papers
Publications (9)
q-fin.CP2015
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
Matthew Lorig, Ronnie Sircar
q-fin.PM2014
Optimal Investment with Transaction Costs and Stochastic Volatility
Maxim Bichuch, Ronnie Sircar
math.OC2010
Dynamic Bertrand Oligopoly
Andrew Ledvina, Ronnie Sircar
math.PR2007
Queueing Theoretic Approaches to Financial Price Fluctuations
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
q-fin.CP2015
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Jean-Pierre Fouque, Matthew Lorig, Ronnie Sircar
math.ST2007
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar
math.PR2007
A Limit Theorem for Financial Markets with Inert Investors
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
q-fin.PR2008
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Josep Perello, Ronnie Sircar, Jaume Masoliver
q-fin.MF2015
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou