Cody Hyndman: Research and Publications

Research Interests:

Key words: 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.


  1. Kratsios, A. and Hyndman, C.B., "The NEU meta-algorithm for geometric learning with applications in finance." arXiv:1809.00082, 2018. (Preprint version [arXiv:1809.00082])
  2. Kratsios, A. and Hyndman, C.B., "Non-Euclidean Conditional Expectation and Filtering." arXiv:1710.05829, (2018). (Preprint version [arXiv:1710.05829])
  3. Kratsios, A. and Hyndman, C.B., "Arbitrage-Free Regularization." arXiv:1710.05114, (2017). (Preprint version [arXiv:1710.05144])
  4. Wang, R., Hyndman, C.B., and Kratsios A. "The Entropic Measure Transform." arXiv:1511.06032, (2019). (Preprint version [arXiv:1511.06032])
  5. Oyono Ngou, P. and Hyndman, C.B., "A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations." arXiv:1410.8595, (2016). (Preprint version [arXiv:1410.9595])
  6. 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 [arXiv:1410.7453] or [SSRN])
This paper combines a previous version titled "Pricing and Hedging GMWB Riders in a Binomial Framework" ([arXiv:1410.7453v1]) and the working paper titled "Diversification of mortality risk in GMWB rider pricing and hedging."


  1. 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)
  2. 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, (2017). [Journal version] (Preprint version [arXiv:1304.1783] or [SSRN])
  3. 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] (Preprint version [arXiv:1410.1220] or [SSRN])
  4. Hyndman, C.B. and Wenger, M., Valuation Perspectives and Decompositions for Variable Annuities with GMWB Riders. Insurance: Mathematics and Economics, 55:283-290, (2014). [Journal version] (Preprint version [arXiv:1307.2562] or [SSRN])
  5. Hyndman, C.B., Stochastic Jacobians in affine term-structure models: a local property. Communications on Stochastic Analysis, 5(2):419-430, (2011). [Journal version - Open Access]
  6. Hyndman, C.B., "A forward-backward SDE approach to affine models." Mathematics and Financial Economics, 2(2):107-128, (2009). [Journal version] (Preprint version [PDF])
  7. Hyndman, C.B., Gaussian factor models - futures and forward prices. IMA Journal Journal of Management Mathematics, 18(4):353-369, (2007). [Journal version] (Preprint version [PDF])
  8. Hyndman, C.B., Forward-backward SDEs and the CIR model. Statistics and Probability Letters, 77(17):1676-1682, (2007). [Journal version] (Preprint version [PDF])
  9. 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). [Journal version] (Preprint version [PDF])


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Last updated: September 6, 2018.