Andrew Papanicolaou

Amir-Ghassemi, F., Papanicolaou, A., & Perlow, M. (2022). Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas. JOURNAL OF PORTFOLIO MANAGEMENT, 48(3), 220–239. https://doi.org/10.3905/jpm.2021.1.313

Papanicolaou, A. (2022, May 14). Consistent time-homogeneous modeling of SPX and VIX derivatives. MATHEMATICAL FINANCE, Vol. 5. https://doi.org/10.1111/mafi.12348

Avellaneda, M., Healy, B., Papanicolaou, A., & Papanicolaou, G. (2022). Principal Eigenportfolios for US Equities. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 13(3), 702–744. https://doi.org/10.1137/20M1383501

Bossu, S., Carr, P., & Papanicolaou, A. (2022, March 23). Static replication of European standard dispersion options. QUANTITATIVE FINANCE, Vol. 3. https://doi.org/10.1080/14697688.2022.2040743

Li, T. N., & Papanicolaou, A. (2022, June 7). Statistical Arbitrage for Multiple Co-integrated Stocks. APPLIED MATHEMATICS AND OPTIMIZATION, Vol. 86. https://doi.org/10.1007/s00245-022-09838-3

Avellaneda, M., Li, T. N., Papanicolaou, A., & Wang, G. (2022). Trading Signals in VIX Futures. Applied Mathematical Finance, 1, 1–24. https://doi.org/10.1080/1350486x.2021.2010584

Bossu, S., Carr, P., & Papanicolaou, A. (2021). A functional analysis approach to the static replication of European options. Quantitative Finance, 21(4), 637–655. https://doi.org/10.1080/14697688.2020.1810857

Dai, B., Krishnamurthy, P., Papanicolaou, A., & Khorrami, F. (2021). State Constrained Stochastic Optimal Control Using LSTMs. 2021 American Control Conference (ACC). https://doi.org/10.23919/acc50511.2021.9482832

Avellaneda, M., Healy, B., Papanicolaou, A., & Papanicolaou, G. (2020). PCA for Implied Volatility Surfaces. The Journal of Financial Data Science, 2(2), 85–109. https://doi.org/10.3905/jfds.2020.1.032

Papanicolaou, A. (2019). Backward SDEs for control with partial information. Mathematical Finance, 29(1), 208–248. https://doi.org/10.1111/mafi.12174

AMARAL, L. R., & PAPANICOLAOU, A. (2019). PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES. The ANZIAM Journal, 61(02), 161–194. https://doi.org/10.1017/S1446181119000038

AVELLANEDA, M., & PAPANICOLAOU, A. (2019). STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS. International Journal of Theoretical and Applied Finance, 22(01), 1850061. https://doi.org/10.1142/s0219024918500619

Papanicolaou, A. (2018). Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. SIAM Journal on Financial Mathematics, 9(2), 401–434. https://doi.org/10.1137/141001615

Papanicolaou, A., & Spiliopoulos, K. (2017). Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes. SIAM/ASA Journal on Uncertainty Quantification, 5(1), 1220–1247. https://doi.org/10.1137/16m1085930

Fouque, J.-P., Papanicolaou, A., & Sircar, R. (2017). Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions. SIAM Journal on Control and Optimization, 55(3), 1534–1566. https://doi.org/10.1137/15m1006854

Papanicolaou, A. (2016). Analysis of VIX Markets with a Time-Spread Portfolio. Applied Mathematical Finance, 23(5), 374–408. https://doi.org/10.1080/1350486x.2017.1290534

LEE, S. A. N. G. M. I. N., & PAPANICOLAOU, A. N. D. R. E. W. (2016). PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION. International Journal of Theoretical and Applied Finance, 19(08), 1650054. https://doi.org/10.1142/s0219024916500540

Fouque, J.-P., Papanicolaou, A., & Sircar, R. (2015). Filtering and portfolio optimization with stochastic unobserved drift in asset returns. Communications in Mathematical Sciences, 13(4), 935–953. https://doi.org/10.4310/cms.2015.v13.n4.a5

Papanicolaou, A., & Sircar, R. (2014). A regime-switching Heston model for VIX and S&P 500 implied volatilities. Quantitative Finance, 14(10), 1811–1827. https://doi.org/10.1080/14697688.2013.814923

Papanicolaou, A., & Spiliopoulos, K. (2014). Filtering the Maximum Likelihood for Multiscale Problems. Multiscale Modeling & Simulation, 12(3), 1193–1229. https://doi.org/10.1137/140952648

Fuertes, C., & Papanicolaou, A. (2014). Implied Filtering Densities on the Hidden State of Stochastic Volatility. Applied Mathematical Finance, 21(6), 483–522. https://doi.org/10.1080/1350486x.2014.891357

Papanicolaou, A. (2013). Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information. SIAM Journal on Financial Mathematics, 4(1), 916–960. https://doi.org/10.1137/120897596

Papanicolaou, A. (2012). Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States. Multiscale Modeling & Simulation, 10(3), 906–935. https://doi.org/10.1137/110819937

Papanicolaou, A. (2010). Filtering for fast mean-reverting processes. Asymptotic Analysis. https://doi.org/10.3233/ASY-2010-1011