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
Portfolio Optimization Mathematics
Mean Reversion Mathematics
Partial Information Mathematics
Volatility Mathematics
Invariant Distribution Mathematics
Nonlinear Filters Mathematics
HJB Equation Mathematics

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Research Output 2010 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

Expert Opinion
Partial Information
Perturbation Analysis
HJB Equation
Uncertainty

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
Market
Pairs trading
Assets
Uncertainty
Cointegration
Mean reversion

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

Portfolio Optimization
Filtering
HJB Equation
Financial Markets
Perturbation Method

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

Heston model
Volatility index
Implied volatility
Regime switching
Option prices