Ronnie Sircar

Princeton University - Department of Operations Research and Financial Engineering

Princeton, NJ 08544

United States

SCHOLARLY PAPERS

43

DOWNLOADS
Rank 9,139

SSRN RANKINGS

Top 9,139

in Total Papers Downloads

9,501

SSRN CITATIONS
Rank 10,082

SSRN RANKINGS

Top 10,082

in Total Papers Citations

107

CROSSREF CITATIONS

56

Scholarly Papers (43)

1.

Implied Volatility of Leveraged ETF Options

Applied Mathematical Finance, vol. 22, issue 2, pp.162-188, 2015
Number of pages: 25 Posted: 20 Oct 2012 Last Revised: 26 Oct 2015
Tim Leung and Ronnie Sircar
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research and Financial Engineering
Downloads 1,257 (31,092)
Citation 8

Abstract:

Loading...

exchange-traded funds, leverage, implied volatility, stochastic volatility, moneyness scaling

When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 57 Posted: 10 May 2021 Last Revised: 17 Mar 2023
Princeton University - Department of Economics, ITAM, Board of Governors of the Federal Reserve System and Princeton University - Department of Operations Research and Financial Engineering
Downloads 704 (68,414)
Citation 1

Abstract:

Loading...

Volatility and Uncertainty Disconnect, Stochastic Volatility, Stochastic Uncertainty, Risk Aversion, Uncertainty Aversion

When Uncertainty and Volatility are Disconnected: Implications for Asset Pricing and Portfolio Performance

FEDS Working Paper No. 2021-63
Number of pages: 49 Posted: 19 Oct 2021
Princeton University - Department of Economics, ITAM, Board of Governors of the Federal Reserve System and Princeton University - Department of Operations Research and Financial Engineering
Downloads 230 (245,869)

Abstract:

Loading...

Risk Aversion, Stochastic Uncertainty, Stochastic Volatility, Uncertainty Aversion, Volatility and Uncertainty Disconnect

When Uncertainty and Volatility are Disconnected: Implications for Asset Pricing and Portfolio Performance

NBER Working Paper No. w29195
Number of pages: 49 Posted: 30 Aug 2021 Last Revised: 10 Apr 2022
Princeton University - Department of Economics, ITAM, Board of Governors of the Federal Reserve System and Princeton University - Department of Operations Research and Financial Engineering
Downloads 14 (1,052,943)

Abstract:

Loading...

3.

Bertrand and Cournot Competition Under Asymmetric Costs: Number of Active Firms in Equilibrium

Number of pages: 29 Posted: 17 Oct 2010 Last Revised: 23 Feb 2011
Andrew Fabian Ledvina and Ronnie Sircar
Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 780 (60,712)
Citation 6

Abstract:

Loading...

Game theory, Market Size, Cournot, Bertrand, Differentiated Goods, Asymmetric Costs

4.

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 527 (99,944)
Citation 7

Abstract:

Loading...

Heston model, VIX Options

5.

Forward Indifference Valuation of American Options

Stochastics: An International Journal of Probability and Stochastic Processes, 84(5-6): 741-770, 2012
Number of pages: 30 Posted: 10 Apr 2010 Last Revised: 27 Jan 2015
Tim Leung, Ronnie Sircar and Thaleia Zariphopoulou
University of Washington - Department of Applied Math, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin (Mathematics and IROM)
Downloads 384 (145,065)
Citation 5

Abstract:

Loading...

Indifference pricing, forward investment performance, American options, employee stock options, utility maximization

6.

A General Framework for Evaluating Executive Stock Options

Number of pages: 40 Posted: 21 Aug 2003
Ronnie Sircar and Wei Xiong
Princeton University - Department of Operations Research and Financial Engineering and Princeton University - Department of Economics
Downloads 354 (158,690)
Citation 9

Abstract:

Loading...

Executive stock options; Reloading; Repricing; Trading and hedging restrictions; Vesting period

7.

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
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 284 (200,359)
Citation 3

Abstract:

Loading...

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

8.

Bertrand & Cournot Mean Field Games

Number of pages: 33 Posted: 30 Jan 2014 Last Revised: 05 Sep 2014
Patrick Chan and Ronnie Sircar
Princeton University - Program in Applied and Computational Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 275 (207,038)
Citation 4

Abstract:

Loading...

9.

Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures

Number of pages: 25 Posted: 17 Apr 2008
Aytac Ilhan, Mattias Jonsson and Ronnie Sircar
University of Oxford - Mathematical Institute, University of Michigan at Ann Arbor - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 274 (207,756)
Citation 3

Abstract:

Loading...

risk measures, hedging

10.

Exponential Hedging with Optimal Stopping and Application to ESO Valuation

SIAM Journal on Control and Optimization, Vol. 48, p. 1422, 2009
Number of pages: 28 Posted: 26 Mar 2008 Last Revised: 12 Mar 2010
Tim Leung and Ronnie Sircar
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research and Financial Engineering
Downloads 273 (208,542)
Citation 1

Abstract:

Loading...

Utility maximization, optimal stopping, employee stock options, static hedging, dynamic hedging, financial mathematics, utility indifference pricing, American options

11.

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
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 271 (210,083)
Citation 4

Abstract:

Loading...

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

12.

Credit Derivatives and Risk Aversion

Advances in Econometrics Year: 2008, Vol. 22, pp. 275 - 291, 2008
Number of pages: 15 Posted: 04 Jul 2009
Tim Leung, Ronnie Sircar and Thaleia Zariphopoulou
University of Washington - Department of Applied Math, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin (Mathematics and IROM)
Downloads 268 (212,440)

Abstract:

Loading...

credit risk, utility maximization, defaultable bonds, indifference price

13.

Optimal Trading with Predictable Return and Stochastic Volatility

Number of pages: 24 Posted: 29 Jun 2015
Patrick Chan and Ronnie Sircar
Princeton University - Program in Applied and Computational Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 264 (215,666)
Citation 2

Abstract:

Loading...

Optimal trading, multiscale stochastic volatility, return predictability, Hamilton- Jacobi-Bellman equation

14.

Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon

Number of pages: 29 Posted: 04 Jan 2014 Last Revised: 22 Sep 2015
Maxim Bichuch and Ronnie Sircar
State University of New York (SUNY) - Buffalo and Princeton University - Department of Operations Research and Financial Engineering
Downloads 230 (246,848)
Citation 6

Abstract:

Loading...

Transaction costs, optimal investment, asymptotic analysis, utility maximization, stochastic volatility

15.

Portfolio Optimization & Stochastic Volatility Asymptotics

Forthcoming in Mathematical Finance
Number of pages: 37 Posted: 30 Jul 2014 Last Revised: 03 Jul 2015
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin (Mathematics and IROM)
Downloads 205 (274,938)
Citation 10

Abstract:

Loading...

portfolio optimization, stochastic volatility, asymptotic analysis

16.

Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

Number of pages: 24 Posted: 14 Sep 2015 Last Revised: 19 Aug 2018
Maxim Bichuch and Ronnie Sircar
State University of New York (SUNY) - Buffalo and Princeton University - Department of Operations Research and Financial Engineering
Downloads 192 (291,782)
Citation 7

Abstract:

Loading...

Transaction costs, optimal investment, asymptotic analysis, utility maximization, stochastic volatility

17.

Multiscale Intensity Models for Single Name Credit Derivatives

Number of pages: 31 Posted: 08 Aug 2006
Evan Papageorgiou and Ronnie Sircar
Princeton University and Princeton University - Department of Operations Research and Financial Engineering
Downloads 188 (297,264)
Citation 2

Abstract:

Loading...

Defaultable bond, credit default swap, defaultable bond option, asymptotic approximation, time scales

18.

Fracking, Renewables & Mean Field Games

Number of pages: 25 Posted: 19 Jul 2015
Patrick Chan and Ronnie Sircar
Princeton University - Program in Applied and Computational Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 187 (298,662)
Citation 6

Abstract:

Loading...

Mean Field Games, Hamilton–Jacobi–Bellman equation, Dynamic Games, OPEC, Fracking

19.

Game Theoretic Models for Energy Production

Number of pages: 18 Posted: 18 Mar 2015
Michael Ludkovski and Ronnie Sircar
University of California, Santa Barbara and Princeton University - Department of Operations Research and Financial Engineering
Downloads 181 (307,401)
Citation 2

Abstract:

Loading...

dynamic games, energy production, Cournot and Bertrand markets, exhaustible resources

20.

Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives

Number of pages: 30 Posted: 26 Jun 2007
Evan Papageorgiou and Ronnie Sircar
Princeton University and Princeton University - Department of Operations Research and Financial Engineering
Downloads 166 (331,545)
Citation 5

Abstract:

Loading...

Collateralized debt obligations, intensity-based model, stochastic volatility, asymptotic approximation, multiple time scales, homogeneous-group factor models, bottom-up, top-down

21.

A Model for Hedging Load and Price Risk in the Texas Electricity Market

Number of pages: 22 Posted: 29 Aug 2012
Michael Coulon, Warren Powell and Ronnie Sircar
University of Sussex, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 163 (336,770)
Citation 7

Abstract:

Loading...

electricity market, structural model, spikes, forward prices, spread options, hedging

22.

A Feedback Model for the Financialization of Commodity Markets

Number of pages: 27 Posted: 13 Nov 2014 Last Revised: 06 Jun 2015
Patrick Chan, Ronnie Sircar and Michael Stein
Princeton University - Program in Applied and Computational Mathematics, Princeton University - Department of Operations Research and Financial Engineering and Princeton University
Downloads 155 (351,446)

Abstract:

Loading...

23.

From Smile Asymptotics to Market Risk Measures

Math. Finance 25:2 (2015), 400-425
Number of pages: 24 Posted: 23 Jul 2011 Last Revised: 23 Feb 2020
Stephan Sturm and Ronnie Sircar
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences and Princeton University - Department of Operations Research and Financial Engineering
Downloads 145 (371,080)

Abstract:

Loading...

dynamic convex risk measures, volatility skew, stochastic volatility models, indifference pricing, backward stochastic differential equations

24.

Games with Exhaustible Resources

SIAM J. Applied Mathematics 70(7), 2010, pages 2556-2581.
Number of pages: 39 Posted: 11 Mar 2010 Last Revised: 03 Jul 2015
Christopher Harris, Sam Howison and Ronnie Sircar
University of Cambridge - Department of Applied Economics, University of Oxford and Princeton University - Department of Operations Research and Financial Engineering
Downloads 134 (394,748)
Citation 5

Abstract:

Loading...

game theory, differential games, exhaustible resources

25.

Exploration and Exhaustibility in Dynamic Cournot Games

Number of pages: 26 Posted: 13 Feb 2011 Last Revised: 18 Aug 2011
Michael Ludkovski and Ronnie Sircar
University of California, Santa Barbara and Princeton University - Department of Operations Research and Financial Engineering
Downloads 122 (423,926)
Citation 4

Abstract:

Loading...

Cournot games, exploration control, stochastic differential games, exhaustible resources

26.

Estimating the Collapse of Afghanistan's Economy Using Nightlights Data

Number of pages: 25 Posted: 22 Dec 2022 Last Revised: 13 Sep 2023
Till Sänger, Ethan Kapstein and Ronnie Sircar
Princeton University - Department of Operations Research and Financial Engineering, Arizona State University (ASU) - McCain Institute for International Leadership and Princeton University - Department of Operations Research and Financial Engineering
Downloads 110 (458,084)

Abstract:

Loading...

Nighttime Lights, Synthetic Control, Afghanistan, Gross Domestic Product, Data Scarcity

27.

Dynamic Bertrand Oligopoly

Number of pages: 30 Posted: 10 Apr 2010 Last Revised: 22 Jun 2010
Ronnie Sircar and Andrew Fabian Ledvina
Princeton University - Department of Operations Research and Financial Engineering and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 104 (476,979)
Citation 2

Abstract:

Loading...

28.

Time-Inconsistent Portfolio Investment Problems

Forthcoming in Stochastic Analysis and Applications 2014, (eds. D. Crisan, B. Hambly and T. Zariphopoulou), Springer.
Number of pages: 34 Posted: 08 Oct 2014
Yidong Dong and Ronnie Sircar
Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 93 (513,683)
Citation 3

Abstract:

Loading...

29.

Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio

Number of pages: 24 Posted: 27 Oct 2016
Ankush Agarwal and Ronnie Sircar
Adam Smith Business School and Princeton University - Department of Operations Research and Financial Engineering
Downloads 90 (524,378)
Citation 1

Abstract:

Loading...

Portfolio Optimization, Drawdown, Stochastic Volatility, Local Volatility

30.

Dynamic Bertrand and Cournot Competition: Asymptotic and Computational Analysis of Product Differentiation

Number of pages: 22 Posted: 15 Feb 2011
Andrew Fabian Ledvina and Ronnie Sircar
Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 89 (528,027)
Citation 2

Abstract:

Loading...

Bertrand, Cournot, Oligopoly, Differential Games, Asymptotic Expansion, Product Differentiation

31.

American Options Under Stochastic Volatility: Control Variates, Maturity Randomization & Multiscale Asymptotics

Number of pages: 26 Posted: 09 Nov 2014 Last Revised: 13 Apr 2015
Ankush Agarwal, Sandeep Juneja and Ronnie Sircar
Adam Smith Business School, Tata Institute of Fundamental Research (TIFR) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 88 (531,772)
Citation 4

Abstract:

Loading...

Stochastic volatility, American option, maturity randomization, singular perturbation theory, regular perturbation theory, Monte Carlo, control variate

32.

Oil Prices & Dynamic Games Under Stochastic Demand

Number of pages: 32 Posted: 04 Oct 2017
Isaiah Brown, Jacob Funk and Ronnie Sircar
Princeton University, Princeton University and Princeton University - Department of Operations Research and Financial Engineering
Downloads 87 (535,388)
Citation 3

Abstract:

Loading...

oil, energy, Cournot, differential games

33.

Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration

Number of pages: 33 Posted: 31 Aug 2012 Last Revised: 18 Apr 2015
Jean-Pierre Fouque, Matthew Lorig and Ronnie Sircar
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, University of Washington - Applied Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 78 (571,594)
Citation 8

Abstract:

Loading...

34.

Portfolio Optimization Under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio

Number of pages: 27 Posted: 21 Jun 2015
Matthew Lorig and Ronnie Sircar
University of Washington - Applied Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 73 (593,438)
Citation 3

Abstract:

Loading...

35.

Technology Ladders and R&D in Dynamic Cournot Markets

Number of pages: 32 Posted: 17 Jun 2015
Michael Ludkovski and Ronnie Sircar
University of California, Santa Barbara and Princeton University - Department of Operations Research and Financial Engineering
Downloads 69 (611,897)
Citation 3

Abstract:

Loading...

Cournot markets, R&D innovations, technology ladder, dynamic oligopoly

36.

Analysis of Systematic Risks in Multi-Name Credit and Equity Markets

Number of pages: 28 Posted: 23 Aug 2013
Edmond Choi and Ronnie Sircar
Princeton University - Department of Operations Research and Financial Engineering and Princeton University - Department of Operations Research and Financial Engineering
Downloads 65 (631,274)

Abstract:

Loading...

CDOs, credit derivatives, systematic risk, intensity-based model, bottom-up, stochastic volatility, hybrid equity-credit

37.

Option Pricing Under Stochastic Volatility: The Exponential Ornstein-Uhlenbeck Model

Journal of Statistical Mechanics, 2008
Number of pages: 27 Posted: 22 Jul 2008
Josep Perelló, Ronnie Sircar and Jaume Masoliver
University of Barcelona - Department of Physics, Princeton University - Department of Operations Research and Financial Engineering and University of Barcelona - Department of Physics
Downloads 63 (641,402)
Citation 1

Abstract:

Loading...

38.

Estimating the Fractal Dimension of the S&P 500 Index Using Wavelet Analysis

International Journal of Theoretical and Applied Finance, Vol. 7, No. 5, 2004
Number of pages: 26 Posted: 30 May 2016
Erhan Bayraktar, H. Vincent Poor and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics, Princeton University - Department of Electrical Engineering and Princeton University - Department of Operations Research and Financial Engineering
Downloads 57 (673,491)
Citation 1

Abstract:

Loading...

High-frequency data, S\&P 500 index, long range dependence, heavy tailed marginals, fractional Brownian motion, wavelet analysis, log scale spectrum

39.

Queueing Theoretic Approaches to Financial Price Fluctuations

in Handbooks in OR&MS: Financial Engineering, 15, eds. John Birge and Vadim Linetsky, (Elsevier)
Number of pages: 36 Posted: 30 May 2016
Erhan Bayraktar, Ulrich Horst and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics, Humboldt University of Berlin and Princeton University - Department of Operations Research and Financial Engineering
Downloads 54 (690,582)

Abstract:

Loading...

40.

Supplemental Appendix to Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

Number of pages: 5 Posted: 28 Aug 2018
Maxim Bichuch and Ronnie Sircar
State University of New York (SUNY) - Buffalo and Princeton University - Department of Operations Research and Financial Engineering
Downloads 51 (708,676)
Citation 1

Abstract:

Loading...

Transaction costs, optimal investment, asymptotic analysis, utility maximization, stochastic volatility

41.

Accelerated Share Repurchases Under Stochastic Volatility

Applied Mathematical Finance, Forthcoming
Number of pages: 37 Posted: 09 May 2023
Nikhil Krishnan and Ronnie Sircar
Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 43 (760,966)

Abstract:

Loading...

Accelerated Share Repurchases, Stochastic Volatility, Deep Learning

42.

A Limit Theorem for Financial Markets with Inert Investors

Mathematics of Operations Research, 2006, Volume 31 (4), 789-810.
Number of pages: 25 Posted: 30 May 2016
Erhan Bayraktar, Ulrich Horst and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics, Humboldt University of Berlin and Princeton University - Department of Operations Research and Financial Engineering
Downloads 32 (844,854)

Abstract:

Loading...

Semi-Markov processes; fractional Brownian motion; functional central limit theorem; market microstructure; investor inertia.

43.

Formation of Optimal Interbank Lending Networks under Liquidity Shocks

Number of pages: 42 Posted: 05 Dec 2022
Daniel Rigobon and Ronnie Sircar
Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 28 (879,208)

Abstract:

Loading...

Financial Networks, Financial Institutions, Optimal Control