Research Output 1971 2019

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
2018

Extreme-strike comparisons and structural bounds for SPX and VIX options

Papanicolaou, A., Jan 1 2018, In : SIAM Journal on Financial Mathematics. 9, 2, p. 401-434 34 p.

Research output: Contribution to journalArticle

Stochastic models
Extremes
Implied Volatility
Stochastic Volatility Model
Tail

Fractional Randomness and the Brownian Bridge

Tapiero, C. & Vallois, P., Aug 1 2018, In : Physica A: Statistical Mechanics and its Applications. 503, p. 835-843 9 p.

Research output: Contribution to journalArticle

Brownian Bridge
Randomness
Fractional
Uniform distribution
finance

Global and risk finance

Nyambuu, U. & Tapiero, C., Apr 25 2018, Wiley Blackwell. 448 p.

Research output: Book/ReportBook

Finance
Globalization
Global finance
Pricing
Financial models
Planning
Stochastic control
Dynamic process
Time change
Business and management studies
Planning
Stochastic control
Dynamic process
Time change
Business and management studies

Merton's financial multi-agent consumption

Kogan, K. & Tapiero, C., Jan 1 2018, In : Risk and Decision Analysis. 7, 3-4, p. 107-117 11 p.

Research output: Contribution to journalArticle

Multi-agent Model
Differential Games
Model-based
Optimization
Merton model

Randomness and fractional stable distributions

Tapiero, C. & Vallois, P., Dec 1 2018, In : Physica A: Statistical Mechanics and its Applications. 511, p. 54-60 7 p.

Research output: Contribution to journalArticle

Stable Distribution
Randomness
Fractional
finance
Brownian Bridge
Volatility index
Maturity
Factors
Term structure
Mean-reverting
Statistics
Volatility index
Maturity
Exchange traded funds
Factors
2017

Data science and intelligence

Tapiero, C., Jan 1 2017, In : Risk and Decision Analysis. 6, 4, p. 291-298 8 p.

Research output: Contribution to journalArticle

Rationality
Data Complexity
Expert System
Long-run
Finance

Derivatives pricing under bilateral counterparty risk

Carr, P. & Ghamami, S., Oct 1 2017, In : Journal of Risk. 20, 1, p. 77-107 31 p.

Research output: Contribution to journalArticle

Bilateral
Counterparty risk
Derivative pricing
Derivatives
Pricing

Dimension reduction in statistical estimation of partially observed multiscale processes

Papanicolaou, A. & Spiliopoulos, K., Jan 1 2017, In : SIAM-ASA Journal on Uncertainty Quantification. 5, 1, p. 1220-1247 28 p.

Research output: Contribution to journalArticle

Statistical Estimation
Dimension Reduction
Unknown Parameters
Filter
Multiscale Model

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Carr, P. & Wu, L., Oct 4 2017, (Accepted/In press) In : Journal of Financial and Quantitative Analysis. p. 1-38 38 p.

Research output: Contribution to journalArticle

Disruption
Volatility feedback
Financial leverage
Volatility index
Option pricing

Perturbation analysis for investment portfolios under partial information with expert opinions

Fouque, J. P., Papanicolaou, A. & Sircar, R., 2017, In : SIAM Journal on Control and Optimization. 55, 3, p. 1534-1566 33 p.

Research output: Contribution to journalArticle

Expert Opinion
Partial Information
Perturbation Analysis
HJB Equation
Uncertainty

Wealth and strategic financial consumption pricing

Tapiero, C. & Kogan, K., 2017, In : Risk and Decision Analysis. 6, 2, p. 187-191 5 p.

Research output: Contribution to journalArticle

Pricing
Financial Markets
Model
Wealth
Denote

Why is VIX a fear gauge?

Carr, P., 2017, In : Risk and Decision Analysis. 6, 2, p. 179-185 7 p.

Research output: Contribution to journalArticle

Gauge
Volatility
Money
Volatility index
Market
2016

Adjusting exponential lévy models toward the simultaneous calibration of market prices for crash cliquets

Carr, P., Khanna, A. & Madan, D. B., Sep 1 2016, In : Journal of Computational Finance. 20, 1, p. 89-111 23 p.

Research output: Contribution to journalArticle

Exponential Model
Crash
Calibration
Thinning
Tail

Analysis of VIX Markets with a Time-Spread Portfolio

Papanicolaou, A., Sep 2 2016, In : Applied Mathematical Finance. 23, 5, p. 374-408 35 p.

Research output: Contribution to journalArticle

Volatility
Derivatives
Term Structure
Leverage Effect
Market

Analyzing volatility risk and risk premium in option contracts: A new theory

Carr, P. & Wu, L., Apr 1 2016, In : Journal of Financial Economics. 120, 1, p. 1-20 20 p.

Research output: Contribution to journalArticle

Option contract
Volatility risk
Risk premium
Implied volatility
Institutional investors

Fractional randomness

Tapiero, C. & Vallois, P., Nov 15 2016, In : Physica A: Statistical Mechanics and its Applications. 462, p. 1161-1177 17 p.

Research output: Contribution to journalArticle

Randomness
random variables
calculus
Fractional
Fractional Calculus

FX options in target zones

Carr, P. & Kakushadze, Z., Nov 23 2016, (Accepted/In press) In : Quantitative Finance. p. 1-10 10 p.

Research output: Contribution to journalArticle

Target zones

Hedging insurance books

Carr, P., Madan, D. B., Melamed, M. & Schoutens, W., Sep 1 2016, In : Insurance: Mathematics and Economics. 70, p. 364-372 9 p.

Research output: Contribution to journalArticle

Hedging
Insurance
Constrained Minimization
Limit Laws
Least Squares

Implied remaining variance with application to bachelier model

Sun, J., Niu, Q., Cao, S. & Carr, P., Sep 1 2016, In : Journal of Fixed Income. 26, 2, p. 78-95 18 p.

Research output: Contribution to journalArticle

Brownian motion
Guarantee
Swaption
Geometric Brownian motion
Assets

Optimal rates from eigenvalues

Carr, P. & Worah, P., Feb 1 2016, In : Finance Research Letters. 16, p. 230-238 9 p.

Research output: Contribution to journalArticle

Eigenvalues
Dividends
Optimal dividends
Pairs trading
Assets
Mean reversion
Cointegration
Uncertainty

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

Rosenberg, G., Haghnegahdar, P., Goddard, P., Carr, P., Wu, K. & De Prado, M. L., Sep 1 2016, In : IEEE Journal on Selected Topics in Signal Processing. 10, 6, p. 1053-1060 8 p., 7482755.

Research output: Contribution to journalArticle

Trajectories
Annealing
Covariance matrix
Costs

The price of granularity and fractional finance

Tapiero, C., Tapiero, O. J. & Jumarie, G., Jan 14 2016, In : Risk and Decision Analysis. 6, 1, p. 7-21 15 p.

Research output: Contribution to journalArticle

Risk Premium
Granularity
Finance
Fractional
Black-Scholes
2015

A financial CCAPM and economic inequalities

Tapiero, C., Mar 4 2015, In : Quantitative Finance. 15, 3, p. 521-534 14 p.

Research output: Contribution to journalArticle

Economic inequality
Wealth
Market price
Factors

Filtering and portfolio optimization with stochastic unobserved drift in asset returns

Fouque, J. P., Papanicolaou, A. & Sircar, R., 2015, In : Communications in Mathematical Sciences. 13, 4, p. 935-953 19 p.

Research output: Contribution to journalArticle

Portfolio Optimization
Filtering
HJB Equation
Financial Markets
Perturbation Method

Financial analytics and a binomial pricing model

Tapiero, C. & Qi, J., 2015, Future perspectives in risk models and finance. Springer New York LLC, Vol. 211. p. 287-313 27 p. (International Series in Operations Research and Management Science; vol. 211).

Research output: Chapter in Book/Report/Conference proceedingChapter

Pricing
Costs
Model

Financial modelling and memory: Mathematical system

Tapiero, C. & Vallois, P., 2015, Future perspectives in risk models and finance. Springer New York LLC, Vol. 211. p. 149-246 98 p. (International Series in Operations Research and Management Science; vol. 211).

Research output: Chapter in Book/Report/Conference proceedingChapter

Financial Modeling
Data storage equipment
Financial modeling

Local variance gamma and explicit calibration to option prices

Carr, P. & Nadtochiy, S., 2015, (Accepted/In press) In : Mathematical Finance.

Research output: Contribution to journalArticle

maturity
Calibration
market price
strike
currency

Product Market Competition and Financial Decisions During a Financial Crisis

Byoun, S. & Xu, Z., 2015, (Accepted/In press) In : Financial Management.

Research output: Contribution to journalArticle

Financial decisions
Financial crisis
Product market competition
Finance
Market share

Risk parity optimality

Fisher, G. S., Maymin, P. Z. & Maymin, Z. G., Dec 1 2015, In : Journal of Portfolio Management. 41, 2, p. 42-56 15 p.

Research output: Contribution to journalArticle

Optimality
Parity

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

Rosenberg, G., Haghnegahdar, P., Goddard, P., Carr, P., Wu, K. & De Prado, M. L., Nov 15 2015, Proceedings of WHPCF 2015: 8th Workshop on High Performance Computational Finance - Held in conjunction with SC 2015: The International Conference for High Performance Computing, Networking, Storage and Analysis. Association for Computing Machinery, Inc, a7

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Trajectories
Annealing
Covariance matrix
Costs
2014

A new algorithmic approach to entangled political economy: Insights from the simplest models of complexity

Maymin, P. Z., 2014, In : Advances in Austrian Economics. 18, p. 213-236 24 p.

Research output: Contribution to journalArticle

Political economy
Simple rules
Poverty
Stagnation
Economic growth

A regime-switching Heston model for VIX and S&P 500 implied volatilities

Papanicolaou, A. & Sircar, R., Oct 1 2014, In : Quantitative Finance. 14, 10, p. 1811-1827 17 p.

Research output: Contribution to journalArticle

Volatility index
Heston model
Implied volatility
Regime switching
Option prices

Contracts, governance, and country risk in project finance: Theory and evidence

Byoun, S. & Xu, Z., 2014, In : Journal of Corporate Finance. 26, p. 124-144 21 p.

Research output: Contribution to journalArticle

Governance
Country risk
Sponsor
Project finance
Government

Dynamic coordination of multiple agents in a class of differential games through a generalized linear reward scheme

Golany, B., Kogan, K. & Tapiero, C., 2014, International Series in Operations Research and Management Science. Springer New York LLC, Vol. 198. p. 183-201 19 p. (International Series in Operations Research and Management Science; vol. 198).

Research output: Chapter in Book/Report/Conference proceedingChapter

Differential Games
Reward
Decision making
Dynamic Problem
Dynamic Environment

Filtering the maximum likelihood for multiscale problems

Papanicolaou, A. & Spiliopoulos, K., 2014, In : Multiscale Modeling and Simulation. 12, 3, p. 1193-1229 37 p.

Research output: Contribution to journalArticle

Multiscale Problems
Normal distribution
Eigenvalues and eigenfunctions
Parameter estimation
Maximum likelihood

Financial dependence and innovation: The case of public versus private firms

Acharya, V. & Xu, Z., Jul 27 2014, (Accepted/In press) In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Innovation
Private firms
Industry
Public firm
Finance

Financial regulation, non-compliance risks and control: A statistical approach

Tapiero, C., 2014, In : Risk and Decision Analysis. 5, 2-3, p. 113-127 15 p.

Research output: Contribution to journalArticle

Noncompliance
Regulator
Financial Crisis
Globalization
Financial regulation

Future perspectives in risk models and finance

Bensoussan, A., Guegan, D. & Tapiero, C. S., 2014, Springer Verlag. 329 p. (International Series in Operations Research & Management Science; vol. 211)

Research output: Book/ReportBook

Implied Filtering Densities on the Hidden State of Stochastic Volatility

Fuertes, C. & Papanicolaou, A., Jan 1 2014, In : Applied Mathematical Finance. 21, 6, p. 483-522 40 p.

Research output: Contribution to journalArticle

Stochastic Volatility
Inverse problems
Volatility
Filtering
Derivatives

Implied remaining variance in derivative pricing

Carr, P. & Sun, J., 2014, In : Journal of Fixed Income. 23, 4, p. 19-32 14 p.

Research output: Contribution to journalArticle

Derivative pricing

Joint modeling of VIX and SPX options at a single and common maturity with risk management applications

Carr, P. & Madan, D. B., Nov 2 2014, In : IIE Transactions (Institute of Industrial Engineers). 46, 11, p. 1125-1131 7 p.

Research output: Contribution to journalArticle

Risk management
Maximum likelihood estimation
Time series
Calibration

On the hedging of options on exploding exchange rates

Carr, P., Fisher, T. & Ruf, J., 2014, In : Finance and Stochastics. 18, 1, p. 115-144 30 p.

Research output: Contribution to journalArticle

Currency
Hedging
Exchange rate
Local Martingale
Pricing