| A regime-switching Heston model for VIX and S&P 500 implied volatilities A Papanicolaou, R Sircar Quantitative Finance 14 (10), 1811-1827, 2014 | 92 | 2014 |
| Perturbation analysis for investment portfolios under partial information with expert opinions JP Fouque, A Papanicolaou, R Sircar SIAM Journal on Control and Optimization 55 (3), 1534-1566, 2017 | 33 | 2017 |
| Filtering and portfolio optimization with stochastic unobserved drift in asset returns JP Fouque, A Papanicolaou, R Sircar Communications in Mathematical Sciences 13 (4), 935-953, 2015 | 33 | 2015 |
| Pairs trading of two assets with uncertainty in co-integration's level of mean reversion S Lee, A Papanicolaou International Journal of Theoretical and Applied Finance 19 (08), 1650054, 2016 | 24 | 2016 |
| Statistics of VIX futures and applications to trading volatility exchange-traded products M Avellaneda, A Papanicolaou International Journal of Theoretical and Applied Finance 22 (01), 1850061, 2019 | 21* | 2019 |
| Backward SDEs for control with partial information A Papanicolaou Mathematical Finance 29 (1), 208-248, 2019 | 17 | 2019 |
| PCA for implied volatility surfaces M Avellaneda, B Healy, A Papanicolaou, G Papanicolaou The Journal of Financial Data Science, 2020 | 11 | 2020 |
| Filtering the maximum likelihood for multiscale problems A Papanicolaou, K Spiliopoulos Multiscale Modeling & Simulation 12 (3), 1193-1229, 2014 | 11 | 2014 |
| State constrained stochastic optimal control using LSTMs B Dai, P Krishnamurthy, A Papanicolaou, F Khorrami 2021 American Control Conference (ACC), 1294-1299, 2021 | 10 | 2021 |
| Principal eigenportfolios for US equities M Avellaneda, B Healy, A Papanicolaou, G Papanicolaou SIAM Journal on Financial Mathematics 13 (3), 702-744, 2022 | 9 | 2022 |
| A functional analysis approach to the static replication of European options S Bossu, P Carr, A Papanicolaou Quantitative Finance 21 (4), 637-655, 2021 | 9 | 2021 |
| Extreme-strike comparisons and structural bounds for SPX and VIX options A Papanicolaou SIAM Journal on Financial Mathematics 9 (2), 401-434, 2018 | 9 | 2018 |
| Implied filtering densities on the hidden state of stochastic volatility C Fuertes, A Papanicolaou Applied Mathematical Finance 21 (6), 483-522, 2014 | 9* | 2014 |
| Introduction to stochastic differential equations (sdes) for finance A Papanicolaou arXiv preprint arXiv:1504.05309, 2015 | 8 | 2015 |
| Dimension reduction in statistical estimation of partially observed multiscale processes A Papanicolaou, K Spiliopoulos SIAM/ASA Journal on Uncertainty Quantification 5 (1), 1220-1247, 2017 | 7 | 2017 |
| Stochastic analysis seminar on filtering theory A Papanicolaou arXiv preprint arXiv:1406.1936, 2014 | 7 | 2014 |
| Trading signals in VIX futures M Avellaneda, TN Li, A Papanicolaou, G Wang Applied Mathematical Finance 28 (3), 275-298, 2021 | 6 | 2021 |
| Filtering for fast mean-reverting processes A Papanicolaou Asymptotic analysis 70 (3-4), 155-176, 2010 | 6 | 2010 |
| State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE B Dai, P Krishnamurthy, A Papanicolaou, F Khorrami Automatica 155, 111146, 2023 | 5 | 2023 |
| Static replication of European standard dispersion options S Bossu, P Carr, A Papanicolaou Quantitative Finance 22 (5), 799-811, 2022 | 5 | 2022 |
Marco AvellanedaNew York UniversityVerified email at cims.nyu.edu
