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Sircar, Ronnie's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,662 |
Total
Citations
75 |
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1.
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Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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Posted:
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10 Nov 06
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Last Revised:
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25 Jul 11
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449
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12
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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10 Nov 06
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Last Revised:
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25 Jul 11
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445
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12
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employee stock options, reaction-diffusion equations, indifference pricing
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2.
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Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering Xiong, Wei
Princeton University - Department of Economics
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295
(49,107)
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3
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Executive stock options; Reloading; Repricing; Trading and hedging restrictions; Vesting period
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3.
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering Zariphopoulou, Thaleia
University of Texas at Austin - Red McCombs School of Business
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10 Apr 10
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Last Revised:
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07 Sep 12
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253
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1
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Indifference pricing, forward investment performance, American options, employee stock options, utility maximization
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4.
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering Zariphopoulou, Thaleia
University of Texas at Austin - Red McCombs School of Business
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188
(79,385)
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7
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credit risk, utility maximization, defaultable bonds, indifference price
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5.
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Ilhan, Aytac
University of Oxford - Mathematical Institute Jonsson, Mattias
University of Michigan at Ann Arbor - Department of Mathematics Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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166
(89,268)
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1
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risk measures, hedging
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6.
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Papanicolaou, Andrew
Princeton University - Department of Operations Research & Financial Engineering (ORFE) Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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20 Oct 12
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Last Revised:
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27 Apr 13
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156
(94,469)
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1
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Heston model, VIX Options
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7.
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Papageorgiou, Evan
Princeton University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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156
(94,469)
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5
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Defaultable bond, credit default swap, defaultable bond option, asymptotic approximation, time scales
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8.
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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26 Mar 08
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Last Revised:
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12 Mar 10
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154
(95,583)
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5
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Utility maximization, optimal stopping, employee stock options, static hedging, dynamic hedging, financial mathematics, utility indifference pricing, American options
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9.
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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145
(100,834)
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2
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exchange-traded funds, leverage, implied volatility, stochastic volatility, moneyness scaling
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10.
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Papageorgiou, Evan
Princeton University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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134
(107,805)
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13
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Collateralized debt obligations, intensity-based model, stochastic volatility, asymptotic approximation, multiple time scales, homogeneous-group factor models, bottom-up, top-down
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11.
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Ledvina, Andrew Fabian
Princeton University - Department of Operations Research & Financial Engineering (ORFE) Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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17 Oct 10
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Last Revised:
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23 Feb 11
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111
(125,356)
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2
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Game theory, Market Size, Cournot, Bertrand, Differentiated Goods, Asymmetric Costs
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12.
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Sturm, Stephan
WPI - Worcester Polytechnic Institute Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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23 Jul 11
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Last Revised:
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13 Feb 12
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84
(151,591)
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dynamic convex risk measures, volatility skew, stochastic volatility models, indifference pricing, backward stochastic differential equations
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13.
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Coulon, Michael C.
Princeton University - ORFE Department Powell, Warren B.
Princeton University - Department of Operations Research & Financial Engineering (ORFE) Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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79
(157,447)
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electricity market, structural model, spikes, forward prices, spread options, hedging
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14.
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Ludkovski , Mike
University of California, Santa Barbara Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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13 Feb 11
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Last Revised:
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18 Aug 11
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66
(174,734)
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1
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Cournot games, exploration control, stochastic differential games, exhaustible resources
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15.
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Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering Ledvina, Andrew Fabian
Princeton University - Department of Operations Research & Financial Engineering (ORFE)
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10 Apr 10
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Last Revised:
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22 Jun 10
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64
(177,658)
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3
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16.
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Harris, Christopher
University of Cambridge - Department of Applied Economics Howison, Sam
University of Oxford - Nomura Centre for Quantitative Finance, OCIAM Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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49
(202,114)
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4
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game theory, differential games, exhaustible resources
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17.
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Ilhan, Aytac
University of Oxford - Mathematical Institute Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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25
(257,979)
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4
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18.
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Perelló, Josep
University of Barcelona - Department of Physics Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering Masoliver, Jaume
University of Barcelona - Department of Physics
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23
(264,737)
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19.
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Ledvina, Andrew Fabian
Princeton University - Department of Operations Research & Financial Engineering (ORFE) Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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21
(271,573)
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Bertrand, Cournot, Oligopoly, Differential Games, Asymptotic Expansion, Product Differentiation
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20.
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Fouque, Jean-Pierre
University of California, Santa Barbara Lorig, Matthew
ORFE Department, Pinceton University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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16
(289,271)
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21.
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Cotton, Peter
Morgan Stanley & Co. Inc. Fouque, Jean-Pierre
North Carolina State University - Department of Mathematics Papanicolaou, George
Stanford University - Department of Mathematics Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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16
(289,271)
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9
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Stochastic volatility, interest rate models, asymptotic expressions
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22.
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Jonsson, Mattias
University of Michigan at Ann Arbor - Department of Mathematics Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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12
(303,476)
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2
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