@article{amir-ghassemi_papanicolaou_perlow_2022, title={Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas}, volume={48}, ISSN={["2168-8656"]}, url={http://dx.doi.org/10.3905/jpm.2021.1.313}, DOI={10.3905/jpm.2021.1.313}, number={3}, journal={JOURNAL OF PORTFOLIO MANAGEMENT}, publisher={Pageant Media US}, author={Amir-Ghassemi, F. and Papanicolaou, A. and Perlow, M.}, year={2022}, month={Feb}, pages={220–239} } @article{papanicolaou_2022, title={Consistent time-homogeneous modeling of SPX and VIX derivatives}, volume={5}, ISSN={["1467-9965"]}, url={https://doi.org/10.1111/mafi.12348}, DOI={10.1111/mafi.12348}, number={3}, journal={MATHEMATICAL FINANCE}, publisher={Wiley}, author={Papanicolaou, Andrew}, year={2022}, month={May} } @article{avellaneda_healy_papanicolaou_papanicolaou_2022, title={Principal Eigenportfolios for US Equities}, volume={13}, ISSN={["1945-497X"]}, url={http://dx.doi.org/10.1137/20m1383501}, DOI={10.1137/20M1383501}, number={3}, journal={SIAM JOURNAL ON FINANCIAL MATHEMATICS}, publisher={Society for Industrial & Applied Mathematics (SIAM)}, author={Avellaneda, Marco and Healy, Brian and Papanicolaou, Andrew and Papanicolaou, George}, year={2022}, pages={702–744} } @article{bossu_carr_papanicolaou_2022, title={Static replication of European standard dispersion options}, volume={3}, ISSN={["1469-7696"]}, DOI={10.1080/14697688.2022.2040743}, journal={QUANTITATIVE FINANCE}, author={Bossu, Sebastien and Carr, Peter and Papanicolaou, Andrew}, year={2022}, month={Mar} } @article{li_papanicolaou_2022, title={Statistical Arbitrage for Multiple Co-integrated Stocks}, volume={86}, ISSN={["1432-0606"]}, url={https://doi.org/10.1007/s00245-022-09838-3}, DOI={10.1007/s00245-022-09838-3}, number={1}, journal={APPLIED MATHEMATICS AND OPTIMIZATION}, publisher={Springer Science and Business Media LLC}, author={Li, Thomas Nanfeng and Papanicolaou, Andrew}, year={2022}, month={Jun} } @article{avellaneda_li_papanicolaou_wang_2022, title={Trading Signals in VIX Futures}, volume={1}, url={http://dx.doi.org/10.1080/1350486x.2021.2010584}, DOI={10.1080/1350486x.2021.2010584}, journal={Applied Mathematical Finance}, publisher={Informa UK Limited}, author={Avellaneda, Marco and Li, Thomas Nanfeng and Papanicolaou, Andrew and Wang, Gaozhan}, year={2022}, month={Jan}, pages={1–24} } @article{bossu_carr_papanicolaou_2021, title={A functional analysis approach to the static replication of European options}, volume={21}, url={http://dx.doi.org/10.1080/14697688.2020.1810857}, DOI={10.1080/14697688.2020.1810857}, number={4}, journal={Quantitative Finance}, publisher={Informa UK Limited}, author={Bossu, Sébastien and Carr, Peter and Papanicolaou, Andrew}, year={2021}, month={Apr}, pages={637–655} } @inproceedings{dai_krishnamurthy_papanicolaou_khorrami_2021, title={State Constrained Stochastic Optimal Control Using LSTMs}, url={http://dx.doi.org/10.23919/acc50511.2021.9482832}, DOI={10.23919/acc50511.2021.9482832}, booktitle={2021 American Control Conference (ACC)}, publisher={IEEE}, author={Dai, Bolun and Krishnamurthy, Prashanth and Papanicolaou, Andrew and Khorrami, Farshad}, year={2021}, month={May} } @article{avellaneda_healy_papanicolaou_papanicolaou_2020, title={PCA for Implied Volatility Surfaces}, volume={2}, url={http://dx.doi.org/10.3905/jfds.2020.1.032}, DOI={10.3905/jfds.2020.1.032}, number={2}, journal={The Journal of Financial Data Science}, publisher={Pageant Media US}, author={Avellaneda, Marco and Healy, Brian and Papanicolaou, Andrew and Papanicolaou, George}, year={2020}, month={Apr}, pages={85–109} } @article{papanicolaou_2019, title={Backward SDEs for control with partial information}, volume={29}, url={http://dx.doi.org/10.1111/mafi.12174}, DOI={10.1111/mafi.12174}, number={1}, journal={Mathematical Finance}, publisher={Wiley}, author={Papanicolaou, Andrew}, year={2019}, month={Jan}, pages={208–248} } @article{amaral_papanicolaou_2019, title={PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES}, volume={61}, url={https://doi.org/10.1017/S1446181119000038}, DOI={10.1017/S1446181119000038}, number={02}, journal={The ANZIAM Journal}, publisher={Cambridge University Press (CUP)}, author={AMARAL, L. R. and PAPANICOLAOU, A.}, year={2019}, month={Apr}, pages={161–194} } @article{avellaneda_papanicolaou_2019, title={STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS}, volume={22}, url={http://dx.doi.org/10.1142/s0219024918500619}, DOI={10.1142/s0219024918500619}, number={01}, journal={International Journal of Theoretical and Applied Finance}, publisher={World Scientific Pub Co Pte Lt}, author={AVELLANEDA, M. and PAPANICOLAOU, A.}, year={2019}, month={Feb}, pages={1850061} } @article{papanicolaou_2018, title={Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options}, volume={9}, url={http://dx.doi.org/10.1137/141001615}, DOI={10.1137/141001615}, number={2}, journal={SIAM Journal on Financial Mathematics}, publisher={Society for Industrial & Applied Mathematics (SIAM)}, author={Papanicolaou, Andrew}, year={2018}, month={Jan}, pages={401–434} } @article{papanicolaou_spiliopoulos_2017, title={Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes}, volume={5}, url={http://dx.doi.org/10.1137/16m1085930}, DOI={10.1137/16m1085930}, number={1}, journal={SIAM/ASA Journal on Uncertainty Quantification}, publisher={Society for Industrial & Applied Mathematics (SIAM)}, author={Papanicolaou, Andrew and Spiliopoulos, Konstantinos}, year={2017}, month={Jan}, pages={1220–1247} } @article{fouque_papanicolaou_sircar_2017, title={Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions}, volume={55}, url={http://dx.doi.org/10.1137/15m1006854}, DOI={10.1137/15m1006854}, number={3}, journal={SIAM Journal on Control and Optimization}, publisher={Society for Industrial & Applied Mathematics (SIAM)}, author={Fouque, J.-P. and Papanicolaou, A. and Sircar, R.}, year={2017}, month={Jan}, pages={1534–1566} } @article{papanicolaou_2016, title={Analysis of VIX Markets with a Time-Spread Portfolio}, volume={23}, url={http://dx.doi.org/10.1080/1350486x.2017.1290534}, DOI={10.1080/1350486x.2017.1290534}, number={5}, journal={Applied Mathematical Finance}, publisher={Informa UK Limited}, author={Papanicolaou, Andrew}, year={2016}, month={Sep}, pages={374–408} } @article{lee_papanicolaou_2016, title={PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION}, volume={19}, url={http://dx.doi.org/10.1142/s0219024916500540}, DOI={10.1142/s0219024916500540}, number={08}, journal={International Journal of Theoretical and Applied Finance}, publisher={World Scientific Pub Co Pte Lt}, author={LEE, SANGMIN and PAPANICOLAOU, ANDREW}, year={2016}, month={Dec}, pages={1650054} } @article{fouque_papanicolaou_sircar_2015, title={Filtering and portfolio optimization with stochastic unobserved drift in asset returns}, volume={13}, url={http://dx.doi.org/10.4310/cms.2015.v13.n4.a5}, DOI={10.4310/cms.2015.v13.n4.a5}, number={4}, journal={Communications in Mathematical Sciences}, publisher={International Press of Boston}, author={Fouque, Jean-Pierre and Papanicolaou, Andrew and Sircar, Ronnie}, year={2015}, pages={935–953} } @article{papanicolaou_sircar_2014, title={A regime-switching Heston model for VIX and S&P 500 implied volatilities}, volume={14}, url={http://dx.doi.org/10.1080/14697688.2013.814923}, DOI={10.1080/14697688.2013.814923}, number={10}, journal={Quantitative Finance}, publisher={Informa UK Limited}, author={Papanicolaou, Andrew and Sircar, Ronnie}, year={2014}, month={Oct}, pages={1811–1827} } @article{papanicolaou_spiliopoulos_2014, title={Filtering the Maximum Likelihood for Multiscale Problems}, volume={12}, url={http://dx.doi.org/10.1137/140952648}, DOI={10.1137/140952648}, number={3}, journal={Multiscale Modeling & Simulation}, publisher={Society for Industrial & Applied Mathematics (SIAM)}, author={Papanicolaou, Andrew and Spiliopoulos, Konstantinos}, year={2014}, month={Jan}, pages={1193–1229} } @article{fuertes_papanicolaou_2014, title={Implied Filtering Densities on the Hidden State of Stochastic Volatility}, volume={21}, url={http://dx.doi.org/10.1080/1350486x.2014.891357}, DOI={10.1080/1350486x.2014.891357}, number={6}, journal={Applied Mathematical Finance}, publisher={Informa UK Limited}, author={Fuertes, Carlos and Papanicolaou, Andrew}, year={2014}, month={Nov}, pages={483–522} } @article{papanicolaou_2013, title={Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information}, volume={4}, url={http://dx.doi.org/10.1137/120897596}, DOI={10.1137/120897596}, number={1}, journal={SIAM Journal on Financial Mathematics}, publisher={Society for Industrial & Applied Mathematics (SIAM)}, author={Papanicolaou, Andrew}, year={2013}, month={Jan}, pages={916–960} } @article{papanicolaou_2012, title={Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States}, volume={10}, url={http://dx.doi.org/10.1137/110819937}, DOI={10.1137/110819937}, number={3}, journal={Multiscale Modeling & Simulation}, publisher={Society for Industrial & Applied Mathematics (SIAM)}, author={Papanicolaou, Andrew}, year={2012}, month={Jan}, pages={906–935} } @article{papanicolaou_2010, title={Filtering for fast mean-reverting processes}, url={https://doi.org/10.3233/ASY-2010-1011}, DOI={10.3233/ASY-2010-1011}, journal={Asymptotic Analysis}, author={Papanicolaou, Andrew}, year={2010} }