Industry Assistant Professor
Ph.D., Applied Mathematics
 E. Rouy and A. Tourin (1992). A viscosity solutions approach to shape- from-shading, Siam J. Numer. Anal., 29, 3, pp 867-884.
 A. Tourin (1992). A comparison theorem for a piecewise Lipschitz contin- uous Hamiltonian and Application to Shape-from-Shading problems, Numer. Math., 62, pp 75-85.
 P.-L. Lions, E. Rouy and A. Tourin (1993). Shape-from-Shading, viscosity solutions and edges, Numer. Math., 64, 3, pp 323-353.
 A. Tourin and T. Zariphopoulou (1994). Numerical schemes for invest- ment Models with singular transactions, Computational Economics, 7,4, pp 287-307.
 A. Tourin and T. Zariphopoulou (1995). Portfolio selection with transac- tion costs. Progress in Probability, 36, pp 385-39.
 O. Alvarez and A. Tourin (1996). Viscosity solutions of nonlinear integro- differential equations. Ann. Inst. Henri Poincar ́e, 13, 3, pp 293-317.
 M. Arisawa and A. Tourin (1997). Regularizing effects for a class of first- order Hamilton-Jacobi equations. Nonlinear Analysis, Theory, Methods and Applications, 29, 12, pp 1405-1419.
 A. Tourin and T. Zariphopoulou (1997). Viscosity solutions and nu- merical schemes for Investment/Consumption models with transaction costs.
Numerical Methods in Financial Mathematics, L.C.G. Rogers and D. Talay, Cambridge University Press, pp 245-269.
 J.E. Hodder, A. Tourin and T. Zariphopoulou (2001). Numerical schemes for Variational Inequalities arising in international asset pricing. Computa- tional Economics,17,1, pp43-80.
 G. Barles and A. Tourin (2001). Commutation properties of semigroups for first-order Hamilton-Jacobi equations and application to multi-time equa- tions. Indiana University Mathematics Journal, 50, pp1523–1544.
 M. Cara and A. Tourin (2005). A Direct method for computing the ef- fective Hamiltonian in the Majda-Souganidis model of turbulent combustion. Canadian Applied Mathematics Quaterly,13(1),pp127–141.
 A. Tourin (2005). Splitting methods for Hamilton-Jacobi equations. Nu- merical Methods for Partial Differential Equations,22(2),pp381–396.
 A. Tourin (2006). Numerical solutions for the Cheridito-Soner-Touzi model of super-replication under gamma constraints. International Journal of Theoretical and Applied Finance, 9(3),pp1–14.
 A. Tourin and R. Yan (2013). Dynamic Pairs Trading using the stochas- tic control approach, Journal of Economic Dynamics and Control, 37(10), pp. 1972–1981.
 F. Astic and A. Tourin (2014), Optimal bank management under capital and liquidity constraints, Journal of Financial Engineering, 1(3), 1450022 (21 pages); DOI: 10.1142/S2345768614500226.
 F. Astic and A. Tourin (2014). On the credit risk of secured loans with maximum loan-to-value covenant, International Journal of Theoretical and Applied Finance, 17(8); DOI: 10.1142/S0219024914500551.
 R. Almgren and A. Tourin (2015). Optimal soaring via Hamilton-Jacobi- Bellman equations, Optimal Control, Applications and Methods, 36(4) pp. 475–495. First published online in Wiley Online Library (wileyonlineli- brary.com). DOI: 10.1002/oca.2122.
 T. Nanfeng Li, A. Tourin (2015). Optimal Pairs Trading with Time- Varying Volatility, International Journal of Financial Engineering, forthcoming.
 P. Sopher Lintilhac, A. Tourin (2016). Optimal trading of cointegrated portfolios in arbitrary dimensions and application to arbitrage in bitcoin markets, Quantitative Finance, 17(5), pp. 703-716.
 A. Tourin (2013), Finite Difference schemes, in N. Touzi, Optimal Stochastic Control Stochastic target problems and Backward SDE, The Fields Institute Monographs,29, Springer, pp. 201--212.
Financial Engeniering, optimal stochastic control, portfolio management