Max Reppen
Assistant Professor, Finance- Email amreppen@bu.edu
- Office 532
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BOSTON UNIVERSITY
Questrom School of Business
Rafik B. Hariri Building
595 Commonwealth Avenue
Boston, MA 02215 - Download CV
- PhD, ETH Zurich, 2018
- BSc, Stockholm School of Economics, 2013
- BSc, KTH Stockholm, 2013
- MSc, KTH Stockholm, 2013
- MSc, KTH Stockholm, 2013
- BSc, KTH Stockholm, 2011
- Reppen, A., Soner, H., Tissot-Daguette, V. (In Press). "Deep Stochastic Optimization in Finance", Digital Finance 1-21
- Li, Z., Reppen, A., Sircar, R. (In Press). "A Mean Field Games Model for Cryptocurrency Mining", Management Science, (accepted)
- Reppen, A., Soner, H. (2023). "Deep empirical risk minimization in finance: Looking into the future", Mathematical Finance, 33 (1), 116-145
- Kakhbod, A., Reppen, A., Umar, T., Xing, H. (2023). "Cash Policies and Firm Size", Available at SSRN
- Backhoff Veraguas, J., Reppen, A., Tangpi, L. (2022). "Stochastic control of optimized certainty equivalents", SIAM Journal on Financial Mathematics, 13 745-772
- Keppo, J., Reppen, A., Soner, H. (2021). "Discrete dividend payments in continuous time", Mathematics of Operations Research, 46 (3), 895-911
- Geng, S., Nassif, H., Manzanares, C., Reppen, A., Sircar, R. (2020). "Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions", International Conference on Machine Learning (119), 3431-3441
- Burzoni, M., Ignazio, V., Reppen, A., Soner, H. (2020). "Viscosity solutions for controlled McKean–Vlasov jump-diffusions", SIAM Journal on Control and Optimization, 58 1678-1699
- Reppen, A., Rochet, J., Soner, H. (2020). "Optimal dividend policies with random profitability", Mathematical Finance, 30 228-259
- Burzoni, M., Ignazio, V., Reppen, A., Soner, H. (2020). "Viscosity solutions for controlled McKean–Vlasov jump-diffusions", SIAM Journal on Control and Optimization, 58 1678-1699
- Wheatley, S., Sornette, D., Huber, T., Reppen, M., Gantner, R. (2019). "Are Bitcoin bubbles predictable? Combining a generalized Metcalfe’s Law and the Log-Periodic Power Law Singularity model", Royal Society Open Science, 6
- Muhle-Karbe, J., Reppen, M., Soner, H. (2017). "A primer on portfolio choice with small transaction costs", Annual Review of Financial Economics, 9
- Altarovici, A., Reppen, M., Soner, H. (2017). "Optimal Consumption and Investment with Fixed and Proportional Transaction Costs", SIAM Journal on Control and Optimization, 55 1673-1710
- Reppen, A. Segmented trading markets: competition, fees, and tax policies, INFORMS Annual Meeting, 2022
- Reppen, A. Neural Optimal Stopping Boundary, Machine Learning for Optimal Control, Imperial College London, 2022
- Reppen, A. Neural Optimal Stopping Boundary, SIAM Annual Meeting, 2022
- Reppen, A. The Cash-Cap Model: A Two-State Model of Firm Dynamics, FMARC, 2022
- Reppen, A. Discrete Dividend Payments in Continuous Time, University of Southern California, 2022
- Reppen, A. Stochastic optimal control, free boundaries, and neural networks, IMSI Applications to Financial Engineering, University of Chicago, 2021
- Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, IMSI Applications of Mean Field Games, 2021
- Reppen, A. A Unifying Model of the Firm, Princeton University, ORFE Financial Mathematics Seminar, Princeton, 2021
- Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, 5th Eastern Conference on Mathematical Finance, 2021
- Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, Berkeley, 2021
- Reppen, A. Discrete Dividend Payments in Continuous Time, Berlin Seminar on Stochastic Analysis and Stochastic Finance, TU Berlin, 2021
- Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, UCLA, Department of Mathematics, Financial and Actuarial Mathematics Seminar, 2021
- Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, Worcester Polytechnic Institute (Research Seminar), 2021
- Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, University of Michigan Financial and Actuarial Mathematics Seminar, 2021
- Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, Financial Mathematics Seminar, Florida State University, 2021
- 2022, Junior Faculty Fellow, Boston University
- Homepage
https://max.reppen.ch/