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

Portfolio Optimization
Mathematics

Mean Reversion
Mathematics

Partial Information
Mathematics

Volatility
Mathematics

Invariant Distribution
Mathematics

Nonlinear Filters
Mathematics

HJB Equation
Mathematics

##
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

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 journal › Article

Volatility

Derivatives

Term Structure

Leverage Effect

Market

## 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

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 journal › Article

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 journal › Article

Heston model

Volatility index

Implied volatility

Regime switching

Option prices