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Andrew Papanicolaou

Assistant Professor

    20102019

    Research output per year

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    Research Output

    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., Jan 1 2018, In : SIAM Journal on Financial Mathematics. 9, 2, p. 401-434 34 p.

    Research output: Contribution to journalArticle

    2017

    Dimension reduction in statistical estimation of partially observed multiscale processes

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

    Research output: Contribution to journalArticle

    Perturbation analysis for investment portfolios under partial information with expert opinions

    Fouque, J. P., Papanicolaou, A. & Sircar, R., Jan 1 2017, In : SIAM Journal on Control and Optimization. 55, 3, p. 1534-1566 33 p.

    Research output: Contribution to journalArticle

    2016

    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

    2015

    Filtering and portfolio optimization with stochastic unobserved drift in asset returns

    Fouque, J. P., Papanicolaou, A. & Sircar, R., Jan 1 2015, In : Communications in Mathematical Sciences. 13, 4, p. 935-953 19 p.

    Research output: Contribution to journalArticle

    2014

    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

    Filtering the maximum likelihood for multiscale problems

    Papanicolaou, A. & Spiliopoulos, K., Jan 1 2014, In : Multiscale Modeling and Simulation. 12, 3, p. 1193-1229 37 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

    2013

    Dimension reduction in discrete time portfolio optimization with partial information

    Papanicolaou, A., Dec 1 2013, In : SIAM Journal on Financial Mathematics. 4, 1, p. 916-960 45 p.

    Research output: Contribution to journalArticle

    2012

    Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states

    Papanicolaou, A., Oct 8 2012, In : Multiscale Modeling and Simulation. 10, 3, p. 906-935 30 p.

    Research output: Contribution to journalArticle

    2010

    Filtering for fast mean-reverting processes

    Papanicolaou, A., Dec 6 2010, In : Asymptotic Analysis. 70, 3-4, p. 155-176 22 p.

    Research output: Contribution to journalArticle