44	2011
A general comparison theorem for backward stochastic differential equations SN Cohen, RJ Elliott, CEM Pearce Advances in Applied Probability 42 (3), 878-898, 2010	42	2010
Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces S Cohen	37	2012
Tapas: a toolbox for adversarial privacy auditing of synthetic data F Houssiau, J Jordon, SN Cohen, O Daniel, A Elliott, J Geddes, C Mole, ... arXiv preprint arXiv:2211.06550, 2022	33	2022
Arbitrage-free neural-SDE market models SN Cohen, C Reisinger, S Wang Applied Mathematical Finance 30 (1), 1-46, 2023	30	2023
Ergodic BSDEs driven by Markov chains SN Cohen, Y Hu SIAM Journal on Control and Optimization 51 (5), 4138-4168, 2013	30	2013
A limit order book model for latency arbitrage SN Cohen, L Szpruch Mathematics and Financial Economics 6, 211-227, 2012	28	2012
On Markovian solutions to Markov chain bsdes SN Cohen, L Szpruch arXiv preprint arXiv:1111.5739, 2011	27	2011
Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces SN Cohen Stochastic Processes and their Applications 122 (4), 1601-1626, 2012	26	2012
Sublinear expectations and martingales in discrete time S Cohen, S Ji, S Peng arXiv preprint arXiv:1104.5390, 2011	26	2011
Detecting and repairing arbitrage in traded option prices SN Cohen, C Reisinger, S Wang Applied Mathematical Finance 27 (5), 345-373, 2020	22	2020
Black-box model risk in finance SN Cohen, D Snow, L Szpruch Cambridge University Press, 2023	19	2023
European option pricing with stochastic volatility models under parameter uncertainty SN Cohen, M Tegnér Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications …, 2019	19	2019

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors