Andrew Papanicolaou

Lecturer

School of Mathematics and Statistics, University of Sydney.
Postal address: Andrew Papanicolaou
School of Mathematics and Statistics F07
University of Sydney NSW 2006
Australia
Email:
Phone: +61 2 9351 3357 (Ext: 13357).

FAX:

+61 2 9351 4534

 

Research Interests

Publications

Financial Mathematics
    Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options
    submitted for publication (2014) SSRN

    Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions (with J.P. Fouque and R. Sircar)
    submitted for publication (2014) SSRN

    Implied Filtering Densities on the Hidden State of Stochastic Volatility (with C. Fuertes)
    Applied Mathematical Finance, Vol. 21, No. 6, (2014) pp. 483-522. SSRN,print, Journal

    Filtering and Portfolio Optimization with Stochastic Unobserved Drift In Asset Returns (with J.P. Fouque and R. Sircar)
    Communications in Mathematical Sciences, Vol. 13, No. 4, (2015) pp.935-953 SSRN,print, journal

    A Regime-Switching Heston Model for VIX and S&P500 Implied Volatilities (with R. Sircar)
    Quantitative Finance, Vol. 14, No. 10, (2014) pp. 1811-1827. SSRN,print, Journal

    Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information
    SIAM J. on Financial Mathematics, Vol. 4, No. 1, (2013) pp. 916-960. SSRN,print, Journal
Filtering and Parameter Estimation
    Tracking Intentions from Surveillance Images: A Double HMM Approach (with B. Rozovsky)
    submitted for publication (2014) SSRN

    Filtering the Maximum Likelihood in Multiscale Problems (with K. Spiliopoulos)
    SIAM J. on Multiscale Modeling and Simulation, Vol 12, No. 3, (2014) pp. 1193-1229 (37 pages). arXiv,print, Journal

    Nonlinear Filtering for Hidden Markov Models with Fast Mean-Reverting States
    SIAM J. on Multiscale Modeling and Simulation, Vol. 10, No. 3, (2012) pp. 906-935. arXiv,print, Journal

    Filtering Fast Mean Reverting Processes
    Asymptotic Analysis, Vol. 70, No. 3-4, (2010) pp. 155-176. SSRN,print, Journal

Recent and Upcoming Invited Talks

    IPAM: Broad Perspectives and New Directions in Financial MathematicsWorkshop III: Commodity Markets and their Financialization, Los Angeles Ca (May 2015). link
    Bachelier Seminar Paris, Paris Fr (Jan 2015) link
    London Mathematical Finance Seminar, London UK (Jan 2015) link
    SIAM Conference on Financial Mathematics, Chicago Ill (Nov. 2014). link
    New Directions in Financial Mathematics and Mathematical Economics, Banff Centre Alberta Canada (Jul. 2014). link
    The Fifth Western Conference on Mathematical Finance, Stanford Ca (May 2013). link

Thesis, Working Papers, and Book Reviews

    Book Review for "Numerical Solution of Stochastic Differential Equations with Jumps in Finance" by E. Platen and N. Bruti-Liberati
    Quantitative Finance, Vol. 13, No. 9, (2013) pp. 1353-1355. Journal

    Notes on Nonlinear Filtering: Theory and Applications
    Stochastic Analysis Seminar in the Department of Operations Research and Financial Engineering at Princeton University, in February of 2011 arXiv

    Data Compression For Dynamic Image Sequences
    Research Methods & Methodology in Accounting eJournal Vol. 6, No. 13, pp. 1-9 (April 2014) SSRN

    New Methods in Theory and Applications of Nonlinear Filtering
    PhD Thesis, Brown University (2010). thesis-archive

Teaching

    Stochastic Analysis Seminar on Filtering Theory, Spring 2011. link
    Masters Course on Financial Risk Management Fall, 2012. link
    MATHS 1003 (Integral Calculus) Winter 2014. link
    MATHS 2061 (Vector Calculus) Fall 2014. link
    MATHS 2070 (Optimization and Financial Mathematics) Winter 2014. link