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).

Preprints:

  1. Hillairet, C., Hyndman, C., Jiao, Y., and Wang, R., "Trading against disorderly liquidation of a large position under asymmetric information and market impact." arXiv:1610.01937, (2016). [arXiv] (or SSRN)
  2. Hyndman, C.B. and Wang, R., "Optimal measure transformation problems." arXiv:1511.06032, (2015). [arXiv]
  3. 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). [arXiv]
  4. Hyndman, C.B. and Wenger, M., "GMWB riders in a binomial framework - Pricing, hedging, and diversification of mortality risk." arXiv:1410.7453 , (2016). [arXiv] (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."

Publications:

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

Thesis:



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Last updated: October 6, 2016.