I am a professor in the Department of Mathematical Sciences at CMU. My research is in mathematical finance, stochastic analysis, probability, and statistics. Much of my work centers on three key domains. The first is the theory of affine and polynomial processes and their applications in finance, in particular for modeling the term structure of interest rates. The second is stochastic portfolio theory, where a key problem is to devise models capable of capturing large-scale features of equity markets, and to study their implications for investing. The third is sequential statistics, where finance-inspired trading analogies lead to novel approaches to valid statistical testing and inference in online settings.
I am the Department of Mathematical Sciences representative on the Steering Committee of the Master of Science in Computational Finance (MSCF) program.
Department of Mathematical Sciences
Carnegie Mellon University
Pittsburgh, PA 15213
Office: 6216 Wean Hall
E-mail: larsson@cmu.edu
E-variables for hypotheses generated by constraints (with A. Ramdas and J. Ruf), 2025 [Article | arXiv]
Markovian projections for functionals of Itô semimartingales with jumps (with S. Long), 2025 [arXiv]
The fast rate of convergence of the smooth adapted Wasserstein distance (with J. Park and J. Wiesel), 2025 [arXiv]
Nonasymptotic and distribution-uniform Komlós-Major-Tusnády approximation (with I. Waudby-Smith and A. Ramdas), 2025 [arXiv]
Inverting the Markovian projection for pure jump processes (with S. Long), 2024 [arXiv]
Bounding adapted Wasserstein metrics (with J. Blanchet, J. Park and J. Wiesel), 2024 [arXiv]
Calibrated rank volatility stabilized models for large equity markets (with D. Itkin), 2024 [arXiv]
On concentration of the empirical measure for radial transport costs (with J. Park and J. Wiesel), Stochastic Processes and their Applications, Volume 178 [Article | arXiv]
Ergodic robust maximization of asymptotic growth under stochastic volatility (with D. Itkin, B. Koch and J. Teichmann), 2022 [arXiv]
Optimal contracts for delegated order execution (with J. Muhle-Karbe and B. Weber), Mathematical Finance, 2025 [Article | SSRN]
The numeraire e-variable and reverse information projection (with A. Ramdas and J. Ruf), Annals of Statistics 2025, Vol. 53, No. 3, 1015-1043 [Article | arXiv]
Propagation of chaos for point processes induced by particle systems with mean-field drift interaction (with N. Kolliopoulos and Z. Zhang), Journal of Theoretical Probability, Volume 38, article number 27, (2025) [Article | arXiv]
Markovian projections for Itô semimartingales with jumps (with S. Long), Electron. Commun. Probab. 29: 1-13 (2024) [Article | arXiv]
Propagation of chaos for maxima of particle systems with mean-field drift interaction (with N. Kolliopoulos and Z. Zhang), Probability Theory and Related Fields, Volume 187, pages 1093–1127, (2023) [Article | arXiv]
Open markets and hybrid Jacobi processes (with D. Itkin), Annals of Applied Probability 2024, Vol. 34, No. 3, 2940-2985 [Article | arXiv]
Sequential testing for elicitable functionals via supermartingales (with P. Casgrain and J. Ziegel), Bernoulli 2024, Vol. 30, No. 2, 1347-1374 [arXiv]
A composite generalization of Ville's martingale theorem (with J. Ruf, W. Koolen, and A. Ramdas), Electronic Journal of Probability 2023, Vol. 28, paper no. 127, 1-21 [arXiv]
Controlled measure-valued martingales: a viscosity solutions approach (with A. M. G. Cox, S. Källblad, and S. Svaluto-Ferro), Annals of Applied Probability 2024, Vol. 34, No. 2, 1987-2035 [Article | arXiv]
On a class of rank-based continuous semimartingales (with D. Itkin), 2021 [arXiv]
A weak solution theory for stochastic Volterra equations of convolution type (with E. Abi Jaber, C. Cuchiero, and S. Pulido), Annals of Applied Probability, 31(6), 2924-2952, 2021 [Article | arXiv]
Testing exchangeability: Fork-convexity, supermartingales and e-processes (with A. Ramdas, J. Ruf, and W. Koolen), International Journal of Approximate Reasoning, 141, 83-109, 2022 [Article | arXiv]
Robust asymptotic growth in stochastic portfolio theory under long-only constraints (with D. Itkin), Mathematical Finance, 32(1), 114-171, 2022 [Article | arXiv]
Admissible anytime-valid sequential inference must rely on nonnegative martingales (with A. Ramdas, J. Ruf, and W. Koolen), 2020 [arXiv]
Deep neural networks, generic universal interpolation, and controlled ODEs (with C. Cuchiero and J. Teichmann), SIAM Journal on Mathematics of Data Science, 2(3), 901–919, 2020 [Article | arXiv]
Stopper-controller games embedded in single-player control problems (with M. Mueller and J. Teichmann), 2020 [arXiv]
Relative arbitrage: sharp time horizons and motion by curvature (with J. Ruf), Mathematical Finance, 31(3), 885-906, 2021 [Article | arXiv]
Minimum curvature flow and martingale exit times (with J. Ruf), Electronic Journal of Probability 2024, Vol. 29, paper no. 101, 1-32 [Article | arXiv]
Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces (with S. Svaluto-Ferro), Electronic Journal of Probability, 2020, Vol. 25, paper no. 159, 1-25 [Article | arXiv]
Convergence of local supermartingales (with J. Ruf), Annales de l’Institut Henri Poincaré, 56(4), 2774-2791, 2020 [Article | PDF]
A multi-factor polynomial framework for long-term electricity forwards with delivery period (with X. Kleisinger-Yu, V. Komaric, and M. Regez) [Article | arXiv] SIAM J. Finan. Math. 11-3 (2020), pp. 928-957
Polynomial jump-diffusion models (with D. Filipovic) [Article | arXiv], Stochastic Systems, 10(5), 1-97, 2020.
Informational efficiency with trading constraints: a characterization (with R. Jarrow) [Article | SSRN] SIAM J. Finan. Math. 11-4 (2020), pp. 959-973
Affine Volterra processes (with E. Abi Jaber and S. Pulido) [Article | arXiv], Annals of Applied Probability, 29(5), 3155-3200, 2019.
Markov cubature rules for polynomial processes (with D. Filipovic, S. Pulido) [Article | SSRN | arXiv], Stochastic Processes and their Applications, 130(4), 1947-1971, 2020.
Probability measure-valued polynomial diffusions (with C. Cuchiero and S. Svaluto-Ferro) [Article | arXiv], Electronic Journal of Probability, 24, 2019.
Affine rough models (with M. Keller-Ressel and S. Pulido) [arXiv], Rough Volatility, SIAM, forthcoming.
Stochastic exponentials and logarithms - a survey (with J. Ruf) [arXiv], Journal of Mathematical Analysis and Applications, Special Issue on Stochastic Differential Equations, Stochastic Algorithms, and Applications, 2018.
On the relation between linearity-generating processes and linear-rational models (with D. Filipovic, A. Trolle) [Article | arXiv | SSRN], Mathematical Finance, 29(3), 804-826, 2019.
Unspanned stochastic volatility in the multi-factor CIR model (with D. Filipovic, F. Statti) [Article | arXiv | SSRN], Mathematical Finance, 29(3), 827-836, 2019.
Polynomial jump-diffusions on the unit simplex (with C. Cuchiero, S. Svaluto-Ferro) [Article | arXiv], Annals of Applied Probability, 28(4), 2451-2500, 2018.
Affine processes with compact state space (with P. Krühner) [Article | arXiv], Electronic Journal of Probability, 23, 2018.
On aggregation and representative agent equilibria (with R. Jarrow) [Article], Journal of Mathematical Economics, 74, 119-127, 2018.
Conditional infimum and recovery of monotone processes, 2018 [arXiv]
The space of outcomes of semi-static trading strategies need not be closed (with B. Acciaio and W. Schachermayer) [Article | arXiv], Finance and Stochastics, 21(3), 741-751, 2017.
Semi-static completeness and robust pricing by informed investors (with B. Acciaio) [Article | arXiv], Annals of Applied Probability, 27(4), 2270-2304, 2017.
Polynomial diffusions on compact quadric sets (with S. Pulido) [Article | arXiv], Stochastic Processes and their Applications, 127(3), 901-926, 2017.
Linear-rational term structure models (with D. Filipovic, A. Trolle) [SSRN], Journal of Finance, 72(2), 655-704, 2017.
Polynomial diffusions and applications in finance (with D. Filipovic) [Article | arXiv], Finance and Stochastics, 20(4), 931-972, 2016.
Price contagion through balance sheet linkages (with A. Capponi) [Article | SSRN], Review of Asset Pricing Studies, 5(2), 227-253, 2015.
Matrix-valued Bessel processes [Article | arXiv], Electronic Journal of Probability, 20(60), 1-29, 2015.
Informational efficiency under short-sale constraints (with R. Jarrow) [Article | arXiv], SIAM Journal on Financial Mathematics, 6(1), 804-824, 2015.
Approximating functions on stratified sets (with D. Drusvyatskiy) [Article], Transactions of the American Mathematical Society, 367, 725-749, 2015.
Default and systemic risk in equilibrium (with A. Capponi) [Article], Mathematical Finance, 25(1), 51-76, 2015.
Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps (with J. Ruf), 2014 [arXiv]
Strict local martingales, filtration shrinkage and the Föllmer measure [Article | arXiv], Annals of Applied Probability, 24(4), 1739-1766, 2014.
Will banning naked CDS impact bond prices? (with A. Capponi) [Article], Annals of Finance, 10(3), 481-508, 2014.
Non-equivalent beliefs and subjective equilibrium bubbles, 2013 [arXiv]
Discretely sampled variance and volatility swaps versus their continuous approximations (with R. Jarrow, Y. Kchia, P. Protter) [Article], Finance and Stochastics, 17(2), 305-324, 2013.
Linking progressive and initial filtration expansions (with Y. Kchia and P. Protter) [Article], Malliavin Calculus and Stochastic Analysis, Springer Proceedings in Mathematics & Statistics, 34, 469-487, 2013.
The meaning of market efficiency (with R. Jarrow) [Article], Mathematical Finance, 22(1), 1-30, 2012.
Extremal dependence measure and extremogram: the regularly varying case (with S. Resnick) [Article], Extremes, 15(2), 231-256, 2012.
A concave regularization technique for sparse mixture models (with J. Ugander) [Article], Advances in Neural Information Processing Systems, 24, 1890-1898, 2011.
Extremal behavior of Archimedean copulas (with J. Nešlehová) [Article], Advances in Applied Probability, 43(1), 195-216, 2011.