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
Model Mathematics
Option pricing Business & Economics
Insurance Mathematics
Jump Business & Economics
Market Mathematics
Assets Business & Economics

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Profiles

No photo of Andrew Papanicolaou
20102017
No photo of Charles Tapiero
19712017

Research Output 1971 2017

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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

Disruption
Volatility feedback
Financial leverage
Volatility index
Option pricing

Perturbation analysis for investment portfolios under partial information with expert opinions

Fouque, J. P., Papanicolaou, A. & Sircar, R. 2017 In : SIAM Journal on Control and Optimization. 55, 3, p. 1534-1566 33 p.

Research output: Research - peer-reviewArticle

Expert Opinion
Partial Information
Perturbation Analysis
Uncertainty
HJB Equation