Research Output 1971 2017

2017

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

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-reviewArticle

Wealth
Pricing
Model
Financial markets
Factors

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-reviewArticle

Gauge
Money
Volatility index
Market
Market price
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: Research - peer-reviewArticle

Crash
Calibration
Model
Market
Market price

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-reviewArticle

Volatility index
Volatility
Market
Derivatives
Term structure

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-reviewArticle

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: Research - peer-reviewArticle

Randomness
Fractional
random variables
calculus
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: Research - peer-reviewArticle

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-reviewArticle

Insurance
Hedge
Hedging
Constrained Minimization
Insurance risk

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-reviewArticle

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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

Granularity
Finance
Fractional
Model
Risk premium
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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

Portfolio Optimization
Filtering
Financial markets
HJB Equation
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: ResearchChapter

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: ResearchChapter

Local variance gamma and explicit calibration to option prices

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

Research output: Research - peer-reviewArticle

Maturity
Option prices
Calibration
Variance gamma
maturity

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-reviewArticle

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: Research - peer-reviewArticle

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: ResearchConference 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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

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: ResearchChapter

Differential Games
Reward
Class
Multiple agents
Differential games

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-reviewArticle

Multiscale Problems
Maximum Likelihood
Likelihood
Filtering
Normal distribution

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-reviewArticle

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: Research - peer-reviewArticle

Financial regulation
Noncompliance
Financial institutions
Regulator
Finance

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: ResearchBook

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-reviewArticle

Stochastic Volatility
Volatility
Filtering
Stochastic volatility
Inverse problems

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-reviewArticle

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-reviewArticle

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: Research - peer-reviewArticle

Exchange rates
Martingale
Currency
Hedging
Exchange rate
2013
Invariant Distribution
Portfolio Optimization
Partial Information
Dimension Reduction
Discrete-time

Engineering risk and finance

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

Research output: ResearchBook

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-reviewArticle

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-reviewChapter (peer-reviewed)

Schizophrenic representative investors

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

Research output: Research - peer-reviewArticle

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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

Swap
Lévy Process
Swaps
Time-changed Lévy processes
Multiplier

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-reviewArticle

Volatility
Model
Volatility models
Brownian movement
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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

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-reviewArticle

Ownership structure
Capital structure
Debt financing
Expropriation
Owners

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-reviewArticle

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: Research - peer-reviewArticle

Implied Volatility
Marginal Distribution
Martingale
Implied volatility smile
Jump Diffusion

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: Research - peer-reviewArticle

Option pricing
Index options
Pricing strategy
Stock options
Options markets