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PUBLICATIONS

Journal Publications

2023

Shunan Sheng, Qikun Xiang, Ido Nevat, and Ariel Neufeld, "Binary spatial random field reconstruction from non-Gaussian inhomogeneous time-series observations", Journal of the Franklin Institute, 2023. [DOI] [arXiv] [Code] 

Qikun Xiang, Ariel Neufeld, Gareth W. Peters, Ido Nevat, and Anwitaman Datta, "A Bonus-Malus framework for cyber risk insurance and optimal cybersecurity provisioning", European Actuarial Journal, 2023. [DOI] [arXiv] [Code]

Ariel Neufeld, Antonis Papapantoleon, and Qikun Xiang, "Model-free bounds for multi-asset options using option-implied information and their exact computation", Management Science, vol. 69, no. 4, pp. 2051–2068, 2023. [DOI] [arXiv] [Code]

2020

Qikun Xiang, Ido Nevat, and Gareth W. Peters, "Bayesian spatial field reconstruction with unknown distortions in sensor networks", IEEE Transactions on Signal Processing, vol. 68, pp. 4336–4351, 2020. [DOI] [arXiv]

Preprint

2023

Ariel Neufeld and Qikun Xiang, "Feasible approximation of matching equilibria for large-scale matching for teams problems", Preprint, arXiv:2308.03550, 2023. [arXiv] [Code]

2022

Ariel Neufeld and Qikun Xiang, "Numerical method for approximately optimal solutions of two-stage distributionally robust optimization with marginal constraints", Preprint, arXiv:2205.05315, 2022. 

[arXiv] [Code]

Ariel Neufeld and Qikun Xiang, "Numerical method for feasible and approximately optimal solutions of multi-marginal optimal transport beyond discrete measures", Preprint, arXiv:2203.01633, 2022.

[arXiv] [Code]

Conference Publications

2017

Qikun Xiang, Jie Zhang, Ido Nevat, and Pengfei Zhang, A trust-based mixture of Gaussian processes model for reliable regression in participatory sensing, 26th International Joint Conference on Artificial Intelligence (IJCAI), 2017. [URL]

Qikun Xiang, Jie Zhang, Ido Nevat, and Pengfei Zhang, A trust-based mixture of Gaussian processes model for robust participatory sensing, 16th International Conference on Autonomous Agents and Multiagent Systems (AAMAS), 2017. [URL]

PRESENTATIONS

2023

Presentation at 7th International Conference on Mathematics in Finance, Berg-en-Dal Rest Camp, Kruger National Park, South Africa, July 2023. [URL] [Slides]

Presentation at SIAM Conference on Optimization (OP23), Seattle, Washington, US, May–June 2023. Supported by the SIAM Student Travel Award. [URL] [Slides]

2022

Presentation (virtual) at SIAM Conference on Mathematics of Data Science (MDS22), September 2022. [URL] [Slides]

 

Presentation at European Conference on Stochastic Optimization – Computational Management Science Conference (ECSO–CMS), Venice, Italy, June–July 2022. [URL] [Slides]

Finalist for the Best Student Paper to: Numerical method for approximately optimal solutions of  two-stage distributionally robust optimization with marginal constraints. [PDF]

Presentation (virtual) at 11th World Congress of the Bachelier Finance Society, June 2022.[URL] [Slides]

Presentation at SIAM Conference on Uncertainty Quantification (UQ22), Atlanta, Georgia, US, April 2022. Supported by the SIAM Student Travel Award. [URL] [Slides]

2021

Presentation (virtual) at 24th International Congress on Insurance: Mathematics and Economics (IME), July 2021. [URL] [Slides]

Presentation (virtual) at SIAM Conference on Financial Mathematics and Engineering (FM21), June 2021. Supported by the SIAM Student Travel Award. [URL] [Slides]

Poster presentation (virtual) at XXII Workshop on Quantitative Finance, January 2021. [URL] [Poster]

2020

Pre-recorded talk at Bernoulli-IMS One World Symposium 2020, August 2020. [URL]

THESIS

PhD Thesis: Numerical methods for model-free pricing in finance, optimal transport, and cyber risk management. [DOI]

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