Research Output 1971 2018

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
2017

Data science and intelligence

Tapiero, C. S. Jan 1 2017 In : Risk and Decision Analysis. 6, 4, p. 291-298 8 p.

Research output: Contribution to journalArticle

Rationality
Data Complexity
Expert System
Long-run
Finance

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

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: Contribution to journalArticle

Expert Opinion
Partial Information
Perturbation Analysis
HJB Equation
Uncertainty

Wealth and strategic financial consumption pricing

Tapiero, C. S. & Kogan, K. 2017 In : Risk and Decision Analysis. 6, 2, p. 187-191 5 p.

Research output: Contribution to journalArticle

Pricing
Financial Markets
Model
Wealth
Denote

Why is VIX a fear gauge?

Carr, P. 2017 In : Risk and Decision Analysis. 6, 2, p. 179-185 7 p.

Research output: Contribution to journalArticle

Gauge
Volatility
Money
Volatility index
Market
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

Crash
Calibration
Thinning
Tail
Exponential Tilting

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

Volatility
Derivatives
Term Structure
Leverage Effect
Market

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 contract
Volatility risk
Risk premium
Implied volatility
Institutional investors

Fractional randomness

Tapiero, C. S. & Vallois, P. Nov 15 2016 In : Physica A: Statistical Mechanics and its Applications. 462, p. 1161-1177 17 p.

Research output: Contribution to journalArticle

Randomness
random variables
calculus
Fractional
Fractional Calculus

FX options in target zones

Carr, P. P. & Kakushadze, Z. Nov 23 2016 (Accepted/In press) In : Quantitative Finance. p. 1-10 10 p.

Research output: Contribution to journalArticle

Target zones

Hedging insurance books

Carr, P., Madan, D. B., Melamed, M. & Schoutens, W. Sep 1 2016 In : Insurance: Mathematics and Economics. 70, p. 364-372 9 p.

Research output: Contribution to journalArticle

Hedging
Insurance
Constrained Minimization
Limit Laws
Least Squares

Implied remaining variance with application to bachelier model

Sun, J., Niu, Q., Cao, S. & Carr, P. Sep 1 2016 In : Journal of Fixed Income. 26, 2, p. 78-95 18 p.

Research output: Contribution to journalArticle

Brownian motion
Guarantee
Swaption
Geometric Brownian motion
Assets

Optimal rates from eigenvalues

Carr, P. & Worah, P. Feb 1 2016 In : Finance Research Letters. 16, p. 230-238 9 p.

Research output: Contribution to journalArticle

Eigenvalues
Dividends
Optimal dividends
Pairs trading
Assets
Uncertainty
Cointegration
Mean reversion

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

Rosenberg, G., Haghnegahdar, P., Goddard, P., Carr, P., Wu, K. & De Prado, M. L. Sep 1 2016 In : IEEE Journal on Selected Topics in Signal Processing. 10, 6, p. 1053-1060 8 p., 7482755

Research output: Contribution to journalArticle

Trajectories
Annealing
Covariance matrix
Costs

The price of granularity and fractional finance

Tapiero, C. S., Tapiero, O. J. & Jumarie, G. Jan 14 2016 In : Risk and Decision Analysis. 6, 1, p. 7-21 15 p.

Research output: Contribution to journalArticle

Risk Premium
Granularity
Finance
Fractional
Black-Scholes
2015

A financial CCAPM and economic inequalities

Tapiero, C. S. Mar 4 2015 In : Quantitative Finance. 15, 3, p. 521-534 14 p.

Research output: Contribution to journalArticle

Economic inequality
Wealth
Market price
Factors

Filtering and portfolio optimization with stochastic unobserved drift in asset returns

Fouque, J. P., Papanicolaou, A. & Sircar, R. 2015 In : Communications in Mathematical Sciences. 13, 4, p. 935-953 19 p.

Research output: Contribution to journalArticle

Portfolio Optimization
Filtering
HJB Equation
Financial Markets
Perturbation Method

Financial analytics and a binomial pricing model

Tapiero, C. S. & Qi, J. 2015 Future perspectives in risk models and finance. Springer New York LLC, Vol. 211, p. 287-313 27 p. (International Series in Operations Research and Management Science; vol. 211)

Research output: Chapter in Book/Report/Conference proceedingChapter

Pricing
Costs
Model

Financial modelling and memory: Mathematical system

Tapiero, C. S. & Vallois, P. 2015 Future perspectives in risk models and finance. Springer New York LLC, Vol. 211, p. 149-246 98 p. (International Series in Operations Research and Management Science; vol. 211)

Research output: Chapter in Book/Report/Conference proceedingChapter

Financial Modeling
Data storage equipment
Financial modeling

Local variance gamma and explicit calibration to option prices

Carr, P. & Nadtochiy, S. 2015 (Accepted/In press) In : Mathematical Finance.

Research output: Contribution to journalArticle

maturity
Calibration
market price
strike
currency

Product Market Competition and Financial Decisions During a Financial Crisis

Byoun, S. & Xu, Z. 2015 (Accepted/In press) In : Financial Management.

Research output: Contribution to journalArticle

Financial decisions
Financial crisis
Product market competition
Finance
Market share

Risk parity optimality

Fisher, G. S., Maymin, P. Z. & Maymin, Z. G. Dec 1 2015 In : Journal of Portfolio Management. 41, 2, p. 42-56 15 p.

Research output: Contribution to journalArticle

Optimality
Parity

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

Rosenberg, G., Haghnegahdar, P., Goddard, P., Carr, P., Wu, K. & De Prado, M. L. Nov 15 2015 Proceedings of WHPCF 2015: 8th Workshop on High Performance Computational Finance - Held in conjunction with SC 2015: The International Conference for High Performance Computing, Networking, Storage and Analysis. Association for Computing Machinery, Inc, a7

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Trajectories
Annealing
Covariance matrix
Costs
2014

A new algorithmic approach to entangled political economy: Insights from the simplest models of complexity

Maymin, P. Z. 2014 In : Advances in Austrian Economics. 18, p. 213-236 24 p.

Research output: Contribution to journalArticle

Political economy
Simple rules
Poverty
Stagnation
Economic growth

A regime-switching Heston model for VIX and S&P 500 implied volatilities

Papanicolaou, A. & Sircar, R. Oct 1 2014 In : Quantitative Finance. 14, 10, p. 1811-1827 17 p.

Research output: Contribution to journalArticle

Heston model
Volatility index
Implied volatility
Regime switching
Option prices

Contracts, governance, and country risk in project finance: Theory and evidence

Byoun, S. & Xu, Z. 2014 In : Journal of Corporate Finance. 26, p. 124-144 21 p.

Research output: Contribution to journalArticle

Governance
Country risk
Sponsor
Project finance
Government

Dynamic coordination of multiple agents in a class of differential games through a generalized linear reward scheme

Golany, B., Kogan, K. & Tapiero, C. S. 2014 International Series in Operations Research and Management Science. Springer New York LLC, Vol. 198, p. 183-201 19 p. (International Series in Operations Research and Management Science; vol. 198)

Research output: Chapter in Book/Report/Conference proceedingChapter

Differential Games
Reward
Decision making
Dynamic Problem
Dynamic Environment

Filtering the maximum likelihood for multiscale problems

Papanicolaou, A. & Spiliopoulos, K. 2014 In : Multiscale Modeling and Simulation. 12, 3, p. 1193-1229 37 p.

Research output: Contribution to journalArticle

Multiscale Problems
Normal distribution
Eigenvalues and eigenfunctions
Parameter estimation
Maximum likelihood

Financial dependence and innovation: The case of public versus private firms

Acharya, V. & Xu, Z. Jul 27 2014 (Accepted/In press) In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Innovation
Private firms
Industry
Public firm
Finance

Financial regulation, non-compliance risks and control: A statistical approach

Tapiero, C. S. 2014 In : Risk and Decision Analysis. 5, 2-3, p. 113-127 15 p.

Research output: Contribution to journalArticle

Noncompliance
Regulator
Financial Crisis
Globalization
Financial regulation

Future perspectives in risk models and finance

Bensoussan, A., Guegan, D. & Tapiero, C. S. 2014 Springer Verlag. 329 p. (International Series in Operations Research & Management Science; vol. 211)

Research output: Book/ReportBook

Implied Filtering Densities on the Hidden State of Stochastic Volatility

Fuertes, C. & Papanicolaou, A. Jan 1 2014 In : Applied Mathematical Finance. 21, 6, p. 483-522 40 p.

Research output: Contribution to journalArticle

Stochastic Volatility
Inverse problems
Volatility
Filtering
Derivatives

Implied remaining variance in derivative pricing

Carr, P. & Sun, J. 2014 In : Journal of Fixed Income. 23, 4, p. 19-32 14 p.

Research output: Contribution to journalArticle

Derivative pricing

Joint modeling of VIX and SPX options at a single and common maturity with risk management applications

Carr, P. & Madan, D. B. Nov 2 2014 In : IIE Transactions (Institute of Industrial Engineers). 46, 11, p. 1125-1131 7 p.

Research output: Contribution to journalArticle

Risk management
Maximum likelihood estimation
Time series
Calibration

On the hedging of options on exploding exchange rates

Carr, P., Fisher, T. & Ruf, J. 2014 In : Finance and Stochastics. 18, 1, p. 115-144 30 p.

Research output: Contribution to journalArticle

Currency
Hedging
Exchange rate
Local Martingale
Pricing
2013
Invariant Distribution
Portfolio Optimization
Partial Information
Dimension Reduction
Dynamic programming

Engineering risk and finance

Tapiero, C. S. 2013 New York: Springer. 516 p. (International Series in Operations Research & Management Science; vol. 188)

Research output: Book/ReportBook

NBA chemistry: Positive and negative synergies in basketball

Maymin, A. Z., Maymin, P. Z. & Shen, E. 2013 In : International Journal of Computer Science in Sport. 12, 2, p. 4-23 20 p.

Research output: Contribution to journalArticle

Re-engineering risks and the future of finance

Tapiero, C. 2013 Risk management in financial institutions. Shojai, S. (ed.). London: EURO-MONEY Books, p. 233-250

Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

Schizophrenic representative investors

Maymin, P. Z. 2013 In : Complex Systems. 22, 1, p. 61-73 13 p.

Research output: Contribution to journalArticle

Finite automata
Time series

Static hedging of standard options

Carr, P. & Wu, L. Dec 2013 In : Journal of Financial Econometrics. 12, 1, p. 3-46 44 p., nbs014

Research output: Contribution to journalArticle

Hedge
Static hedging
Jump
Price dynamics
Exercise

Variation and share-weighted variation swaps on time-changed Lévy processes

Carr, P. & Lee, R. Oct 2013 In : Finance and Stochastics. 17, 4, p. 685-716 32 p.

Research output: Contribution to journalArticle

Swap
Lévy Process
Multiplier
Quadratic Variation
Valuation

Why are quadratic normal volatility models analytically tractable?

Carr, P., Fisher, T. & Ruf, J. 2013 In : SIAM Journal on Financial Mathematics. 4, 1, p. 185-202 18 p.

Research output: Contribution to journalArticle

Volatility
Brownian movement
Brownian motion
Change of Measure
Geometric Brownian Motion

Why do some firms go debt free?

Byoun, S. & Xu, Z. Feb 2013 In : Asia-Pacific Journal of Financial Studies. 42, 1, p. 1-38 38 p.

Research output: Contribution to journalArticle

Debt
Dividends
Equity markets
Cash flow
Free cash flow
2012

Any regulation of risk increases risk

Maymin, P. Z. & Maymin, Z. G. Sep 2012 In : Financial Markets and Portfolio Management. 26, 3, p. 299-313 15 p.

Research output: Contribution to journalArticle

Risk measurement
Government
Central bank
Banking regulation
Participation

CDO: A modeling prospective

Tapiero, C. S. & Totouom-Tangho, D. 2012 In : Risk and Decision Analysis. 3, 1-2, p. 75-88 14 p.

Research output: Contribution to journalArticle

Modeling
CDOs

Complex ownership and capital structure

Paligorova, T. & Xu, Z. Sep 2012 In : Journal of Corporate Finance. 18, 4, p. 701-716 16 p.

Research output: Contribution to journalArticle

Ownership structure
Capital structure
Debt financing
Expropriation
Owners