Research Output 1971 2017

2017

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

Partial information
Perturbation analysis
Uncertainty
HJB equation
Expert opinion

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

Wealth
Model
Financial markets
Pricing
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
Greed
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

Model
Crash
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
Estimate

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

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

Random variables
Probability density function
Probability distributions
Mathematical operators
Economics

FX options in target zones

Carr, P. P. & Kakushadze, Z. Nov 23 2016 In : Quantitative Finance. p. 1-10 10 p.

Research output: Contribution to journalArticle

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

Insurance
Hedge
Constrained minimization
Limit laws
Hedging

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
Currency
Option pricing
Arbitrage
Calibration

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

Industry
Uncertainty
Cointegration

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

Annealing
Covariance matrix
Trajectories
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

Fractional
Model
Risk premium
Granularity
Financial markets
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

Wealth
Risk preferences
Gaming
Willingness-to-pay
Financial markets

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

Financial markets

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

Costs

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

Local variance gamma and explicit calibration to option prices

Carr, P. & Nadtochiy, S. 2015 In : Mathematical Finance.

Research output: Contribution to journalArticle

maturity
Maturity
price
algorithm
process

Product Market Competition and Financial Decisions During a Financial Crisis

Byoun, S. & Xu, Z. 2015 In : Financial Management.

Research output: Contribution to journalArticle

Financial crisis
Finance
Financing

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

Parity
Optimality

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

Annealing
Covariance matrix
Trajectories
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

Poverty
Cellular automata
Economic growth
Economics
Voting

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

Hedge
Empirical study

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

Concession
Local government
Public interest
Governance
Financing

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

Decision making

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

Likelihood
Anaplasmosis
Maximum likelihood
filter
Multiscale problems

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

Acharya, V. & Xu, Z. Jul 27 2014 In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Industry
Finance
Selection bias

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
Finance
Profit
Intermediaries

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

Finance

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

Inverse problems
Derivatives
Specifications
Hidden Markov models

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

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
Local martingale
Exchange rate
Pricing
Operator
2013
Partial information
Invariant distribution
Portfolio optimization
Time scales
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

Finance

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)

Finance

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
Jump
Simulation
Historical analysis
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
Multiplier
Arbitrary
Quadratic variation
Lévy process

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
Model
Brownian movement
Brownian motion
Change of measure

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
Equity
Conservatism
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

Financial system
Central banking

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

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

Debt
Tax

Coordination of co-investments in supply chain infrastructure

Kogan, K. & Tapiero, C. S. Dec 2012 In : Journal of Intelligent Manufacturing. 23, 6, p. 2471-2475 5 p.

Research output: Contribution to journalArticle

Supply chains
Profitability
Feedback

Explicit constructions of martingales calibrated to given implied volatility smiles

Carr, P. & Cousot, L. 2012 In : SIAM Journal on Financial Mathematics. 3, 1, p. 182-214 33 p.

Research output: Contribution to journalArticle

Marginal distribution
Martingale
Implied volatility
Jump diffusion
Interpolation

Factor Models for Option Pricing

Carr, P. & Madan, D. B. Oct 2012 In : Asia-Pacific Financial Markets. 19, 4, p. 319-329 11 p.

Research output: Contribution to journalArticle

Option pricing

How much trouble is early foul trouble? Strategically idling resources in the NBA

Maymin, A., Maymin, P. & Shen, E. Nov 2012 In : International Journal of Sport Finance. 7, 4, p. 324-339 16 p.

Research output: Contribution to journalArticle

Resources
Financial economics
Replacement
Optimality