Faculty

Institution

Unit

Venue

Martin Larsson

Professor

Carnegie Mellon University

Affiliations

Mellon College of Science

Mathematical Sciences

Martin Larsson is currently serving as a Mathematical Sciences Professor at Carnegie Mellon University.

Honors

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Experiences

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Education

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Martin Larsson

Carnegie Mellon University

Professor

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applied mathematics stochastic process finance probability theory economics statistics mathematical finance applied probability financial economics stochastic calculus theoretical economics financial mathematics economic analysis empirical finance financial econometrics asset pricing statistical theory mathematical optimization finance research stochastic systems computational finance market (economics) economic modelling volatility modeling stochastic dynamical systems economic dynamics financial stability global finance financial studies economic research bayesian analysis market equilibrium probabilistic analysis stochastic phenomena mathematical economics polynomial diffusions local supermartingales polynomial processes volatility swaps economic psychology approximate reasoning economic behavior machine learning research spectral theory behavioral finance structured prediction structured vocabulary term structure model model theory mathematical statistics stochastic diffusion search diffusion process power trading market mechanisms information theory probabilistic system bond markets stochastic optimization stochastic differential equations market microstructure financial modeling trading model information economics financial risk management affine volterra processes other theorems efficient market market efficiency balance sheet linkages price contagion extremal dependence measure extremal behavior archimedean copulas weak solution theory convolution type stochastic volterra equations econophysics mathematical programming

Notable Scholarly Works

Notable Federal Grants

Collaborators

Optimal Contracts for Delegated Order Execution. Mathematical Finance (2025)

mechanism designmathematical programmingalgorithmic mechanism designtheoretical computer sciencedelegated order executioncomputer scienceoptimal contracting

The Numeraire E-Variable and Reverse Information Projection. The Annals of Statistics (2025)

reverse information projectioninformation theorystatistical theoryapplied mathematicstheoretical economics

Controlled Measure-Valued Martingales: A Viscosity Solution Approach. The Annals of Applied Probability (2024)

Alexander M. G. CoxSigrid KällbladMartin LarssonSara Svaluto-Ferro

applied probabilityprobabilistic analysisstochastic processapplied mathematicsmeasure-valued martingalesprobability theory

Martin Larsson, Aaditya Ramdas, and Johannes Ruf’s Contribution to the Discussion of ‘Safe Testing’ by GrüNwald, De Heide, and Koolen. Journal of the Royal Statistical Society Series B (Statistical Methodology) (2024)

Martin LarssonAaditya RamdasJohannes Ruf

safe testingapplied statisticssafety testingstatistical sciencebiostatisticsstatisticsstatistical methodology

Minimum Curvature Flow and Martingale Exit Times. Electronic Journal of Probability (2024)

Martin LarssonJohannes Ruf

stochastic calculusminimum curvature flowmartingale exit timesstatisticsstochastic processprobability theoryricci flow

Open Markets and Hybrid Jacobi Processes. The Annals of Applied Probability (2024)

David ItkinMartin Larsson

hybrid jacobi processesopen marketsapplied probability

Propagation of Chaos for Point Processes Induced by Particle Systems With Mean-Field Drift Interaction. Journal of Theoretical Probability (2024)

Nikolaos KolliopoulosMartin LarssonZeyu Zhang

stochastic dynamical systemsparticle systemssystems biologychaos theorymean-field drift interactionprobability theorypoint processes

Sequential Testing for Elicitable Functionals via Supermartingales. Bernoulli (2024)

Philippe CasgrainMartin LarssonJohanna Ziegel

elicitable functionals

The Numeraire E-Variable. arXiv (Cornell University) (2024)

Larsson, MartinRamdas, AadityaRuf, Johannes

particle physicsapplied mathematics

A Composite Generalization of Ville’s Martingale Theorem Using E-Processes. Electronic Journal of Probability (2023)

Johannes RufMartin LarssonWouter M. KoolenAaditya Ramdas

composite generalizationprobability theoryapplied mathematics

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Martin Larsson

Professor

Carnegie Mellon University

Affiliations

Mellon College of Science

Mathematical Sciences

Martin Larsson is currently serving as a Mathematical Sciences Professor at Carnegie Mellon University.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Martin Larsson

Carnegie Mellon University

Professor

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

Optimal Contracts for Delegated Order Execution. Mathematical Finance (2025)

mechanism designmathematical programmingalgorithmic mechanism designtheoretical computer sciencedelegated order executioncomputer scienceoptimal contracting

The Numeraire E-Variable and Reverse Information Projection. The Annals of Statistics (2025)

reverse information projectioninformation theorystatistical theoryapplied mathematicstheoretical economics

Controlled Measure-Valued Martingales: A Viscosity Solution Approach. The Annals of Applied Probability (2024)

Alexander M. G. CoxSigrid KällbladMartin LarssonSara Svaluto-Ferro

applied probabilityprobabilistic analysisstochastic processapplied mathematicsmeasure-valued martingalesprobability theory

Martin LarssonAaditya RamdasJohannes Ruf

safe testingapplied statisticssafety testingstatistical sciencebiostatisticsstatisticsstatistical methodology

Minimum Curvature Flow and Martingale Exit Times. Electronic Journal of Probability (2024)

Martin LarssonJohannes Ruf

stochastic calculusminimum curvature flowmartingale exit timesstatisticsstochastic processprobability theoryricci flow

Open Markets and Hybrid Jacobi Processes. The Annals of Applied Probability (2024)

David ItkinMartin Larsson

hybrid jacobi processesopen marketsapplied probability

Propagation of Chaos for Point Processes Induced by Particle Systems With Mean-Field Drift Interaction. Journal of Theoretical Probability (2024)

Nikolaos KolliopoulosMartin LarssonZeyu Zhang

stochastic dynamical systemsparticle systemssystems biologychaos theorymean-field drift interactionprobability theorypoint processes

Sequential Testing for Elicitable Functionals via Supermartingales. Bernoulli (2024)

Philippe CasgrainMartin LarssonJohanna Ziegel

elicitable functionals

The Numeraire E-Variable. arXiv (Cornell University) (2024)

Larsson, MartinRamdas, AadityaRuf, Johannes

particle physicsapplied mathematics

A Composite Generalization of Ville’s Martingale Theorem Using E-Processes. Electronic Journal of Probability (2023)

Johannes RufMartin LarssonWouter M. KoolenAaditya Ramdas

composite generalizationprobability theoryapplied mathematics

1
2
3
4
5
6
7
10 / page

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Similar Faculty Members

Dmitry Kramkov

Institution

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financial stability

general systems

Gordan Zitkovic

Institution

University of Texas at Austin

risk aversion

financial mathematics

Maxim Bichuch

Institution

University at Buffalo

finance

financial mathematics

Olav Kallenberg

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Auburn University

probability theory

statistics

Michael Ludkovski

Institution

University of California, Santa Barbara

Drew Creal

Institution

University of Notre Dame

statistics

statistical methodology

Richard B Sowers

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University of Illinois Urbana-Champaign

financial network

financial network analysis

Michael Ludkovski

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University of California, Santa Cruz

finance

financial mathematics

Xin Guo

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University of California, Berkeley

applied mathematics

machine learning

Liming Feng

Institution

University of Illinois Urbana-Champaign

applied mathematics

financial mathematics