Andrew Papanicolaou

Assistant Professor

20102019
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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

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
Statistics
Volatility index
Maturity
Exchange traded funds
Factors