Ronnie Sircar

According to our database1, Ronnie Sircar authored at least 22 papers between 2003 and 2019.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2019
Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon.
SIAM J. Control and Optimization, 2019

2018
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio.
SIAM J. Financial Math., 2018

2017
Fracking, Renewables, and Mean Field Games.
SIAM Review, 2017

Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions.
SIAM J. Control and Optimization, 2017

Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon.
SIAM J. Control and Optimization, 2017

2016
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations.
SIAM J. Financial Math., 2016

Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio.
SIAM J. Financial Math., 2016

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.
Finance and Stochastics, 2016

2015
A Feedback Model for the Financialization of Commodity Markets.
SIAM J. Financial Math., 2015

2012
Dynamic Bertrand and Cournot competition: Asymptotic and computational analysis of product differentiation.
Risk and Decision Analysis, 2012

2010
Message From the Editors-in-Chief.
SIAM J. Financial Math., 2010

Games with Exhaustible Resources.
SIAM Journal of Applied Mathematics, 2010

2009
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation.
SIAM J. Control and Optimization, 2009

Multiname and Multiscale Default Modeling.
Multiscale Modeling & Simulation, 2009

2006
A Limit Theorem for Financial Markets with Inert Investors.
Math. Oper. Res., 2006

2005
Optimal investment with derivative securities.
Finance and Stochastics, 2005

2004
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random.
SIAM J. Control and Optimization, 2004

Singular Perturbations for Boundary Value Problems Arising from Exotic Options.
SIAM Journal of Applied Mathematics, 2004

Maturity cycles in implied volatility.
Finance and Stochastics, 2004

2003
Singular Perturbations in Option Pricing.
SIAM Journal of Applied Mathematics, 2003

Multiscale Stochastic Volatility Asymptotics.
Multiscale Modeling & Simulation, 2003

Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets.
Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003


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