Research Output 1971 2019

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Article
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

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

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
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

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

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
2013
Invariant Distribution
Portfolio Optimization
Partial Information
Dimension Reduction
Dynamic programming

NBA chemistry: Positive and negative synergies in basketball

Maymin, A. Z., Maymin, P. Z. & Shen, E., 2013, In : International Journal of Computer Science in Sport. 12, 2, p. 4-23 20 p.

Research output: Contribution to journalArticle

Schizophrenic representative investors

Maymin, P. Z., 2013, In : Complex Systems. 22, 1, p. 61-73 13 p.

Research output: Contribution to journalArticle

Finite automata
Time series

Static hedging of standard options

Carr, P. & Wu, L., Dec 2013, In : Journal of Financial Econometrics. 12, 1, p. 3-46 44 p., nbs014.

Research output: Contribution to journalArticle

Hedge
Static hedging
Jump
Price dynamics
Exercise

Variation and share-weighted variation swaps on time-changed Lévy processes

Carr, P. & Lee, R., Oct 2013, In : Finance and Stochastics. 17, 4, p. 685-716 32 p.

Research output: Contribution to journalArticle

Swap
Multiplier
Quadratic Variation
Valuation
Jump

Why are quadratic normal volatility models analytically tractable?

Carr, P., Fisher, T. & Ruf, J., 2013, In : SIAM Journal on Financial Mathematics. 4, 1, p. 185-202 18 p.

Research output: Contribution to journalArticle

Volatility
Brownian movement
Brownian motion
Change of Measure
Geometric Brownian Motion

Why do some firms go debt free?

Byoun, S. & Xu, Z., Feb 2013, In : Asia-Pacific Journal of Financial Studies. 42, 1, p. 1-38 38 p.

Research output: Contribution to journalArticle

Debt
Dividends
Equity markets
Cash flow
Free cash flow
2012

Any regulation of risk increases risk

Maymin, P. Z. & Maymin, Z. G., Sep 2012, In : Financial Markets and Portfolio Management. 26, 3, p. 299-313 15 p.

Research output: Contribution to journalArticle

Risk measurement
Government
Central bank
Banking regulation
Participation