Stephan Sturm Associate Professor Department of Mathematical Sciences Stratton Hall 312 Worcester Polytechnic Institute 100 Institute Road Worcester, MA 01609-2280 USA

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Publications and Preprints

• 19. Understanding Lost Civilizations and Commodity Term Structures: The Signature Method, with Y. Ito, H.P. Krishnan, A. Mullaney and K. Shiffer (WILMOTT Magazine 2025:139, 36-44 (2025), 31 pages, 17 figures; Preprint available upon request)
• 18. Path Signatures for Feature Extraction. An Introduction to the Mathematics Underpinning an Efficient Machine Learning Technique (Preprint, 15 pages, 11 figures; Preprint available at arXiv and SSRN)
• 17. Understanding the Commodity Futures Term Structure Through Signatures, with H.P. Krishnan (Preprint, 19 pages, 1 figure; available at arXiv and SSRN)
• 16. Risk-indifference Pricing of American-style Contingent Claims, with R. Kumar, H. Nasralah, and F. Miller (Preprint, 18 pages, 3 figures; available at arXiv and SSRN)
• 15. Examples and Counterexamples of Cost-efficiency in Incomplete Markets, with C. Bernard (Preprint, 21 pages, 2 tables, 2 figures; available at arXiv and SSRN)
• 14. Intertemporal Cost-efficient Consumption, with M. Elizalde (Preprint, 21 pages, 7 figures; available at arXiv)
• 13. Commitment Planning for Drawdown Vehicles in a Stochastic Setting, with J. Adriazola, A. Chen, P. Kramer, K. Sikorski, and Arkady Wey (Mathematics in Industry Report (2022), 25 pages, 6 figures)
• 12. Cost-efficiency in incomplete markets, with C. Bernard (Preprint, 31 pages; available at arXiv and SSRN)
• 11. XVA Valuation under Market Illiquidity, with W. Pang (Preprint, 39 pages, 5 figures, 2 tables; available at arXiv)
• 10. A sensitivity analysis of the long-term expected utility of optimal portfolios, with H. Park (Preprint, 42 pages; also available at SSRN; arXiv)
• 9. Robust XVA, with M. Bichuch and A. Capponi (Math. Finance 30:3, 738-781 (2020); Preprint, 45 pages, 6 figures; also available at SSRN; arXiv)
• 8. A Risk-Sharing Framework of Bilateral Contracts, with J. Lee and C. Zhou (SIAM J. Finan. Math.11:2, 385-410 (2018); 30 pages, 1 figure; Preprint available at arXiv)
• 7. Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities, with Z. Feinstein, W. Pang, B. Rudloff, E. Schaanning and M. Wildman (SIAM J. Finan. Math. 9:4, 1286-1325 (2018), 40 pages, 11 figures, 1 table; Preprint; also available at SSRN; arXiv; Norges Bank Working Papers)
• 6. Precipitation Sensitivity to Local Variations in Tropical Sea Surface Temperature, with J. He, N.C. Johnson, G.A. Vecchi, B. Kirtman and A.T. Wittenberg (J. Climate 31:22, 9225-9238 (2018), 14 pages, 11 figures; also available here; supplemental material)
• 5. Arbitrage-free XVA, with M. Bichuch and A. Capponi (Math. Finance 28:2, 582-620 (2018), 39 pages, 11 figures, 2 tables; Preprint, also available at SSRN; arXiv)
• 4. Portfolio optimization under convex incentive schemes, with M. Bichuch (Finance Stoch. 18:4, 873-915 (2014), 43 pages, 2 figures; Preprint, also available at SSRN; arXiv)
• 3. From smile asymptotics to market risk measures, with R. Sircar (Math. Finance 25:2, 400-425 (2015), 26 pages, 4 figures; Preprint, also available at SSRN; arXiv)
• 2. Is the minimum value of an option on variance generated by local volatility?, with M. Beiglböck and P. Friz (SIAM J. Finan. Math. 2:1, 213-220 (2011), 8 pages, 1 figure; Preprint, also available at arXiv)
• 1. On refined volatility smile expansion in the Heston model, with P. Friz, S. Gerhold and A. Gulisashvili (Quant. Finance, 11:8, 1151-1164 (2011), 14 pages, 4 figures; Preprint, also available at arXiv; a list of Addenda and Corrigenda is maintained by S. Gerhold)

Permanent working papers

• 2. Arbitrage-free pricing of XVA - Part II: PDE representation and numerical analysis, with M. Bichuch and A. Capponi (Preprint, 19 pages, 3 figures, 2 tables; also available at SSRN; arXiv)
• 1. Arbitrage-free pricing of XVA - Part I: Framework and explicit examples, with M. Bichuch and A. Capponi (Preprint, 39 pages, 7 figures; also available at SSRN; arXiv)
  (Note: These two papers appeared unified in strongly revised form as "Arbitrage-free XVA")

Theses

• 2. Small-Time Large Deviations for Sample Paths of Infinite-Dimensional Symmetric Dirichlet Processes (PhD thesis under the supervision of A. Schied)
  
• 1. Calculation of the Greeks by Malliavin Calculus (Master's thesis under the supervisison of W. Schachermayer and J. Teichmann)