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

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

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

Fractional Randomness and the Brownian Bridge

Tapiero, C. & Vallois, P., Aug 1 2018, In : Physica A: Statistical Mechanics and its Applications. 503, p. 835-843 9 p.

Research output: Contribution to journalArticle

Brownian Bridge
Randomness
Fractional
Uniform distribution
finance