14 citations · 39 across the 16 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
q-fin.PR2018
Consistent Time-Homogeneous Modeling of SPX and VIX Derivatives
Andrew Papanicolaou
This paper shows how to recover a stochastic volatility model (SVM) from a market model of the VIX futures term structure. Market models have more flexibility for fitting of curves…
q-fin.MF2018★ 14 cited
Backward SDEs for Control with Partial Information
Andrew Papanicolaou
This paper considers a non-Markov control problem arising in a financial market where asset returns depend on hidden factors. The problem is non-Markov because nonlinear filtering…