Ronnie Sircar

Finance · 2002–2017

A researcher in the Science corpus: 7 papers; trusts 18 researchers and is trusted by 22 researchers here, as inferred from the citation graph.

Subfields

• Finance — 67 citations into it; #2,665 of 10,518 by trust here, #3,859 by citations
• Economics and Econometrics — 28 citations into it; #2,921 of 23,481 by trust here, #12,103 by citations
• Demography — 14 citations into it; #2,542 of 4,236 by trust here, #2,850 by citations

Whom Ronnie Sircar trusts overall

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

1. Jean-Pierre Fouque 3
2. A. Sepp
3. Gabriel G. Drimus
4. James D. Hamilton
5. Eric Hillebrand
6. Philipp J. Schönbucher
7. Jessica A. Wachter
8. Huyen Pham
9. George Papanicolaou
10. Rama Cont

Who trusts Ronnie Sircar overall

1. Philippe Masset
2. Thomas Conlon
3. S. mcintyre
4. P. J. Graber
5. Ramazan Gen¸ay
6. Jean-Pierre Fouque 3
7. Manel Rhif
8. Jian-wei Gao
9. Ross McKitrick
10. John Cotter

Papers from Ronnie Sircar's perspective

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

1. Credit Risk: Modeling, Valuation And Hedging
2. On the pricing and hedging of volatility derivatives
3. Controlled Markov processes and viscosity solutions
4. A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
5. The Volatility Surface: A Practitioner's Guide
6. CORRELATED DEFAULT WITH INCOMPLETE INFORMATION
7. Continuous-time stochastic control and optimization with financial applications / Huyen Pham
8. Derivatives in Financial Markets with Stochastic Volatility
9. Brownian Motion and Stochastic Calculus
10. PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT

Their papers

• An introduction to wavelets and other filtering methods in finance and economics (2002) — 167 citations
• Optimal investment problems and volatility homogenization approximations (2002) — 74 citations
• Bertrand and Cournot Mean Field Games (2015) — 112 citations
• PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS (2017) — 85 citations
• A regime-switching Heston model for VIX and S&P 500 implied volatilities (2014) — 87 citations
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives: Introduction to Stochastic Volatility Models (2011) — 248 citations
• Stochastic Volatility Effects on Defaultable Bonds (2006) — 73 citations