Publication Search Results
Exact matches for:
- Author = Papanicolaou A [web profile page]
1.
Papanicolaou A
Andrew Papanicolaou:
Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options,
(2015),
preprint.
2.
Fouque JP, Papanicolaou A, Sircar R
J.P. Fouque, A. Papanicolaou, R. Sircar:
Filtering and portfolio optimization with stochastic unobserved drift in asset returns,
Communications in Mathematical Sciences,
13
(2015),
no. 4,
935–953.
3.
Fuertes C, Papanicolaou A
Carlos Fuertes, Andrew Papanicolaou:
Implied Filtering Densities on the Hidden State of Stochastic Volatility,
Applied Mathematical Finance,
21
(2014),
no. 6,
483–522.
4.
Papanicolaou A, Sircar R
Andrew Papanicolaou, Ronnie Sircar:
A regime-switching Heston model for VIX and S&P 500 implied volatilities,
Quantitative Finance,
14
(2014),
no. 10,
1811–1827.
5.
Papanicolaou A, Spiliopoulos K
A. Papanicolaou, K. Spiliopoulos:
Filtering the Maximum Likelihood in Multiscale Problems,
SIAM J. on Multiscale Modeling and Simulation,
12
(2014),
no. 3,
1193–1229.
6.
Papanicolaou A
Andrew Papanicolaou:
Data Compression For Dynamic Image Sequences,
Research Methods & Methodology in Accounting eJournal,
6
(2014),
no. 13,
1–9.
7.
Papanicolaou A
Andrew Papanicolaou:
Book Review for "Numerical Solution of Stochastic Differential Equations with Jumps in Finance" by E. Platen and N. Bruti-Liberati,
Quantitative Finance,
13
(2013),
no. 9,
1353–1355.
8.
Papanicolaou A
Andrew Papanicolaou:
Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information,
SIAM J. on Financial Mathematics,
4
(2013),
no. 1,
916–960.
9.
Papanicolaou A
Andrew Papanicolaou:
Nonlinear Filtering for Hidden Markov Models with Fast Mean-Reverting States,
SIAM J. on Multiscale Modeling and Simulation,
10
(2012),
no. 3,
906–935.
10.
Papanicolaou A
Andrew Papanicolaou:
Filtering Fast Mean Reverting Processes,
Asymptotic Analysis,
70
(2010),
no. 3-4,
155–176.
| Number of matches: 10 |