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2020

An Expanded Local Variance Gamma Model

Carr, P. & Itkin, A., 2020, (Accepted/In press) In : Computational Economics.

Research output: Contribution to journalArticle

Option Profit and Loss Attribution and Pricing: A New Framework

Carr, P. & Wu, L., Aug 1 2020, In : Journal of Finance. 75, 4, p. 2271-2316 46 p.

Research output: Contribution to journalArticle

2019

Backward SDEs for control with partial information

Papanicolaou, A., Jan 2019, In : Mathematical Finance. 29, 1, p. 208-248 41 p.

Research output: Contribution to journalArticle

PRice impact of large orders using hawkesa processes

Amaral, L. R. & Papanicolaou, A., Apr 1 2019, In : ANZIAM Journal. 61, 2, p. 161-194 34 p.

Research output: Contribution to journalArticle

2018

Extreme-strike comparisons and structural bounds for SPX and VIX options

Papanicolaou, A., 2018, In : SIAM Journal on Financial Mathematics. 9, 2, p. 401-434 34 p.

Research output: Contribution to journalArticle

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

Merton's financial multi-agent consumption

Kogan, K. & Tapiero, C. S., 2018, In : Risk and Decision Analysis. 7, 3-4, p. 107-117 11 p.

Research output: Contribution to journalArticle

Randomness and fractional stable distributions

Tapiero, C. S. & Vallois, P., Dec 1 2018, In : Physica A: Statistical Mechanics and its Applications. 511, p. 54-60 7 p.

Research output: Contribution to journalArticle

2017

Data science and intelligence

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

Research output: Contribution to journalArticle

Derivatives pricing under bilateral counterparty risk

Carr, P. & Ghamami, S., Oct 2017, In : Journal of Risk. 20, 1, p. 77-107 31 p.

Research output: Contribution to journalArticle

Dimension reduction in statistical estimation of partially observed multiscale processes

Papanicolaou, A. & Spiliopoulos, K., 2017, In : SIAM-ASA Journal on Uncertainty Quantification. 5, 1, p. 1220-1247 28 p.

Research output: Contribution to journalArticle

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

Acharya, V. & Xu, Z., May 2017, In : Journal of Financial Economics. 124, 2, p. 223-243 21 p.

Research output: Contribution to journalArticle

FX options in target zones

Carr, P. P. & Kakushadze, Z., Oct 3 2017, In : Quantitative Finance. 17, 10, p. 1477-1486 10 p.

Research output: Contribution to journalArticle

LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES

Carr, P. & Nadtochiy, S., Jan 1 2017, In : Mathematical Finance. 27, 1, p. 151-193 43 p.

Research output: Contribution to journalArticle

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

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

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

2016

Adjusting exponential lévy models toward the simultaneous calibration of market prices for crash cliquets

Carr, P., Khanna, A. & Madan, D. B., Sep 2016, In : Journal of Computational Finance. 20, 1, p. 89-111 23 p.

Research output: Contribution to journalArticle

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

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

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

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

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

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

Product Market Competition and Financial Decisions During a Financial Crisis

Byoun, S. & Xu, Z., Jun 1 2016, In : Financial Management. 45, 2, p. 267-290 24 p.

Research output: Contribution to journalArticle

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 2016, In : IEEE Journal on Selected Topics in Signal Processing. 10, 6, p. 1053-1060 8 p., 7482755.

Research output: Contribution to journalArticle

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

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

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

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

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

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

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

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

Research output: Contribution to journalArticle

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

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

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

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

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

2013

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

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

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

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

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