The Earth Institute Columbia University2d
Directory and Contact Information
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The Earth Institute Columbia University3d
lorenzo m. polvani
I. Mitevski, S.H. Lee, G. Vecchi, C. Orbe and L.M. Polvani: More Positive and Less Variable North Atlantic Oscillation at High CO2 forcing Y. Dong, L.M. Polvani, Y.-T ...
The Earth Institute Columbia University5d
Machine Learning, AI and Applications to Finance
Graph Machine Learning for Asset Pricing: Traversing the Supply Chain and Factor Zoo (with J. Sidaoui and J. Zou). (preprint) Exact Error in Matrix Completion ...
The Earth Institute Columbia University5d
Portfolio Selection and Stochastic Control
Portfolio Choice with Market-Credit Risk Dependencies (with. L. Bo). SIAM Journal on Control and Optimization, Vol. 56, No. 4, 3050-3091, 2018. Optimal Investment under Information Driven Contagious ...
The Earth Institute Columbia University5d
Book Chapters, Practitioner and Policy Papers
Derivative Clearinghouses: Collateral Management and Policy Implications. Ten Years after the Crash. Financial Crises and Regulatory Responses, Chap. 23, pp. 371-383. Edited by Sharyn O' Halloran and ...
The Earth Institute Columbia University5d
Old Work
Dynamic Contracting: Accident leads to Nonlinear Contracts (with C. Frei). SIAM Journal of Financial Mathematics, Vol. 6, No.1, 959-983, 2015. Optimal Contracting with Effort and Misvaluation (with J.
The Earth Institute Columbia University5d
Counterpart Risk and Derivatives Pricing
Robust XVA (with M. Bichuch and S. Sturm). Mathematical Finance, Vol. 30, No. 3, 738-781, 2020. Arbitrage-Free XVA (with M. Bichuch and S. Sturm) Mathematical Finance ...