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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

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