Andrew Papanicolaou

Finance · 2014

A researcher in the Science corpus: 1 paper; trusts 11 researchers and is trusted by 2 researchers here, as inferred from the citation graph.

Subfields

Whom Andrew Papanicolaou trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. A. Sepp
  2. James D. Hamilton
  3. Gabriel G. Drimus
  4. Eric Hillebrand
  5. Rama Cont
  6. Jean-Pierre Fouque 3
  7. Peter P. Carr
  8. Thomas Kokholm
  9. Jim Gatheral
  10. Robert J. R. Elliott

Who trusts Andrew Papanicolaou overall

  1. Jean-Pierre Fouque 3
  2. Yuri F. Saporito
  3. Jim Gatheral

Papers from Andrew Papanicolaou's perspective

Ordered by how strongly the researchers Andrew Papanicolaou trusts endorse each paper. Same corpus, a different order for every researcher.

  1. On the pricing and hedging of volatility derivatives
  2. Variance Risk Premiums
  3. The Volatility Surface: A Practitioner's Guide
  4. Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility
  5. Option Pricing, Interest Rates and Risk Management: Towards a Theory of Volatility Trading
  6. A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
  7. Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
  8. Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives: Introduction to Stochastic Volatility Models
  9. Tails, Fears and Risk Premia
  10. Neglecting parameter changes in GARCH models

Their papers