Andrew Papanicolaou

Available identifiers

zbMath Open papanicolaou.andrewMaRDI QIDQ2152591

List of research outcomes

Publication	Date of Publication	Type
Consistent time‐homogeneous modeling of SPX and VIX derivatives	2023-09-28	Paper
State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE	2023-07-31	Paper
Principal Eigenportfolios for U.S. Equities	2022-07-22	Paper
Statistical arbitrage for multiple co-integrated stocks	2022-07-08	Paper
Static replication of European standard dispersion options	2022-05-27	Paper
Trading Signals in VIX Futures	2022-05-10	Paper
A functional analysis approach to the static replication of European options	2021-12-01	Paper
SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS	2020-01-02	Paper
Backward SDEs for control with partial information	2019-05-08	Paper
STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS	2019-03-15	Paper
Implied Filtering Densities on the Hidden State of Stochastic Volatility	2018-09-12	Paper
Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes	2018-04-19	Paper
Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions	2017-05-24	Paper
PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION	2017-01-04	Paper
Filtering and portfolio optimization with stochastic unobserved drift in asset returns	2015-06-12	Paper
Filtering the Maximum Likelihood for Multiscale Problems	2015-05-21	Paper
A regime-switching Heston model for VIX and S&P 500 implied volatilities	2015-04-23	Paper
Numerical Solution of Stochastic Differential Equations with Jumps in Finance	2014-02-20	Paper
Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information	2014-01-23	Paper
Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States	2013-01-24	Paper
Filtering for fast mean-reverting processes	2011-03-09	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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