Andrew Papanicolaou

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Consistent time‐homogeneous modeling of SPX and VIX derivatives Mathematical Finance	2023-09-28	Paper
State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE Automatica	2023-07-31	Paper
Principal eigenportfolios for U.S. equities SIAM Journal on Financial Mathematics	2022-07-22	Paper
Statistical arbitrage for multiple co-integrated stocks Applied Mathematics and Optimization	2022-07-08	Paper
Static replication of European standard dispersion options Quantitative Finance	2022-05-27	Paper
Trading signals in VIX futures Applied Mathematical Finance	2022-05-10	Paper
A functional analysis approach to the static replication of European options Quantitative Finance	2021-12-01	Paper
Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs International Journal of Theoretical and Applied Finance	2020-01-02	Paper
Backward SDEs for control with partial information Mathematical Finance	2019-05-08	Paper
Statistics of VIX futures and applications to trading volatility exchange-traded products International Journal of Theoretical and Applied Finance	2019-03-15	Paper
Implied filtering densities on the hidden state of stochastic volatility Applied Mathematical Finance	2018-09-12	Paper
Dimension reduction in statistical estimation of partially observed multiscale processes SIAM/ASA Journal on Uncertainty Quantification	2018-04-19	Paper
Perturbation analysis for investment portfolios under partial information with expert opinions SIAM Journal on Control and Optimization	2017-05-24	Paper
Pairs trading of two assets with uncertainty in co-integration's level of mean reversion International Journal of Theoretical and Applied Finance	2017-01-04	Paper
Filtering and portfolio optimization with stochastic unobserved drift in asset returns Communications in Mathematical Sciences	2015-06-12	Paper
Filtering the Maximum Likelihood for Multiscale Problems Multiscale Modeling & Simulation	2015-05-21	Paper
A regime-switching Heston model for VIX and S&P 500 implied volatilities Quantitative Finance	2015-04-23	Paper
Introduction to Stochastic Differential Equations (SDEs) for Finance	2015-04-21	Paper
Stochastic Analysis Seminar on Filtering Theory	2014-06-07	Paper
Numerical Solution of Stochastic Differential Equations with Jumps in Finance Quantitative Finance	2014-02-20	Paper
Dimension reduction in discrete time portfolio optimization with partial information SIAM Journal on Financial Mathematics	2014-01-23	Paper
Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states Multiscale Modeling & Simulation	2013-01-24	Paper
Filtering for fast mean-reverting processes Asymptotic Analysis	2011-03-09	Paper

Research outcomes over time

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