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2020 – today
- 2024
[j26]Zongxi Li, A. Max Reppen
, Ronnie Sircar:
A Mean Field Games Model for Cryptocurrency Mining. Manag. Sci. 70(4): 2188-2208 (2024)- [i3]Melda Alaluf, Giulia Crippa, Sinong Geng, Zijian Jing, Nikhil Krishnan, Sanjeev Kulkarni, Wyatt Navarro, Ronnie Sircar, Jonathan Tang:
Reinforcement Learning Paycheck Optimization for Multivariate Financial Goals. CoRR abs/2403.06011 (2024) - [i2]René Carmona, Ronnie Sircar, Xinshuo Yang:
Cost Attribution And Risk-Averse Unit Commitment In Power Grids Using Integrated Gradient. CoRR abs/2408.04830 (2024) - 2023
- [j25]Melda Alaluf, Giulia Crippa, Sinong Geng, Zijian Jing, Nikhil Krishnan, Sanjeev Kulkarni, Wyatt Navarro, Ronnie Sircar, Jonathan Tang:
Reinforcement learning paycheck optimization for multivariate financial goals. Risk Decis. Anal. 9(1): 11-18 (2023) - 2022
- [j24]Paulwin Graewe, Ulrich Horst, Ronnie Sircar:
A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption. SIAM J. Control. Optim. 60(5): 3173-3190 (2022) - [j23]Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar:
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets. SIAM J. Financial Math. 13(1): 109-128 (2022) - [j22]Levon Avanesyan, Ronnie Sircar:
Power Mixture Forward Performance Processes. SIAM J. Financial Math. 13(3): 1040-1062 (2022) - 2020
- [c2]Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar:
Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions. ICML 2020: 3431-3441 - [i1]Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar:
Identifying Reward Functions using Anchor Actions. CoRR abs/2007.07443 (2020)
2010 – 2019
- 2019
- [j21]Maxim Bichuch, Ronnie Sircar:
Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon. SIAM J. Control. Optim. 57(1): 437-467 (2019) - 2018
- [j20]Ankush Agarwal, Ronnie Sircar:
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio. SIAM J. Financial Math. 9(2): 435-464 (2018) - 2017
- [j19]Jean-Pierre Fouque, Alex Papanicolaou, Ronnie Sircar:
Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions. SIAM J. Control. Optim. 55(3): 1534-1566 (2017) - [j18]Maxim Bichuch, Ronnie Sircar:
Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon. SIAM J. Control. Optim. 55(6): 3799-3832 (2017) - [j17]Patrick Chan, Ronnie Sircar:
Fracking, Renewables, and Mean Field Games. SIAM Rev. 59(3): 588-615 (2017) - 2016
- [j16]Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar:
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance Stochastics 20(3): 543-588 (2016) - [j15]Matthew J. Lorig, Ronnie Sircar:
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio. SIAM J. Financial Math. 7(1): 418-447 (2016) - [j14]Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou:
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations. SIAM J. Financial Math. 7(1): 588-618 (2016) - 2015
- [j13]Patrick Chan, Ronnie Sircar, Michael V. Stein:
A Feedback Model for the Financialization of Commodity Markets. SIAM J. Financial Math. 6(1): 870-899 (2015) - 2012
- [j12]Andrew Ledvina, Ronnie Sircar:
Dynamic Bertrand and Cournot competition: Asymptotic and computational analysis of product differentiation. Risk Decis. Anal. 3(3): 149-165 (2012) - 2010
- [j11]Christopher J. Harris, Sam D. Howison, Ronnie Sircar:
Games with Exhaustible Resources. SIAM J. Appl. Math. 70(7): 2556-2581 (2010) - [j10]René Carmona, Ronnie Sircar:
Message From the Editors-in-Chief. SIAM J. Financial Math. 1(1): 1 (2010)
2000 – 2009
- 2009
- [j9]Jean-Pierre Fouque, Ronnie Sircar, Knut Sølna:
Multiname and Multiscale Default Modeling. Multiscale Model. Simul. 7(4): 1956-1978 (2009) - [j8]Tim Leung, Ronnie Sircar:
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation. SIAM J. Control. Optim. 48(3): 1422-1451 (2009) - 2006
- [j7]Erhan Bayraktar, Ulrich Horst, Ronnie Sircar:
A Limit Theorem for Financial Markets with Inert Investors. Math. Oper. Res. 31(4): 789-810 (2006) - 2005
- [j6]Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar:
Optimal investment with derivative securities. Finance Stochastics 9(4): 585-595 (2005) - 2004
- [j5]Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna:
Maturity cycles in implied volatility. Finance Stochastics 8(4): 451-477 (2004) - [j4]Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar:
Singular Perturbations for Boundary Value Problems Arising from Exotic Options. SIAM J. Appl. Math. 64(4): 1268-1293 (2004) - [j3]Ronnie Sircar, Thaleia Zariphopoulou:
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random. SIAM J. Control. Optim. 43(4): 1328-1353 (2004) - 2003
- [j2]Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna:
Multiscale Stochastic Volatility Asymptotics. Multiscale Model. Simul. 2(1): 22-42 (2003) - [j1]George Papanicolaou, Jean-Pierre Fouque, Knut Solna, Ronnie Sircar:
Singular Perturbations in Option Pricing. SIAM J. Appl. Math. 63(5): 1648-1665 (2003) - [c1]Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar:
Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets. CIFEr 2003: 309-316
Coauthor Index
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last updated on 2024-09-30 00:06 CEST by the dblp team
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