Fingerprint Dive into the research topics where Finance and Risk Engineering is active. These topic labels come from the works of this organization's members. Together they form a unique fingerprint.

Quality control Engineering & Materials Science
Insurance Mathematics
Costs Engineering & Materials Science
Quality Control Mathematics
Supply chains Engineering & Materials Science
Volatility Mathematics
Pricing Mathematics
Inspection Engineering & Materials Science

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Profiles

No photo of Andrew Papanicolaou
20102019
No photo of Charles Tapiero
19712018

Research Output 1971 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