Research Output per year

## Fingerprint Fingerprint is based on mining the text of the persons scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

Filtering
Mathematics

Volatility
Mathematics

Partial information
Mathematics

Portfolio optimization
Mathematics

Model
Mathematics

Mean reversion
Mathematics

Uncertainty
Mathematics

Nonlinear filters
Mathematics

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Network
Recent external collaboration on country level. Dive into details by clicking on the dots.

## Research Output 2010 2017

- 10 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: Contribution to journal › Article

Partial information

Perturbation analysis

Uncertainty

HJB equation

Expert opinion

## 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 journal › Article

Volatility

Derivatives

Term structure

Leverage effect

Estimate

## 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: Contribution to journal › Article

Industry

Uncertainty

Cointegration

## 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 journal › Article

Financial markets

## 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 journal › Article

Hedge

Empirical study