default author photo

Andrew Papanicolaou

North Carolina State University - Department of Mathematics

Campus Box 8205

NC State University

Raleigh, NC 27695-8205

United States

  • North Carolina State University - Department of Mathematics

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 11,953

SSRN RANKINGS

Top 11,953

in Total Papers Downloads

9,723

TOTAL CITATIONS
Rank 28,643

SSRN RANKINGS

Top 28,643

in Total Papers Citations

36

Scholarly Papers (20)

Actions:
Email selected abstracts
1.

Principal Eigenportfolios for U.S. Equities

Number of pages: 52 Posted: 11 Dec 2020 Last Revised: 13 Dec 2025
Marco Avellaneda, Brian Healy, Andrew Papanicolaou and George Papanicolaou
New York University (NYU) - Courant Institute of Mathematical Sciences, NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, North Carolina State University - Department of Mathematics and Stanford University - Department of Mathematics
Downloads 1,787 (24,357)
Citation 7

Abstract:

Loading...

Eigenportfolios, Principal Component Analysis, Tensor Decomposition

2.

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 North Carolina State University - Department of Mathematics
Downloads 1,777 (24,871)
Citation 2

Abstract:

Loading...

VIX futures, contango, roll yield

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 North Carolina State University - Department of Mathematics
Downloads 945 (62,313)
Citation 2

Abstract:

Loading...

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

4.

Static Replication of European Standard Dispersion Options

Number of pages: 21 Posted: 12 Oct 2020 Last Revised: 06 Mar 2021
Sebastien Bossu, Peter Carr and Andrew Papanicolaou
University of North Carolina (UNC) at Charlotte, New York University (NYU) - Finance and Risk Engineering Department and North Carolina State University - Department of Mathematics
Downloads 730 (87,119)
Citation 3

Abstract:

Loading...

dispersion option, static replication, Radon transform, fractional integral equation, Carr-Madan formula, Breeden-Litzenberger formula

5.

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
North Carolina State University - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 666 (99,480)
Citation 7

Abstract:

Loading...

Heston model, VIX Options

6.

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
North Carolina State University - Department of Mathematics
Downloads 549 (126,714)

Abstract:

Loading...

Model-Free Pricing, Volatility Derivatives, VIX options

7.

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 North Carolina State University - Department of Mathematics
Downloads 461 (157,846)
Citation 4

Abstract:

Loading...

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

8.

The Implied Impermanent Loss in Decentralized Liquidity Provision

Number of pages: 81 Posted: 06 May 2024 Last Revised: 06 May 2026
Thomas LI, Andrew Papanicolaou and Lorenzo Schönleber
New York University - Courant Institute of Mathematical Sciences, North Carolina State University - Department of Mathematics and University of Turin - Collegio Carlo Alberto
Downloads 391 (193,569)
Citation 1

Abstract:

Loading...

Decentralized Finance, Decentralized Exchanges, Automated Market Makers, Liquidity Provision, Impermanent Loss, Option-Implied Risk, Risk-Neutral Pricing, Risk Premium

9.

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
University of North Carolina (UNC) at Charlotte, New York University (NYU) - Finance and Risk Engineering Department and North Carolina State University - Department of Mathematics
Downloads 353 (213,671)

Abstract:

Loading...

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

10.

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, North Carolina State University - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 327 (233,602)
Citation 4

Abstract:

Loading...

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

11.

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
North Carolina State University - Department of Mathematics, Princeton University - Department of Operations Research and Financial Engineering and University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity
Downloads 326 (232,793)
Citation 3

Abstract:

Loading...

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

12.

Yield Farming for Liquidity Provision

Number of pages: 85 Posted: 26 Apr 2023 Last Revised: 19 Sep 2025
Thomas LI, Siddharth Naik, Andrew Papanicolaou and Lorenzo Schönleber
New York University - Courant Institute of Mathematical Sciences, Independent, North Carolina State University - Department of Mathematics and University of Turin - Collegio Carlo Alberto
Downloads 313 (242,568)
Citation 1

Abstract:

Loading...

Yield Farming, Liquidity Provision, Impermanent Loss, Staking, Stochastic Control, Decentralized Exchanges, Portfolio Optimization, Transaction Costs, Cryptocurrency, Decentralized Finance. JEL: G10, G11

13.

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
North Carolina State University - Department of Mathematics
Downloads 255 (301,349)
Citation 2

Abstract:

Loading...

VIX options, moment formula, stochastic volatility

14.

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
North Carolina State University - Department of Mathematics
Downloads 201 (380,469)

Abstract:

Loading...

filtering, portfolio optimization, partial information

15.

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 North Carolina State University - Department of Mathematics
Downloads 200 (391,686)

Abstract:

Loading...

Heston model, filtering, stochastic volatility, hidden states

16.

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
North Carolina State University - Department of Mathematics
Downloads 156 (482,968)

Abstract:

Loading...

hidden Markov model, multiscale, filtering

17.

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

Forthcoming, International Journal of Theoretical and Applied Finance
Number of pages: 15 Posted: 29 Jun 2017 Last Revised: 18 Mar 2023
Shiva Chandra and Andrew Papanicolaou
New York University (NYU) - NYU Tandon School of Engineering and North Carolina State University - Department of Mathematics
Downloads 147 (502,974)

Abstract:

Loading...

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

18.

PCA and Eigenportfolio Construction : A Value-Information Approach 

Number of pages: 79 Posted: 17 Dec 2024 Last Revised: 19 Dec 2025
Soham Mudalgikar and Andrew Papanicolaou
North Carolina State University - Department of Mathematics and North Carolina State University - Department of Mathematics
Downloads 139 (580,653)

Abstract:

Loading...

Principal Eigenportfolios, Factor Regression, Principal Component Analysis, Value Effect, Book-to-Market Ratio

19.

Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas

Posted: 26 May 2020 Last Revised: 14 Dec 2021
Faryan Amir-Ghassemi, Andrew Papanicolaou and Michael Perlow
Epsilon Asset Management, North Carolina State University - Department of Mathematics and Epsilon Asset Management

Abstract:

Loading...

Active Management, Hedge Funds, Stockpicking Skill, Best Ideas, 13F

20.

Consistent Time-Homogeneous Modeling of SPX and VIX Derivatives

Posted: 04 Sep 2018 Last Revised: 15 Mar 2022
Andrew Papanicolaou
North Carolina State University - Department of Mathematics

Abstract:

Loading...

stochastic volatility, market models, VIX futures, consistent pricing.