Contact Information

Ronnie Sircar, Eugene Higgins Professor of Operations Research and Financial Engineering
ORFE Department, Princeton University, Sherrerd Hall Room 208, Princeton, NJ 08544
Email: [email protected]
Curriculum Vitae
Short Bio

Papers

• Trading Electrons: Predicting DART Spread Spikes in ISO Electricity Markets , with E. Hubert and D. Lolas, January 2026, submitted. Revised May 2026.
• A Mean Field Game for Capacity Expansion Modeling, with E. Hubert and D. Lolas, July 2025, submitted.
• Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility, with P. Chan and I. Zimbidis, Applied Mathematical Finance, Volume 32, Issue 4, pages 219-252, February 2026.
• Fare Game: A Mean Field Model of Stochastic Intensity Control in Dynamic Ticket Pricing, with B. Aydin and E. Parmaksiz, May 2025, to appear in Mathematics and Financial Economics .
• Mean Field Games of Control and Cryptocurrency Mining, with N. Garcia and M. Soner, April 2025, submitted.
• Formation of Optimal Interbank Networks under Liquidity Shocks, with D. Rigobon, revised October 2025, submitted.
• Cost Attribution And Risk-Averse Unit Commitment In Power Grids Using Integrated Gradient, with R. Carmona and X. Yang , August 2024, submitted. Revised December 2025.
• Quantifying Renewables Reliability Risk in Modern and Future Electricity Grids, with A. Shrivats and X. Yang , The Journal of Energy Markets, Volume 17, Number 3, September 2025.
• Asymptotic expansions of evolution equations with fast volatility, with S. Howison, C. Reisinger and Z. Wang , SIAM J. Multiscale Modeling and Simulation, volume 23(1), 2025.
• Factor Learning Portfolio Optimization Informed by Continuous-Time Finance Models, with S. Geng, H. Nassif, Z. Kuang and A.M. Reppen, in 2023 ICML Workshop on New Frontiers in Learning, Control, and Dynamical Systems (Frontiers4LCD).
• When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance, with Y. Ait-Sahalia, F. Matthys and E. Osambela, Journal of Econometrics, published online 2024.
• Estimating the Collapse of Afghanistan’s Economy Using Nightlights Data, with T. Sänger and E. Kapstein, PLOS ONE, December 2024.
• Reinforcement Learning Paycheck Optimization for Multivariate Financial Goals, with M. Alaluf, G. Crippa, S. Geng, Z. Jing, N. Krishnan, S. Kulkarni, W. Navarro, J. Tang, Risk & Decision Analysis, volume 9(1), 2023, pages 11-18.
• Accelerated Share Repurchases under Stochastic Volatility, with N. Krishnan, Applied Mathematical Finance, volume 22(5), 2023, pages 331-365.
• Master Equation for Cournot Mean Field Games of Control with Absorption, with P.J. Graber, Journal of Differential Equations, volume 343, 2023, pages 816-909.
• Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets, with J.-P. Fouque and R. Hu, SIAM J. Financial Math, volume 13(1), 2022, pages 109-128.
• A Maximum Principle approach to a deterministic Mean Field Game of Control with Absorption, with P. Graewe and U. Horst, SIAM J. Control & Optimization, volume 60(5), 2022, pages 3173-3190.
• Power Mixture Forward Performance Processes, with L. Avanesyan, SIAM J. Financial Math, volume 13(3), 2022, pages 1040-1062.
• Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions, with Sinong Geng, Houssam Nassif, Carlos A. Manzanares & A. Max Reppen, June 2020, in Proceedings of the 37th International Conference on Machine Learning (ICML), Vienna, Austria, PMLR 119. (Formerly titled Identifying Reward Functions using Anchor Actions).
• A Mean Field Games Model for Cryptocurrency Mining, with Z. Li & A.M. Reppen, Management Science, volume 70, 2024, pages 2188-2208.
• Construction of a Class of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder's Theorem, with L. Avanesyan & M. Shkolnikov, Finance and Stochastics, volume 24(4), 2020, pages 981-1011.
• Oil Prices & Dynamic Games under Stochastic Demand, with I. Brown & J. Funk, October 2017, submitted.
• Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio, with A. Agarwal, SIAM J. Financial Mathematics, volume 9, 2018, pages 435-464.
• Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon, with M. Bichuch, SIAM J. Control & Optimization, volume 57(1), 2019, pages 437–467. Supplementary material.
• Fracking, Renewables & Mean Field Games, with P. Chan, SIAM Review, volume 59(3), 2017, pages 588-615.
• Optimal Trading with Predictable Return and Stochastic Volatility, with P. Chan, June 2015, revised July 2016, unpublished.
• Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio, with M. Lorig, SIAM J. Financial Mathematics, volume 7, 2016, pages 418-447.
• Technology Ladders and R&D in Dynamic Cournot Markets, with M. Ludkovski, Journal of Economic Dynamics and Control, 69, August 2016, pages 127-151.
• Asymptotic Analysis of Forward performance processes in incomplete markets and their ill-posed HJB equations, with M. Shkolnikov & T. Zariphopoulou, SIAM J. Financial Mathematics, volume 7, 2016, pages 588-618.
• Game Theoretic Models for Energy Production, survey article with M. Ludkovski, February 2015, in Fields Communications Volume : Commodities, Energy and Environmental Finance, (eds. R. Aid, M. Ludkovski, R. Sircar), Springer (2015).
• Stochastic Volatility: Modeling and Asymptotic Approaches to Option Pricing & Portfolio Selection, survey article with M. Lorig, July 2014, in Fundamentals of Financial Signal Processing, (eds. A. Akansu, S. Kulkarni, D. Malioutov, I. Pollak), Wiley (2015).
• Financial Mathematics, survey article with R. Carmona, January 2014, in Princeton Companion to Applied Mathematics, (eds. N. Higham, F. Santosa), Princeton University Press (2015).
• Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions, with J.-P. Fouque & A. Papanicolaou, SIAM J. Control & Optimization, volume 55(3), 2017, pages 1534-1566.
• A Feedback Model for the Financialization of Commodity Markets, with P. Chan & M. Stein, SIAM J. Financial Mathematics, 6(1), 2015, pages 870–899.
• American Options under Stochastic Volatility: Control Variates, Maturity Randomization & Multiscale Asymptotics, with A. Agarwal & S. Juneja, Quantitative Finance, 16(1), January 2016, pages 17-30.
• Variable Costs in Dynamic Cournot Energy Markets, with A. Dasarathy, May 2014, in Fields Communications Volume : Commodities, Energy and Environmental Finance, (eds. R. Aid, M. Ludkovski, R. Sircar), Springer (2015).
• Time-Inconsistent Portfolio Investment Problems, with Y. Dong, April 2014, in Stochastic Analysis and Applications 2014, (eds. D. Crisan, B. Hambly and T. Zariphopoulou), Springer.
• Bertrand & Cournot Mean Field Games, with P. Chan, Applied Mathematics & Optimization, volume 71, pages 533-569, 2015.
• Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon, with M. Bichuch, SIAM J. Control & Optimization, volume 55(6), pages 3799-3832, 2017. First version January 2014 (formerly titled "Optimal Investment with Transaction Costs and Stochastic Volatility").
• Analysis of Systematic Risks in Multi-Name Credit and Equity Markets, with E. Choi, August 2013, submitted.
• Filtering and Portfolio Optimization with Stochastic Unobserved Drift in Asset Returns, with J.-P. Fouque & A. Papanicolaou, Communications in Mathematical Sciences, 13(4), pages 935-953, 2015.
• Portfolio Optimization & Stochastic Volatility Asymptotics, with J.-P. Fouque & T. Zariphopoulou, Mathematical Finance, 27(3), pages 704-745, 2017. First version March 2013.
• Implied Volatility of Leveraged ETF Options, with T. Leung, Applied Mathematical Finance, 22(2), March 2015, pages 162-188.
• A Regime-Switching Heston Model for VIX and S&P 500 Implied Volatilities, with A. Papanicolaou, Quantitative Finance, Volume 14, Issue 10, (2014) pages 1811-1827 (published online July 2013).
• Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration, with J.-P. Fouque & M. Lorig, August 2012, Finance & Stochastics, 20(3), (2016), pages 543-588.
• A Model for Hedging Load and Price Risk in the Texas Electricity Market, with M. Coulon & W. Powell, Energy Economics, 40, pages 976–988, November 2013.
• Oligopoly Games under Asymmetric Costs and an Application to Energy Production, with A. Ledvina, Mathematics and Financial Economics, 6(4), 2012, pages 261-293. [Previously titled "Static & Dynamic Oligopoly Games under Asymmetric Costs''. An earlier version on static games was titled "Bertrand and Cournot competition under asymmetric costs: number of active firms in equilibrium''; first draft October 2010.]
• From Smile Asymptotics to Market Risk Measures, with S. Sturm, July 2011, in Mathematical Finance, 25(2), pages 400-425, April 2015.
• Dynamic Bertrand and Cournot Competition: Asymptotic and Computational Analysis of Product Differentiation, with A. Ledvina, Risk and Decision Analysis 3(3), 2012, pages 149-165.
• Exploration and Exhaustibility in Dynamic Cournot Games, with M. Ludkovski, European Journal on Applied Mathematics, 23(3), 2012, pages 343-372.
• Dynamic Bertrand Oligopoly, with A. Ledvina, Applied Mathematics and Optimization 63(1), 2011, pages 11-44.
• Forward Indifference Valuation of American Options, with T. Leung & T. Zariphopoulou, Stochastics 84(5-6), 2012, pages 741-770.
• Games with Exhaustible Resources, with C. Harris & S. Howison, SIAM J. Applied Mathematics70(7), 2010, pages 2556-2581.
• A Framework for Dynamic Hedging under Convex Risk Measures, with A. Toussaint, November 2008. Appears in Proceedings of 2008 Ascona Seminar on Stochastic Analysis, Random Fields and Applications (eds. R. Dalang, M. Dozzi, F. Russo), Birkhauser, 2011.
• Multiname and Multiscale Default Modeling, with J.-P. Fouque & K. Solna, SIAM J. Multiscale Modeling and Simulation 7(4), 2009, pages 1956-1978.
• Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model, with J. Perello & J. Masoliver, Journal of Statistical Mechanics (2008), P06010.
• Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures, with A. Ilhan & M. Jonsson, Stochastic Processes & Applications 119(10), 2009, pages 3608-3632.
• Exponential Hedging with Optimal Stopping and Application to ESO Valuation, with T. Leung, SIAM J. Control & Optimization 48(3), 2009, pages 1422-1451.
• Credit Derivatives and Risk Aversion, with T. Leung & T. Zariphopoulou, in Advances in Econometrics (eds. T. Fomby, J.-P. Fouque and K. Solna), 2008, Elsevier Science.
• Multiscale Intensity Models and Name Grouping for Valuation of Multi-name Credit Derivatives, with E. Papageorgiou, Applied Mathematical Finance 16(4), 2009, pages 353-383.
• Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options, with T. Leung, Mathematical Finance 19(1), 2009, pages 99-128.
• Utility Valuation of Credit Derivatives and Application to CDOs, with T. Zariphopoulou, Quantitative Finance 10(2), 2010, pages 195-208. [A related article is Utility Valuation of Credit Derivatives: Single and Two-Name Cases, with T. Zariphopoulou, in Advances in Mathematical Finance (eds. M. Fu, R. Jarrow, J.-Y. Yen, R. Elliott), ANHA Series, Birkhauser, 2007, pages 279-301.]
• Multiscale Intensity Models for Single Name Credit Derivatives, with E. Papageorgiou, Applied Mathematical Finance 15(1), 2008, pages 73-105.
• Queueing Theoretic Approaches to Financial Price Fluctuations, with E. Bayraktar & U. Horst, in Handbook of Financial Engineering (ed. J. Birge and V. Linetsky), Volume 15 of Handbooks in Operations Research and Management Science, North Holland, 2007, pages 637-677.
• Portfolio Optimization with Derivatives and Indifference Pricing, with A. Ilhan & M. Jonsson, May 2004, in Volume on Indifference Pricing, (ed. R. Carmona), Princeton University Press (2008). [A shorter preliminary version "Options: To Buy or not To Buy?", with M. Jonsson, appears in Proceedings of an AMS-IMS-SIAM Summer Conference on Mathematics of Finance, ed. G. Yin and Q. Zhang, Contemporary Mathematics 351, AMS, 2003, pages 207-215.]
• Stochastic Volatility Effects on Defaultable Bonds, with J.-P. Fouque & K. Solna, Applied Mathematical Finance 13(3), 2006, pages 215-244.
• Optimal Investment with Derivative Securities, with A. Ilhan & M. Jonsson, Finance & Stochastics9(4), 2005, pages 585-595.
• Optimal Static-Dynamic Hedges for Barrier Options, with A. Ilhan & M. Jonsson, Mathematical Finance 16(2), 2006, pages 359-385.
• Multiscale Stochastic Volatility Asymptotics, with J.-P. Fouque, G. Papanicolaou & K. Solna, SIAM J. Multiscale Modeling and Simulation 2(1), 2003, pages 22-42.
• A General Framework for Evaluating Executive Stock Options, with W. Xiong, Journal of Economic Dynamics and Control 31(7), July 2007, pages 2317-2349. [Formerly titled "Evaluating Incentive Options''; first draft May 2003.]
• A Limit Theorem for Financial Markets with Inert Investors, with E. Bayraktar & U. Horst, Mathematics of Operations Research, 31(4), 2006, pages 789-810.
• Singular Perturbations for Boundary Value Problems arising from Exotic Options, with A. Ilhan & M. Jonsson, SIAM J. Applied Math. 64(4), 2004, pages 1268-1293.
• Maturity Cycles in Implied Volatility, with J.-P. Fouque, G. Papanicolaou & K. Solna, Finance & Stochastics 8(4), 2004, pages 451-477.
• Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis, with E. Bayraktar & V. Poor, International Journal of Theoretical & Applied Finance, 7(5), 2004, pages 615-643.
• Bounds & Asymptotic Approximations for Utility Prices when Volatility is Random, with T. Zariphopoulou, SIAM J. Control & Optimization, 43(4), 2005, pages 1328-1353.
• Singular Perturbations in Option Pricing, with J.-P. Fouque, G. Papanicolaou & K. Solna, SIAM J. Applied Math 63(5), 2003, pages1648-1665.
• Trend-Following Hedge Funds and Multi-Period Asset Allocation, with D. Darius, A. Ilhan, J. Mulvey & K. Simsek, Quantitative Finance 2(5), October 2002, pages 354-61.
• Optimal Investment Problems and Volatility Homogenization Approximations, with M. Jonsson, in "Modern Methods in Scientific Computing and Applications", A. Bourlioux, M. Gander & G. Sabidussi (eds.), NATO Science Series II, vol. 75, pages 255-281, Kluwer. August 2002.
• Stochastic Volatility and the Epsilon Martingale Decomposition, with J.-P. Fouque & G. Papanicolaou, Trends in Mathematics, Kohlmann, M., Tang, S., (Eds.), pages 152-9, Birkhauser Verlag, October 2000.
• Partial Hedging in a Stochastic Volatility Environment, with M. Jonsson, Mathematical Finance12(4), October 2002, pages 375-409.
• Stochastic Volatility Corrections for Interest Rate Derivatives, with P. Cotton, J.-P. Fouque & G. Papanicolaou, Mathematical Finance 14(2), April 2004, pages 173-200.
• From the Implied Volatility Skew to a Robust Correction to Black-Scholes American Option Prices, with J.-P. Fouque & G. Papanicolaou, International Journal of Theoretical & Applied Finance, vol 4, No. 4 (2001), pages 651-75.
• Short Time-Scale in S&P 500 Volatility, with J.-P. Fouque & G. Papanicolaou, Journal of Computational Finance 6(4), Summer 2003, pages 1-23. (Formerly titled Mean-Reversion of S&P 500 Volatility.)
• Stochastic Volatility Correction to Black-Scholes, with J.-P. Fouque & G. Papanicolaou, RISK13(2), February 2000, pages 89-92.
• Hedging under Stochastic Volatility, Quantitative Analysis in Financial Markets, Vol. 2 (M. Avellaneda, ed.), World Scientific, February 2000.
• Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment, with J.-P. Fouque & G. Papanicolaou, Asia-Pacific Financial Markets 6(1), 1999, pages 37-48.
• Mean-Reverting Stochastic Volatility, with J.-P. Fouque & G. Papanicolaou, International Journal of Theoretical & Applied Finance, Vol. 3, No. 1 (2000), pages 101-142.
• Asymptotics of a Two-Scale Stochastic Volatility Model, with J.-P. Fouque & G. Papanicolaou, in "Equations aux derivees partielles et applications" in honour of Jacques-Louis Lions, Gauthier-Villars, May 1998, pages 517-26.
• Stochastic Volatility, Smile & Asymptotics, with G. Papanicolaou, Applied Mathematical Finance 6(2), June 1999, pages 107-145.
• General Black-Scholes models accounting for increased market volatility from hedging strategies, with G. Papanicolaou, Applied Mathematical Finance 5(1), 1998, pages 45-82.