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Dr Jan Hendrik Witte

Welcome to my academic website. I am an honorary research associate in mathematics at University College London (UCL). I hold a DPhil in mathematics from the University of Oxford and a Diplom in mathematics from RWTH Aachen University.

 

My academic research interests include numerical mathematical finance, (systematic) trading, portfolio optimisation, and FX. I have a particular interest in deep learning (DL) and artificial intelligence (AI) in finance.

Publications

J. B. Heaton, N. G. Polson, J. H. Witte: Deep Learning for Finance: Deep Portfolios; to appear in Applied Stochastic Models in Business and Industry (ASMB) 2016; Key Words: Deep Learning, Machine Learning, Big Data, Artificial Intelligence, Finance, Asset Pricing, Volatility, Deep Frontier; http://ssrn.com/abstract=2838013.

J. B. Heaton, N. G. Polson, J. H. Witte: Deep Portfolio Theory; submitted 2016; Key Words: Deep Learning, Artificial Intelligence, Efficient Frontier, Portfolio Theory; https://arxiv.org/abs/1605.07230.

J. B. Heaton, N. G. Polson, J. H. Witte: Deep Learning in Finance; submitted 2016; Key Words: Deep Learning, Machine Learning, Big Data, Arti cial Intelligence, LSTM Models, Finance, Asset Pricing, Volatility; http://arxiv.org/abs/1602.06561.

J. B. Heaton, N. G. Polson, J. H. Witte: Why Indexing Works; submitted 2015; Key Words: Indexing, Passive Management, Active Management; http://ssrn.com/abstract=2673262 or http://arxiv.org/abs/1510.03550. Featured on BloombergView.

J. H. Witte: Volatility Harvesting: Extracting Return from Randomness; Wilmott Magazine 2016(83), pp. 60-67, 2016; Key Words: Volatility Pumping, Volatility Harvesting, Parrondo’s Paradox, Rebalancing Bonus, Shannon’s Demon; Final preprint http://arxiv.org/abs/1508.05241; Final version here.

P. S. Michelberger, J. H. Witte; Foreign Exchange Market Microstructure and the WM/R 4pm Fix; The Journal of Finance and Data Science, 2016; Key Words: Foreign Exchange, Market Microstructure, Behavioural Finance, Exchange Rate Benchmarks, FX Execution, WM/Reuters 4pm Fix, Market Manipulation; Final preprint http://arxiv.org/abs/1501.07778; Final version here.

N. Polson, J. H. Witte; A Bellman View of Jesse Livermore; CHANCE, 28(1), pp. 27-31, 2015; Final preprint http://arxiv.org/abs/1407.2642; Final version here.

L. G. Gyurko, B. Hambly, J. H. Witte: Monte Carlo Methods via a Dual Approach for some Discrete Time Stochastic Control Problems; Mathematical Methods of Operations Research, 81(1), pp. 109-135, 2015; Preprint http://arxiv.org/abs/1112.4351; Final version here.

C. Reisinger, S. D. Howison, J. H. Witte: The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options; SIAM Journal on Financial Mathematics, 4(1), pp. 539–574, 2013; Key Words: American Option, Jump-Diffusion Model, Penalty Method, Penalization Error, Non-Smooth Payoff; Final preprint http://arxiv.org/abs/1008.0836; Final version here.

J. H. Witte, C. Reisinger: Penalty Methods for the Solution of Discrete HJB Equations — Continuous Control and Obstacle Problems; SIAM Journal on Numerical Analysis, 50(2), pp. 595-625, 2012; Key Words: HJB Equation, HJB Obstacle Problem, Min-Max Problem, Numerical Solution, Penalty Method, Semi-Smooth Newton Method, Viscosity Solution; Final preprint http://arxiv.org/abs/1105.5954; Final version here.

J. H. Witte, C. Reisinger: On the Use of Policy Iteration as an Easy Way of Pricing American Options; SIAM Journal on Financial Mathematics, 3(1), pp. 459–478, 2012; Key Words: American Option, Linear Complementarity Problem, Numerical Solution, Policy Iteration; Final preprint http://arxiv.org/abs/1012.4976; Final version here.

J. H. Witte, C. Reisinger: A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance; SIAM Journal on Numerical Analysis, 49(1), pp. 213-231, 2011; Key Words: HJB Equation, Numerical Solution, Penalty Method, Convergence Analysis, Viscosity Solution; Final preprint http://arxiv.org/abs/1008.0401; Final version here.

J. H. Witte, C. Reisinger: A Penalty Method for the Numerical Solution of HJB Equations in Finance – Extended Abstract; AIP Conference Proceedings, 1281(1), pp. 346-349, 2010; Final version here.