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Search: person:"Papanicolaou, A."
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Volatility
6
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5
Option pricing theory
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stochastic volatility
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contango
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long short-term memory (LSTM) networks
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optimal execution
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order books
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price impact
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Papanicolaou, Andrew
10
Papanicolaou, A.
4
Avellaneda, Marco
3
Bossu, Sébastien
2
Carr, Peter
2
Fu, Hao
2
Healy, Brian
2
Khorrami, Farshad
2
Amir-Ghassemi, F.
1
Chandra, Shiva
1
Fuertes, Carlos
1
Krishnamurthy, Prasanth
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Krishnamurthy, Prashanth
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Lee, Sangmin
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Applied mathematical finance
3
International journal of theoretical and applied finance
3
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Mathematical finance : an international journal of mathematics, statistics and financial economics
1
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ECONIS (ZBW)
13
RePEc
1
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1
Consistent time-homogeneous modeling of SPX and VIX derivatives
Papanicolaou, Andrew
- In:
Mathematical finance : an international journal of …
32
(
2022
)
3
,
pp. 907-940
Persistent link: https://www.econbiz.de/10013331067
Saved in:
2
An optimal control strategy for execution of large stock orders using long short-term memory networks
Papanicolaou, Andrew
;
Fu, Hao
;
Krishnamurthy, Prashanth
; …
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 37-65
Persistent link: https://www.econbiz.de/10014342063
Saved in:
3
An optimal control strategy for execution of large stock orders using long short-term memory networks
Papanicolaou, Andrew
;
Fu, Hao
;
Krishnamurthy, Prasanth
; …
- In:
The journal of computational finance : JFC
26
(
2023
)
4
,
pp. 37-65
Persistent link: https://www.econbiz.de/10014486884
Saved in:
4
Aggregate alpha in the hedge fund industry : a further look at best ideas
Amir-Ghassemi, F.
;
Papanicolaou, A.
;
Perlow, M.
- In:
The journal of portfolio management : JPM
48
(
2022
)
3
,
pp. 220-239
Persistent link: https://www.econbiz.de/10013175479
Saved in:
5
Static replication of European standard dispersion options
Bossu, Sébastien
;
Carr, Peter
;
Papanicolaou, Andrew
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 799-811
Persistent link: https://www.econbiz.de/10013367861
Saved in:
6
Trading signals in VIX futures
Avellaneda, Marco
;
Li, Thomas Nanfeng
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
Saved in:
7
A functional analysis approach to the static replication of European options
Bossu, Sébastien
;
Carr, Peter
;
Papanicolaou, Andrew
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 637-655
Persistent link: https://www.econbiz.de/10012483843
Saved in:
8
Introduction to Stochastic Differential Equations (SDEs) for Finance
Papanicolaou, A.
-
arXiv.org
-
2015
These are course notes on the application of SDEs to options pricing. The author being partially supported by NSF grant DMS-0739195.
Persistent link: https://www.econbiz.de/10011265235
Saved in:
9
Statistics of VIX futures and applications to trading volatility exchange-traded products
Avellaneda, Marco
;
Papanicolaou, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012012774
Saved in:
10
Singular perturbation expansion for utility maximization with order-ϵ quadratic transaction costs
Chandra, Shiva
;
Papanicolaou, Andrew
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012153330
Saved in:
1
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