Nelson Vadori

Risk-sensitive reinforcement learning

Nelson Vadori, Sumitra Ganesh, Prashant Reddy et al. · 2020 · 26 citations

Smiling for the Delayed Volatility Swaps

Anatoliy Swishchuk, Nelson Vadori · Wilmott · 2014 · 19 citations

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +13

Reinforcement Learning for Market Making in a Multi-agent Dealer Market

Sumitra Ganesh, Nelson Vadori, Mengda Xu et al. · arXiv (Cornell University) · 2019 · 19 citations · Full text

Multi-agent Dealer Market, Reinforcement Learning (Computer Engineering), Agent Decision-making +14

Strong Law of Large Numbers and Central Limit Theorems for Functionals of Inhomogeneous Semi-Markov Processes

Nelson Vadori, Anatoliy Swishchuk · Stochastic Analysis and Applications · 2015 · 17 citations

Towards a fully rl-based market simulator

Leo Ardon, Nelson Vadori, Thomas Spooner et al. · 2021 · 15 citations · Full text

Engineering, Liquidity Providers, Simulation +20