Ronnie Sircar

According to our database, Ronnie Sircar authored at least 23 papers between 2003 and 2020.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2020

Identifying Reward Functions using Anchor Actions.

Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar

CoRR, 2020

2019

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

Maxim Bichuch, Ronnie Sircar

SIAM J. Control. Optim., 2019

2018

Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio.

Ankush Agarwal, Ronnie Sircar

SIAM J. Financial Math., 2018

2017

Fracking, Renewables, and Mean Field Games.

Patrick Chan, Ronnie Sircar

SIAM Rev., 2017

Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions.

Jean-Pierre Fouque, A. Papanicolaou, Ronnie Sircar

SIAM J. Control. Optim., 2017

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

Maxim Bichuch, Ronnie Sircar

SIAM J. Control. Optim., 2017

2016

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations.

Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou

SIAM J. Financial Math., 2016

Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio.

Matthew J. Lorig, Ronnie Sircar

SIAM J. Financial Math., 2016

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.

Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar

Finance Stochastics, 2016

2015

A Feedback Model for the Financialization of Commodity Markets.

Patrick Chan, Ronnie Sircar, Michael V. Stein

SIAM J. Financial Math., 2015

2012

Dynamic Bertrand and Cournot competition: Asymptotic and computational analysis of product differentiation.

Andrew Ledvina, Ronnie Sircar

Risk Decis. Anal., 2012

2010

Message From the Editors-in-Chief.

René Carmona, Ronnie Sircar

SIAM J. Financial Math., 2010

Games with Exhaustible Resources.

Christopher J. Harris, Sam D. Howison, Ronnie Sircar

SIAM J. Appl. Math., 2010

2009

Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation.

Tim Leung, Ronnie Sircar

SIAM J. Control. Optim., 2009

Multiname and Multiscale Default Modeling.

Jean-Pierre Fouque, Ronnie Sircar, Knut Sølna

Multiscale Model. Simul., 2009

2006

A Limit Theorem for Financial Markets with Inert Investors.

Erhan Bayraktar, Ulrich Horst, Ronnie Sircar

Math. Oper. Res., 2006

2005

Optimal investment with derivative securities.

Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar

Finance Stochastics, 2005

2004

Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random.

Ronnie Sircar, Thaleia Zariphopoulou

SIAM J. Control. Optim., 2004

Singular Perturbations for Boundary Value Problems Arising from Exotic Options.

Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar

SIAM J. Appl. Math., 2004

Maturity cycles in implied volatility.

Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna

Finance Stochastics, 2004

2003

Singular Perturbations in Option Pricing.

George Papanicolaou, Jean-Pierre Fouque, Knut Solna, Ronnie Sircar

SIAM J. Appl. Math., 2003

Multiscale Stochastic Volatility Asymptotics.

Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna

Multiscale Model. Simul., 2003

Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets.

Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar

Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003