Narrow search
Showing 1 - 5 of 5
Cover Image
Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
Cover Image
Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos; Papanicolaou, Andrew - In: Applied mathematical finance 21 (2014) 5/6, pp. 483-522
Persistent link: https://www.econbiz.de/10010500874
Cover Image
Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011686768
Cover Image
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
Cover Image
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