Andrew Papanicolaou

NYU Tandon School of Engineering, Department of Finance and Risk Engineering

Professor

6 Metrotech Center

Brooklyn, NY 11201

United States

SCHOLARLY PAPERS

15

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Top 15,452

in Total Papers Downloads

3,287

SSRN CITATIONS
Rank 37,985

SSRN RANKINGS

Top 37,985

in Total Papers Citations

12

CROSSREF CITATIONS

4

Scholarly Papers (15)

1.

Statistics of VIX Futures and Their Applications to Trading Volatility Exchange-Traded Products

The Journal of Investment Strategies, Vol. 7, No. 2, pp. 1-33 (2018)
Number of pages: 39 Posted: 31 Aug 2017 Last Revised: 14 Nov 2018
Marco Avellaneda and Andrew Papanicolaou
New York University (NYU) - Courant Institute of Mathematical Sciences and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 625 (44,228)
Citation 1

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VIX futures, contango, roll yield

2.

A Regime-Switching Heston Model for VIX and S&P 500 Implied Volatilities

Quantitative Finance, Volume 14, Issue 10, (2014) pp. 1811-1827.
Number of pages: 27 Posted: 20 Oct 2012 Last Revised: 21 Sep 2014
Andrew Papanicolaou and Ronnie Sircar
NYU Tandon School of Engineering, Department of Finance and Risk Engineering and Princeton University - Department of Operations Research and Financial Engineering
Downloads 412 (74,372)
Citation 4

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Heston model, VIX Options

3.

Price Impact of Large Orders Using Hawkes Processes

NYU Tandon Research Paper No. 2874042
Number of pages: 34 Posted: 26 Nov 2016 Last Revised: 11 Apr 2019
Lucas Amaral and Andrew Papanicolaou
NYU Tandon School Of Engineering and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 394 (78,182)

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price-impact function, limit order books, execution of large orders, Hawkes processes

4.

Analysis of VIX Markets with a Time-Spread Portfolio

Applied Mathematical Finance, (2016) Vol. 23, No. 5, pp. 374-408, NYU Poly Research Paper
Number of pages: 33 Posted: 16 Jun 2015 Last Revised: 05 Jun 2017
Andrew Papanicolaou
NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 346 (90,916)

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Model-Free Pricing, Volatility Derivatives, VIX options

5.

Pairs Trading of Two Assets with Uncertainty in Co-Integration's Level of Mean Reversion

International Journal of Theoretical and Applied Finance, Forthcoming, NYU Tandon Research Paper No. 2762512
Number of pages: 31 Posted: 18 Apr 2016 Last Revised: 27 Jun 2017
Sangmin Lee and Andrew Papanicolaou
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 288 (111,247)
Citation 3

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Pairs trading, Co-integration, Kalman filter, Partial Information, Stochastic Control

6.

Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions

SIAM J. Control Optim., 55(3), (2017) pp. 1534–1566., NYU Tandon Research Paper No. 2532051
Number of pages: 32 Posted: 30 Nov 2014 Last Revised: 26 Jun 2017
Andrew Papanicolaou, Ronnie Sircar and Jean-Pierre Fouque
NYU Tandon School of Engineering, Department of Finance and Risk Engineering, Princeton University - Department of Operations Research and Financial Engineering and University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity
Downloads 238 (135,521)
Citation 1

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Filtering, Control, Hamilton-Jacobi-Bellman equation, Portfolio optimization, partial information, expert opinions.

7.

Filtering and Portfolio Optimization with Stochastic Unobserved Drift in Asset Returns

Communications in Mathematical Sciences, 13(4):935-953 (2015).
Number of pages: 20 Posted: 02 Aug 2013 Last Revised: 26 Jun 2017
Jean-Pierre Fouque, Andrew Papanicolaou and Ronnie Sircar
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, NYU Tandon School of Engineering, Department of Finance and Risk Engineering and Princeton University - Department of Operations Research and Financial Engineering
Downloads 197 (162,213)
Citation 3

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portfolio optimization, filtering, Hamilton-Jacobi-Bellman equation, asymptotic approximations

8.

Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options

SIAM Journal on Financial Mathematics (2018) Vol. 9, No, 3, pp. 401-434
Number of pages: 34 Posted: 30 Nov 2014 Last Revised: 02 May 2018
Andrew Papanicolaou
NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 194 (164,489)
Citation 1

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VIX options, moment formula, stochastic volatility

9.

Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information

December 2013, SIAM J. Finan. Math., 4(1), 916–960
Number of pages: 37 Posted: 25 Oct 2012 Last Revised: 26 Jun 2017
Andrew Papanicolaou
NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 153 (202,455)

Abstract:

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filtering, portfolio optimization, partial information

10.

Implied Filtering Densities on Volatility's Hidden State

Applied Mathematical Finance, Volume 21, Issue 6, (2014) pp. 483-522.
Number of pages: 31 Posted: 23 Dec 2012 Last Revised: 21 Sep 2014
Carlos Fuertes and Andrew Papanicolaou
Princeton University and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 144 (212,770)

Abstract:

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Heston model, filtering, stochastic volatility, hidden states

11.

Singular Perturbation Expansion for Utility Maximization with Order-ε Quadratic Transaction Costs

Forthcoming, International Journal of Theoretical and Applied Finance
Number of pages: 16 Posted: 29 Jun 2017 Last Revised: 25 Nov 2019
Shiva Chandra and Andrew Papanicolaou
New York University (NYU) - NYU Tandon School of Engineering and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 93 (292,189)

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Transaction costs; singular perturbation expansion; stochastic control; Merton problem; aim portfolio

12.

Filtering for Fast Mean-Reverting Processes

Asymptotic Analysis, Vol. 70, Nos. 3-4, 2010, pp. 155-176
Number of pages: 28 Posted: 20 Oct 2012 Last Revised: 02 Dec 2013
Andrew Papanicolaou
NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 87 (304,669)

Abstract:

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hidden Markov model, multiscale, filtering

13.

Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models

Number of pages: 31 Posted: 04 Sep 2018
Andrew Papanicolaou
NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 71 (343,108)
Citation 1

Abstract:

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VIX Futures, Market Models, Stochastic Volatility

14.

A Functional Analysis Approach to Static Replication of European Options

Number of pages: 23 Posted: 01 Jul 2019
Sebastien Bossu, Peter Carr and Andrew Papanicolaou
NYU Courant, New York University (NYU) - Finance and Risk Engineering Department and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 45 (425,913)

Abstract:

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derivatives, options, static replication, payoff, integral equations, functional analysis, spectral theorem, Breeden-Litzenberger

15.

Backward SDEs for Control with Partial Information

Mathematical Finance, Vol. 29, Issue 1, pp. 208-248, 2019
Number of pages: 41 Posted: 11 Jan 2019
Andrew Papanicolaou
NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 0 (700,186)
Citation 1
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backward stochastic differential equations, non‐Markov control, partial information, portfolio optimization