Fingerprint The fingerprint is based on mining the text of the scientific documents related to the associated persons. Based on that an index of weighted terms is created, which defines the key subjects of research unit

Costs Engineering & Materials Science
Quality control Engineering & Materials Science
Marketing Engineering & Materials Science
Economics Engineering & Materials Science
Insurance Business & Economics
Supply chains Engineering & Materials Science
Inspection Engineering & Materials Science
Jump Business & Economics

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Profiles

No photo of Andrew Papanicolaou
20102016
No photo of Charles Tapiero
19712016
No photo of Zhaoxia Xu

Zhaoxia Xu

Person: Tenured/tenure track faculty

20032015

Research Output 1971 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

Calibration

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

Derivatives
Term structure
Maturity

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 pricing