Research Output 1971 2017

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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

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
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

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

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

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

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

Insurance and finance: Competition and/or convergence

Tapiero, C. S. 2012 In : Risk and Decision Analysis. 3, 1-2, p. 19-35 17 p.

Research output: Contribution to journalArticle

Insurance
Finance
Securitization
Contagion
Financial crisis

Music and the market: Song and stock volatility

Maymin, P. Jan 2012 In : North American Journal of Economics and Finance. 23, 1, p. 70-85 16 p.

Research output: Contribution to journalArticle

Profit
Nonlinear filters
nonlinear filters
Kinesics
Hidden Markov models
Markov processes

Risk, return, and ross recovery

Carr, P. & Yu, J. Sep 2012 In : Journal of Derivatives. 20, 1, p. 38-59 22 p.

Research output: Contribution to journalArticle

Finance

The individual factors of successful free throw shooting

Maymin, A. Z., Maymin, P. Z. & Shen, E. Sep 2012 In : Journal of Quantitative Analysis in Sports. 8, 3

Research output: Contribution to journalArticle

data
playing
physics
failure
success
Economics
Libertarianism
Cellular automata
Remuneration
Anarchy

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

Itkin, A. & Carr, P. Jun 2012 In : Computational Economics. 40, 1, p. 63-104 42 p.

Research output: Contribution to journalArticle

Option pricing
Integrodifferential equations
Finance
Costs
Physics