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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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

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 journalArticle

Volatility
Derivatives
Term structure
Leverage effect
Estimate
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 journalArticle

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 journalArticle

Hedge
Empirical study