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Andrew Papanicolaou

Assistant Professor

    20102019
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    Fingerprint Weighted list of dominant concepts in the researcher's publications (titles and abstracts).

    Filtering Mathematics
    Partial Information Mathematics
    Portfolio Optimization Mathematics
    Mean Reversion Mathematics
    Volatility Mathematics
    Dimension Reduction Mathematics
    Invariant Distribution Mathematics
    Nonlinear Filters Mathematics

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    Research Output 2010 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

    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
    Volatility index
    Maturity
    Factors
    Term structure
    Mean-reverting