## Contact Information

ORFE Department, Princeton University, Sherrerd Hall Room 105, Princeton, NJ 08544

Tel: (609) 258 2841; Fax: (609) 258 4363

Email: lastname at princeton.edu

Assistant: Lauren Coleman, lc19 at princeton.edu

- Construction of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder’s Theorem, with
*L. Avanesyan & M. Shkolnikov*, May 2018, submitted; revised March 2019. - 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*, August 2015, to appear in**SIAM J. Control & Optimization**. 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, submitted. - 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 Mathematics**70(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 & Stochastics**9(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 Finance**12(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.

- Cambridge University Press, Sept 2000. ERRATUM
- 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*,**RISK**13(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.