Ronnie Sircar

Contact Information

• ORFE Department, Princeton University, Sherrerd Hall Room 208, Princeton, NJ 08544
• Tel: (609) 258 2841; Fax: (609) 258 4363
• sircar@princeton.edu

• RTG: Stochastic Analysis & Applications
• SIAM Journal on Financial Mathematics

• Multiname and Multiscale Default Modeling, with J.-P. Fouque & K. Solna, June 2008, submitted.
• 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, April 2008, submitted.
• Exponential Hedging with Optimal Stopping and Application to ESO Valuation, with T. Leung, March 2008, submitted.
• Credit Derivatives and Risk Aversion, with T. Leung & T. Zariphopoulou, October 2007. To appear in Advances in Econometrics (eds. T. Fomby, J.-P. Fouque and K. Solna), Elsevier Science.
• Multiscale Intensity Models and Name Grouping for Valuation of Multi-name Credit Derivatives, with E. Papageorgiou, first version: June 2007, updated March 2008, submitted.
• Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options, with T. Leung, November 2006, revised August 2007. To appear in Mathematical Finance.
• Utility Valuation of Credit Derivatives and Application to CDOs, with T. Zariphopoulou, July 2006, submitted. [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.]
• Multiscale Intensity Models for Single Name Credit Derivatives, with E. Papageorgiou, Applied Mathematical Finance 15(1), 2008, pages 73-105.
• Queueing 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. To appear in Volume on Indifference Pricing, (ed. R. Carmona), Princeton University Press. [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 215-244.
• Optimal Investment with Derivative Securities, with A. Ilhan & M. Jonsson, Finance & Stochastics 9(4), 2005, pages 585-595.
• Optimal Static-Dynamic Hedges for Barrier Options, with A. Ilhan & M. Jonsson, Mathematical Finance 16(2), 2006, pages 359-385.
• 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.]
• A Limit Theorem for Financial Markets with Inert Investors, with E. Bayraktar & U. Horst, Mathematics of Operations Research, 31(4), 2006, pages 789-810.
• Singular 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.
• Estimating 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 615-643.
• Bounds & Asymptotic Approximations for Utility Prices when Volatility is Random, with T. Zariphopoulou, SIAM J. Control & Optimization, 43(4), 2005, pages 1328-1353.
• Singular Perturbations in Option Pricing, with J.-P. Fouque, G. Papanicolaou & K. Solna, SIAM J. Applied Math 63(5), 2003, pages1648-1665.
• Trend-Following 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.
• Optimal 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.
• Stochastic 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.
• Partial Hedging in a Stochastic Volatility Environment,with M. Jonsson, Mathematical Finance 12(4), October 2002, pages 375-409.
• Stochastic Volatility Corrections for Interest Rate Derivatives,with P. Cotton, J.-P. Fouque & G. Papanicolaou, Mathematical Finance 14(2), April 2004, pages 173-200.


Cambridge University Press, Sept 2000. ERRATUM

• From 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.
• Short 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.)
• Stochastic Volatility Correction to Black-Scholes, with J.-P. Fouque & G. Papanicolaou, RISK 13(2), February 2000, pages 89-92.
• Hedging under Stochastic Volatility, Quantitative Analysis in Financial Markets, Vol. 2 (M. Avellaneda, ed.), World Scientific, February 2000.
• Financial 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.
• Mean-Reverting Stochastic Volatility, with J.-P. Fouque & G. Papanicolaou, International Journal of Theoretical & Applied Finance, Vol. 3, No. 1 (2000), pages 101-142.
• Asymptotics 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.
• Stochastic Volatility, Smile & Asymptotics, with G. Papanicolaou, Applied Mathematical Finance 6(2), June 1999, pages 107-145.
• General Black-Scholes models accounting for increased market volatility from hedging strategies, with G. Papanicolaou, Applied Mathematical Finance 5(1), 1998, pages 45-82.