Ronnie Sircar

Princeton University - Department of Operations Research and Financial Engineering

Princeton, NJ 08544

United States

SCHOLARLY PAPERS

44

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6,527

CITATIONS
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Top 5,206

in Total Papers Citations

156

Scholarly Papers (44)

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 888 (25,540)
Citation 3

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

Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options

Mathematical Finance, Vol. 19, Issue 1, p.99–128, January 2009
Number of pages: 34 Posted: 10 Nov 2006 Last Revised: 25 Jul 2011
Tim Leung and Ronnie Sircar
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research and Financial Engineering
Downloads 529 (50,597)

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employee stock options, reaction-diffusion equations, indifference pricing

Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options

Mathematical Finance, Vol. 19, Issue 1, pp. 99-128, January 2009
Number of pages: 30 Posted: 17 Jan 2009
Tim Leung and Ronnie Sircar
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research and Financial Engineering
Downloads 5 (638,162)
Citation 2
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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 434 (65,506)
Citation 4

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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
NYU Tandon School of Engineering, Department of Finance and Risk Engineering and Princeton University - Department of Operations Research and Financial Engineering
Downloads 404 (71,449)
Citation 1

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Heston model, VIX Options

5.

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 324 (92,015)
Citation 2

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

6.

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 - Red McCombs School of Business
Downloads 306 (97,948)
Citation 2

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

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
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 233 (130,341)

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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 219 (138,430)
Citation 2

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9.

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 - Red McCombs School of Business
Downloads 211 (143,406)
Citation 1

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credit risk, utility maximization, defaultable bonds, indifference price

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 205 (147,336)
Citation 1

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

11.

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 203 (148,705)
Citation 1

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risk measures, hedging

12.

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
Johns Hopkins University and Princeton University - Department of Operations Research and Financial Engineering
Downloads 189 (158,924)
Citation 1

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

13.

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, NYU Tandon School of Engineering, Department of Finance and Risk Engineering and Princeton University - Department of Operations Research and Financial Engineering
Downloads 186 (161,214)
Citation 1

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

14.

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 167 (177,400)
Citation 1

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

15.

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 164 (180,160)
Citation 2

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

16.

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 147 (197,420)
Citation 5

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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

17.

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 - Red McCombs School of Business
Downloads 146 (198,549)
Citation 7

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portfolio optimization, stochastic volatility, asymptotic analysis

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 142 (203,086)
Citation 2

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

19.

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
Johns Hopkins University and Princeton University - Department of Operations Research and Financial Engineering
Downloads 137 (209,054)
Citation 3

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

20.

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 126 (223,230)

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21.

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 116 (237,494)

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

22.

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 115 (238,959)
Citation 1

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

23.
Downloads 112 (243,463)
Citation 2

From Smile Asymptotics to Market Risk Measures

Mathematical Finance; Forthcoming
Number of pages: 24 Posted: 23 Jul 2011 Last Revised: 28 Oct 2013
Stephan Sturm and Ronnie Sircar
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences and Princeton University - Department of Operations Research and Financial Engineering
Downloads 112 (244,701)

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

From Smile Asymptotics to Market Risk Measures

Mathematical Finance, Vol. 25, Issue 2, pp. 400-425, 2015
Number of pages: 26 Posted: 04 Mar 2015
Ronnie Sircar and Stephan Sturm
Princeton University - Department of Operations Research and Financial Engineering and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
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dynamic convex risk measures, volatility skew, stochastic volatility models, indifference pricing, backward stochastic differential equations

24.

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 95 (272,415)

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

25.

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 81 (300,983)
Citation 1

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26.

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 - Nomura Centre for Quantitative Finance, OCIAM and Princeton University - Department of Operations Research and Financial Engineering
Downloads 76 (312,517)
Citation 1

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game theory, differential games, exhaustible resources

27.

Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio

Number of pages: 24 Posted: 27 Oct 2016
Ankush Agarwal and Ronnie Sircar
CMAP, École Polytechnique and CNRS, Université Paris-Saclay and Princeton University - Department of Operations Research and Financial Engineering
Downloads 67 (335,117)

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Portfolio Optimization, Drawdown, Stochastic Volatility, Local Volatility

28.

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
CMAP, École Polytechnique and CNRS, Université Paris-Saclay, Tata Institute of Fundamental Research (TIFR) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 58 (360,388)
Citation 1

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

29.

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 52 (379,310)

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30.

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 39 (425,772)
Citation 1

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

31.

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 38 (429,916)

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32.

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 37 (433,987)
Citation 1

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33.

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 36 (438,023)
Citation 2

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

34.

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 34 (446,366)

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35.

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 33 (450,679)

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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 32 (455,141)

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

37.

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 29 (469,320)

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

38.

Optimal Static - Dynamic Hedges for Barrier Options

Mathematical Finance, Vol. 16, No. 2, pp. 359-385, April 2006
Number of pages: 27 Posted: 08 May 2006
Aytac Ilhan and Ronnie Sircar
University of Oxford - Mathematical Institute and Princeton University - Department of Operations Research and Financial Engineering
Downloads 26 (484,765)
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39.

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 25 (490,229)

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oil, energy, Cournot, differential games

40.

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 18 (530,340)

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

41.

Stochastic Volatility Corrections for Interest Rate Derivatives

Mathematical Finance, Vol. 14, No. 2, pp. 173-200, April 2004
Number of pages: 28 Posted: 06 May 2004
Morgan Stanley & Co. Inc., North Carolina State University - Department of Mathematics, Stanford University - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 17 (536,175)
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Stochastic volatility, interest rate models, asymptotic expressions

42.

Partial Hedging in a Stochastic Volatility Environment

Mathematical Finance, Vol. 12, pp. 375-409, 2002
Number of pages: 35 Posted: 07 Feb 2003
Mattias Jonsson and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
Downloads 13 (559,779)
Citation 1
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43.

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
Johns Hopkins University and Princeton University - Department of Operations Research and Financial Engineering
Downloads 10 (578,470)

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

44.

Portfolio Optimization and Stochastic Volatility Asymptotics

Mathematical Finance, Vol. 27, Issue 3, pp. 704-745, 2017
Number of pages: 42 Posted: 15 Jun 2017
University of California, Santa Barbara (UCSB), Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 3 (625,569)
Citation 7
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portfolio optimization, asymptotic analysis, stochastic volatility