Fingerprint Dive into the research topics where Finance and Risk Engineering is active. These topic labels come from the works of this organization's members. Together they form a unique fingerprint.

Quality control Engineering & Materials Science
Insurance Mathematics
Costs Engineering & Materials Science
Quality Control Mathematics
Supply chains Engineering & Materials Science
Volatility Mathematics
Pricing Mathematics
Inspection Engineering & Materials Science

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Profiles

No photo of Andrew Papanicolaou

Andrew Papanicolaou

Person: Tenured/tenure track faculty

20102019
No photo of Charles Tapiero

Charles Tapiero

Person: Tenured/tenure track faculty

19712018

Research Output 1971 2019

Backward SDEs for control with partial information

Papanicolaou, A., Jan 1 2019, In : Mathematical Finance. 29, 1, p. 208-248 41 p.

Research output: Contribution to journalArticle

Partial Information
Nonlinear filtering
Filtering
Nonlinear Filtering
Backward Stochastic Differential Equation

PRice impact of large orders using hawkesa processes

Amaral, L. R. & Papanicolaou, A., Apr 1 2019, In : ANZIAM Journal. 61, 2, p. 161-194 34 p.

Research output: Contribution to journalArticle

Weighted Average
Model
Linear Combination
Manipulation
Specification

Singular perturbation expansion for utility maximization with orderз- Quadratic transaction costs

Chandra, S. & Papanicolaou, A., Jan 1 2019, (Accepted/In press) In : International Journal of Theoretical and Applied Finance. 1950039.

Research output: Contribution to journalArticle

Transaction costs
Singular perturbation
Utility maximization
Optimization problem
Hamilton-Jacobi-Bellman equation