Cody Hyndman: Research and Publications
- Mathematical Finance and Computational Finance
- Probability and Stochastic Analysis
- Filtering and Control
- Insurance Mathematics
- Machine Learning
Forward-Backward Stochastic Differential Equations (FBSDEs), Quadratic
Backward Stochastic Differential Equations (QBSDEs), Stochastic Flows,
Term Structure Problems (Bond, Futures, Forwards), Filtering, Parameter
Estimation, EM Algortihm, Numerical Solution of BSDEs, Hidden Markov
Models (HMMs), Machine Learning, Manifold Learning, Shape Space,
Dimension Reduction, Information Theory, Regularization.
- Gao, X., Hyndman, C., Pirvu, T.A., and Jevtić, P.,
"Optimal annuitization post-retirement with labor income."
arXiv:2202.04220 , (2022). (Preprint version [arXiv:2202:04220])
- Kratsios, A. and Hyndman, C.B., "Non-Euclidean Conditional
Expectation and Filtering." arXiv:1710.05829, (2018).
(Preprint version [arXiv:1710.05829])
- Hyndman, C.B. and Wenger, M., "GMWB riders in a
binomial framework - Pricing, hedging, and diversification of mortality
risk." arXiv:1410.7453 , (2016). (Preprint version
This paper combines a previous version titled "Pricing
and Hedging GMWB Riders in a Binomial Framework" ([arXiv:1410.7453v1]
the working paper titled "Diversification of mortality risk in GMWB rider
pricing and hedging."
- Oyono Ngou, P. and Hyndman, C.B., "A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and
higher order discretizations." Journal of Risk and Financial Management, 15(9), 2022. [Journal Version - Open Access]
(Preprint versions - [arXiv:1410.8595])
- Kratsios, A. and Hyndman, C.B., "NEU: A Meta-Algorithm for Universal UAP-Invariant Feature Representation." Journal of Machine Learning Research, 22(92):1-51, 2021. [Journal version -Open Access]
- Kratsios, A. and Hyndman, C.B., "Deep Arbitrage-Free Learning in a Generalized HJM Framework via Arbitrage Regularization."
Risks, 8(2), 2020. [Journal Version - Open Access]
(Preprint versions -
- Wang, R., Hyndman, C.B., and Kratsios A. "The Entropic Measure Transform." The Canadian Journal of Statistics, 48(1):97-129, (2020). [Journal Version]
- Hillairet, C., Hyndman, C., Jiao, Y., and Wang, R., "Trading against disorderly liquidation of a large position under asymmetric information and market impact." ESAIM:
Proceedings and Surveys, 56:42-71, (2017). [Journal version - Open
Access] (Preprint version [arXiv:1610.01937] or SSRN)
- Hyndman, C.B. and Oyono Ngou, P., "A convolution method for
numerical solution of backward stochastic differential equations."
Methodology and Computing in Applied Probability, 19(1):1-29,
[Journal version] (Preprint version
[arXiv:1304.1783] or [SSRN])
- Hyndman, C.B. and Zhou, X., Explicit solutions of quadratic FBSDEs
arising from quadratic term structure models.
Stochastic Analysis and Applications, 33(3):464-492, (2015). [Journal version]
[arXiv:1410.1220] or [SSRN])
- Hyndman, C.B. and Wenger, M., Valuation Perspectives and
Decompositions for Variable Annuities with GMWB Riders.
Insurance: Mathematics and Economics, 55:283-290, (2014).
- Hyndman, C.B., Stochastic Jacobians in affine term-structure models:
a local property.
Stochastic Analysis, 5(2):419-430, (2011). [Journal version
- Open Access]
- Hyndman, C.B., "A forward-backward SDE approach to affine
Mathematics and Financial Economics, 2(2):107-128, (2009).
- Hyndman, C.B., Gaussian factor models - futures and forward
IMA Journal Journal of
Management Mathematics, 18(4):353-369,
(Preprint version [PDF])
- Hyndman, C.B., Forward-backward SDEs and the CIR model.
Statistics and Probability Letters, 77(17):1676-1682, (2007).
- Hyndman, C.B. and Elliott, R.J., Parameter estimation in
commodity markets: a filtering approach.
Journal of Economic
Dynamics and Control, 31(7):2350-2373, (2007).
version] (Preprint version
This paper evolved through several versions (see,
) and was previously titled "Arbitrage-Free Regularization".
- Hyndman, C.B., "Affine Futures and Forward Prices", PhD thesis,
University of Waterloo, Canada, 2005.
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Last updated: February 16, 2022.