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