Research Output per year

## Research Output 1971 2017

- 1 - 50 out of 345 results
- Publication Year, Title (descending)

## 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-review › Article

## 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-review › Article

## 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-review › Article

## 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: Research - peer-review › Article

## Why is VIX a fear gauge?

Carr, P. 2017 In : Risk and Decision Analysis. 6, 2, p. 179-185 7 p.Research output: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## Optimal rates from eigenvalues

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

## Pairs trading of two assets with uncertainty in co-integration's level of mean reversion

Lee, S. & Papanicolaou, A. Dec 1 2016 In : International Journal of Theoretical and Applied Finance. 19, 8, 1650054Research output: Research - peer-review › Article

## 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., 7482755Research output: Research - peer-review › Article

## 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: Research - peer-review › Article

## A financial CCAPM and economic inequalities

Tapiero, C. S. Mar 4 2015 In : Quantitative Finance. 15, 3, p. 521-534 14 p.Research output: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research › Chapter

## 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: Research › Chapter

## Local variance gamma and explicit calibration to option prices

Carr, P. & Nadtochiy, S. 2015 (Accepted/In press) In : Mathematical Finance.Research output: Research - peer-review › Article

## Product Market Competition and Financial Decisions During a Financial Crisis

Byoun, S. & Xu, Z. 2015 (Accepted/In press) In : Financial Management.Research output: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research › Conference contribution

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research › Chapter

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research › Book

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## Dimension reduction in discrete time portfolio optimization with partial information

Papanicolaou, A. 2013 In : SIAM Journal on Financial Mathematics. 4, 1, p. 916-960 45 p.Research output: Research - peer-review › Article

## Engineering risk and finance

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

## 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: Research - peer-review › Article

## 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: Research - peer-review › Chapter (peer-reviewed)

## Schizophrenic representative investors

Maymin, P. Z. 2013 In : Complex Systems. 22, 1, p. 61-73 13 p.Research output: Research - peer-review › Article

## Static hedging of standard options

Carr, P. & Wu, L. Dec 2013 In : Journal of Financial Econometrics. 12, 1, p. 3-46 44 p., nbs014Research output: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article

## 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: Research - peer-review › Article