Benchmarking under Drawdown Constraint and Stochastic Sharpe
Ratio, with A. Agarwal, October 2016, submitted.
Investment with Transaction Costs and Stochastic Volatility Part II:
Finite Horizon, with M. Bichuch, August 2015,
- Fracking, Renewables &
Mean Field Games, with P. Chan, SIAM Review, to appear.
First version July 2015, revised May 2016.
Trading with Predictable Return and Stochastic Volatility, with
P. Chan, June 2015, revised July 2016, submitted.
Optimization under Local-Stochastic Volatility: Coefficient Taylor
Series Approximations & Implied Sharpe Ratio, with
M. Lorig, SIAM J. Financial Mathematics, volume 7,
2016, pages 418-447.
Ladders and R&D in Dynamic Cournot Markets, with
M. Ludkovski, Journal of Economic Dynamics and
Control, 69, August 2016, pages 127-151.
Analysis of Forward performance processes in incomplete markets and
their ill-posed HJB equations, with M. Shkolnikov &
T. Zariphopoulou, SIAM J. Financial Mathematics, volume
7, 2016, pages 588-618.
- Game Theoretic
Models for Energy Production, survey article with
M. Ludkovski, February 2015, in
Fields Communications Volume : Commodities, Energy
and Environmental Finance,
(eds. R. Aid, M. Ludkovski, R. Sircar), Springer (2015).
Volatility: Modeling and Asymptotic Approaches to Option Pricing &
Portfolio Selection, survey article with M. Lorig, July 2014, in
Fundamentals of Financial Signal Processing,
(eds. A. Akansu, S. Kulkarni, D. Malioutov, I. Pollak), Wiley (2015).
Mathematics, survey article with R. Carmona, January 2014, in
Princeton Companion to Applied Mathematics,
(eds. N. Higham, F. Santosa), Princeton
University Press (2015).
Analysis for Investment Portfolios Under Partial Information with
Expert Opinions, with J.-P. Fouque & A. Papanicolaou,
January 2015, SIAM J. Control & Optimization, to appear.
- A Feedback
Model for the Financialization of Commodity Markets, with
P. Chan & M. Stein, SIAM J. Financial Mathematics,
6(1), 2015, pages 870–899.
Options under Stochastic Volatility: Control Variates, Maturity
Randomization & Multiscale Asymptotics, with
A. Agarwal & S. Juneja, Quantitative Finance, 16(1),
January 2016, pages 17-30.
- Variable Costs in
Dynamic Cournot Energy Markets, with
A. Dasarathy, May 2014, in Fields Communications
Volume : Commodities, Energy
and Environmental Finance, (eds. R. Aid, M. Ludkovski, R. Sircar), Springer (2015).
Portfolio Investment Problems, with Y. Dong, April
2014, in Stochastic Analysis and Applications 2014,
(eds. D. Crisan, B. Hambly and T. Zariphopoulou), Springer.
- Bertrand & Cournot Mean
Field Games, with P. Chan, Applied Mathematics &
Optimization, volume 71, pages 533-569, 2015.
Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon,
with M. Bichuch, January 2014, revised August 2015 and June 2016,
submitted. (Formerly titled ``Optimal
Investment with Transaction Costs and Stochastic Volatility'').
- Analysis of Systematic Risks in Multi-Name Credit and Equity Markets, with
E. Choi, August 2013, submitted.
- Filtering and Portfolio Optimization with Stochastic Unobserved Drift in Asset Returns, with
J.-P. Fouque & A. Papanicolaou, Communications
in Mathematical Sciences, 13(4), pages 935-953, 2015.
Optimization & Stochastic Volatility Asymptotics, with
J.-P. Fouque & T. Zariphopoulou, March 2013, to appear in
- Implied Volatility of Leveraged
ETF Options, with T. Leung, Applied Mathematical
Finance, 22(2), March 2015, pages 162-188.
- A Regime-Switching
Heston Model for VIX and S&P 500 Implied Volatilities, with
A. Papanicolaou, Quantitative
Finance, Volume 14, Issue 10, (2014) pages 1811-1827 (published online July 2013).
- Second Order
Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal
Layer Analysis & Calibration, with J.-P. Fouque &
M. Lorig, August 2012, Finance &
Stochastics, 20(3), (2016), pages 543-588.
- A Model
for Hedging Load and Price Risk in the Texas Electricity Market,
with M. Coulon & W. Powell, Energy Economics, 40,
pages 976–988, November 2013.
Games under Asymmetric Costs and an Application to Energy
A. Ledvina, Mathematics and Financial Economics, 6(4),
2012, pages 261-293. [Previously titled ``Static &
Dynamic Oligopoly Games under Asymmetric Costs''. An earlier version on
static games was titled ``Bertrand and Cournot
competition under asymmetric costs: number of active firms in
equilibrium''; first draft October 2010.]
- From Smile
Asymptotics to Market Risk Measures, with S. Sturm, July
2011, in Mathematical Finance, 25(2), pages 400-425, April 2015.
- Dynamic Bertrand
and Cournot Competition: Asymptotic and Computational Analysis of
with A. Ledvina, Risk and Decision Analysis 3(3), 2012,
- Exploration and
Exhaustibility in Dynamic Cournot Games, with M. Ludkovski, European
Journal on Applied Mathematics, 23(3), 2012, pages 343-372.
- Dynamic Bertrand Oligopoly,
with A. Ledvina, Applied Mathematics and Optimization
63(1), 2011, pages 11-44.
- Forward Indifference Valuation of American Options,
with T. Leung & T. Zariphopoulou, Stochastics
84(5-6), 2012, pages 741-770.
- Games with Exhaustible Resources,
with C. Harris & S. Howison, SIAM J. Applied
Mathematics 70(7), 2010, pages 2556-2581.
- A Framework for Dynamic
Hedging under Convex Risk Measures, with A. Toussaint,
November 2008. Appears in Proceedings of 2008
Ascona Seminar on Stochastic Analysis, Random Fields
and Applications (eds. R. Dalang, M. Dozzi, F. Russo),
- Multiname and
Multiscale Default Modeling, with J.-P. Fouque &
K. Solna, SIAM J. Multiscale Modeling and Simulation 7(4),
2009, pages 1956-1978.
- Option pricing under
stochastic volatility: the exponential Ornstein-Uhlenbeck model,
with J. Perello & J. Masoliver, Journal of Statistical
Mechanics (2008), P06010.
- Optimal Static-Dynamic
Hedges for Exotic Options under Convex Risk Measures, with
A. Ilhan & M. Jonsson,
Stochastic Processes & Applications 119(10), 2009, pages 3608-3632.
Hedging with Optimal Stopping and Application to ESO Valuation,
with T. Leung, SIAM J. Control & Optimization 48(3),
2009, pages 1422-1451.
- Credit Derivatives and Risk
Aversion, with T. Leung & T. Zariphopoulou, in Advances in Econometrics (eds.
T. Fomby, J.-P. Fouque and K. Solna), 2008, Elsevier
Intensity Models and Name Grouping for Valuation of Multi-name Credit
Derivatives, with E. Papageorgiou, Applied Mathematical
Finance 16(4), 2009, pages 353-383.
- Accounting for Risk
Aversion, Vesting, Job Termination Risk and Multiple Exercises in
Valuation of Employee Stock Options, with T. Leung, Mathematical
Finance 19(1), 2009, pages 99-128.
Valuation of Credit Derivatives and Application to CDOs, with
T. Zariphopoulou, Quantitative Finance 10(2), 2010,
pages 195-208. [A related
article is Utility
Valuation of Credit Derivatives: Single and Two-Name Cases, with
T. Zariphopoulou, in Advances in Mathematical Finance
(eds. M. Fu, R. Jarrow, J.-Y. Yen, R. Elliott), ANHA Series,
Birkhauser, 2007, pages 279-301.]
Intensity Models for Single Name Credit Derivatives, with
E. Papageorgiou, Applied Mathematical Finance 15(1),
2008, pages 73-105.
Theoretic Approaches to Financial Price Fluctuations, with
E. Bayraktar & U. Horst, in Handbook of Financial
Engineering (ed. J. Birge and V. Linetsky), Volume 15 of
Handbooks in Operations Research and Management Science, North
Holland, 2007, pages 637-677.
- Portfolio Optimization
with Derivatives and Indifference Pricing, with A. Ilhan &
M. Jonsson, May 2004, in Volume on Indifference
Pricing, (ed. R. Carmona), Princeton University Press (2008). [A
shorter preliminary version "Options: To Buy or not To
Buy?", with M. Jonsson, appears in Proceedings of
an AMS-IMS-SIAM Summer Conference on Mathematics of Finance,
ed. G. Yin and Q. Zhang, Contemporary Mathematics 351, AMS,
2003, pages 207-215.]
- Stochastic Volatility
Effects on Defaultable Bonds, with J.-P. Fouque &
K. Solna, Applied Mathematical Finance 13(3), 2006, pages
- Optimal Investment with
Derivative Securities, with A. Ilhan & M. Jonsson,
Finance & Stochastics 9(4), 2005, pages 585-595.
Static-Dynamic Hedges for Barrier Options, with A. Ilhan &
M. Jonsson, Mathematical Finance 16(2), 2006, pages
- Multiscale Stochastic Volatility
Asymptotics, with J.-P. Fouque, G.
Papanicolaou & K. Solna, SIAM J. Multiscale Modeling and Simulation
2(1), 2003, pages 22-42.
- A General Framework for
Evaluating Executive Stock Options, with W. Xiong,
Journal of Economic Dynamics and Control 31(7), July 2007,
pages 2317-2349. [Formerly titled ``Evaluating Incentive
Options''; first draft May 2003.]
Limit Theorem for Financial Markets with Inert Investors, with
E. Bayraktar & U. Horst, Mathematics of Operations
Research, 31(4), 2006, pages 789-810.
Perturbations for Boundary Value Problems arising from Exotic
Options, with A. Ilhan & M. Jonsson, SIAM J.
Applied Math. 64(4), 2004, pages 1268-1293.
Maturity Cycles in Implied Volatility, with J.-P. Fouque,
G. Papanicolaou & K. Solna, Finance & Stochastics
8(4), 2004, pages 451-477.
the Fractal Dimension of the S&P 500 Index using Wavelet Analysis ,
with E. Bayraktar & V. Poor, International
Journal of Theoretical & Applied Finance, 7(5), 2004, pages
- Bounds &
Asymptotic Approximations for Utility Prices when Volatility is
T. Zariphopoulou, SIAM J.
Control & Optimization, 43(4), 2005, pages 1328-1353.
Perturbations in Option Pricing, with J.-P.
Fouque, G. Papanicolaou & K. Solna, SIAM J. Applied Math 63(5),
Hedge Funds and Multi-Period Asset Allocation, with D. Darius, A. Ilhan, J. Mulvey & K.
Simsek, Quantitative Finance 2(5), October 2002, pages 354-61.
Investment Problems and Volatility Homogenization Approximations, with
M. Jonsson, in "Modern Methods
in Scientific Computing and Applications",
A. Bourlioux, M. Gander & G. Sabidussi (eds.), NATO Science Series II, vol.
75, pages 255-281, Kluwer. August 2002.
Volatility and the Epsilon Martingale Decomposition, with J.-P. Fouque & G. Papanicolaou, Trends in
Mathematics, Kohlmann, M., Tang, S., (Eds.), pages 152-9, Birkhauser
Verlag, October 2000.
Hedging in a Stochastic Volatility Environment, with M. Jonsson,
Mathematical Finance 12(4),
October 2002, pages 375-409.
Volatility Corrections for Interest Rate Derivatives, with P. Cotton,
J.-P. Fouque & G. Papanicolaou, Mathematical
Finance 14(2), April 2004, pages 173-200.
University Press, Sept 2000. ERRATUM
the Implied Volatility Skew to a Robust Correction to Black-Scholes American
Option Prices, with J.-P. Fouque
& G. Papanicolaou, International Journal of Theoretical & Applied Finance, vol
4, No. 4 (2001), pages 651-75.
Time-Scale in S&P 500 Volatility, with J.-P. Fouque & G. Papanicolaou, Journal of Computational Finance
6(4), Summer 2003, pages 1-23. (Formerly titled Mean-Reversion of S&P 500 Volatility.)
Volatility Correction to Black-Scholes, with J.-P. Fouque & G. Papanicolaou,
RISK 13(2), February 2000,
under Stochastic Volatility, Quantitative
Analysis in Financial Markets, Vol. 2 (M. Avellaneda, ed.), World
Scientific, February 2000.
Modeling in a Fast Mean-Reverting Stochastic Volatility Environment, with J.-P. Fouque & G. Papanicolaou, Asia-Pacific
Financial Markets 6(1), 1999, pages 37-48.
Stochastic Volatility, with J.-P.
Fouque & G. Papanicolaou, International Journal of Theoretical &
Applied Finance, Vol. 3, No. 1 (2000), pages 101-142.
of a Two-Scale Stochastic Volatility Model, with J.-P. Fouque & G. Papanicolaou,
in "Equations aux derivees
partielles et applications" in honour of Jacques-Louis Lions,
Gauthier-Villars, May 1998, pages 517-26.
Volatility, Smile & Asymptotics, with G. Papanicolaou, Applied Mathematical Finance
6(2), June 1999, pages 107-145.
Black-Scholes models accounting for increased market volatility from hedging
strategies, with G. Papanicolaou, Applied
Mathematical Finance 5(1), 1998, pages 45-82.