publications

2023

1. 

   Conditional Generators for Limit Order Book Environments. Explainability, Challenges, and Robustness

   Coletta, Andrea,  Jerome, Joseph,  Savani, Rahul and 1 more author

   arXiv preprint arXiv:2306.12806 2023
2. 

   The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II. Existence, uniqueness and verification for \vartheta∈(0, 1)

   Herdegen, Martin, Hobson, David,  and Jerome, Joseph

   Finance and Stochastics 2023
3. 

   The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I. Foundations

   Herdegen, Martin, Hobson, David,  and Jerome, Joseph

   Finance and Stochastics 2023

2022

1. 

   Market Making with Scaled Beta Policies

   Jerome, Joseph, Palmer, Gregory,  and Savani, Rahul

   arXiv preprint arXiv:2207.03352 2022

   Bib

   @article{jerome2022market,
     title = {Market Making with Scaled Beta Policies},
     author = {Jerome, Joseph and Palmer, Gregory and Savani, Rahul},
     journal = {arXiv preprint arXiv:2207.03352},
     year = {2022},
   }

2. 

   Model-based gym environments for limit order book trading

   Jerome, Joseph, Sánchez-Betancourt, Leandro,  Savani, Rahul and 1 more author

   arXiv preprint arXiv:2209.07823 2022
3. 

   Optimal investment and consumption under infinite horizon Epstein-Zin stochastic differential utility

   Jerome, Joseph

   2022

   Bib

   @phdthesis{jerome2022optimal,
     title = {Optimal investment and consumption under infinite horizon Epstein-Zin stochastic differential utility},
     author = {Jerome, Joseph},
     year = {2022},
     school = {University of Warwick},
   }

4. 

   When is Recursive Utility Well-Founded?

   Herdegen, Martin, Hobson, David,  and Jerome, Joseph

   Preprint available at SSRN 4217738 2022

2021

1. 

   An elementary approach to the Merton problem

   Herdegen, Martin, Hobson, David,  and Jerome, Joseph

   Mathematical Finance 2021

   Bib

   @article{herdegen2021elementary,
     title = {An elementary approach to the Merton problem},
     author = {Herdegen, Martin and Hobson, David and Jerome, Joseph},
     journal = {Mathematical Finance},
     volume = {31},
     number = {4},
     pages = {1218--1239},
     year = {2021},
   }

2. 

   Proper solutions for Epstein-Zin Stochastic Differential Utility

   Herdegen, Martin, Hobson, David,  and Jerome, Joseph

   arXiv preprint arXiv:2112.06708 2021

   Bib

   @article{herdegen2021proper,
     title = {Proper solutions for Epstein-Zin Stochastic Differential Utility},
     author = {Herdegen, Martin and Hobson, David and Jerome, Joseph},
     journal = {arXiv preprint arXiv:2112.06708},
     year = {2021},
   }

2020