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
20102017
No photo of Charles Tapiero
19712018

Research Output 1971 2018

Fractional Randomness and the Brownian Bridge

Tapiero, C. S. & 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
Brownian movement
Insurance
Finance
Randomness

Derivatives pricing under bilateral counterparty risk

Carr, P. & Ghamami, S. Oct 1 2017 In : Journal of Risk. 20, 1, p. 77-107 31 p.

Research output: Contribution to journalArticle

Bilateral
Counterparty risk
Derivative pricing
Derivatives
Pricing

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Carr, P. & Wu, L. Oct 4 2017 (Accepted/In press) In : Journal of Financial and Quantitative Analysis. p. 1-38 38 p.

Research output: Contribution to journalArticle

Disruption
Volatility feedback
Financial leverage
Volatility index
Option pricing