Ronnie Sircar - researchr alias

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Viewing Publication 1 - 26 from 26

2023

Reinforcement learning paycheck optimization for multivariate financial goalsMelda Alaluf, Giulia Crippa, Sinong Geng, Zijian Jing, Nikhil Krishnan, Sanjeev Kulkarni, Wyatt Navarro, Ronnie Sircar, Jonathan Tang. rda, 9(1):11-18, 2023. [doi]

2022

Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor MarketsJean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar. siamfm, 13(1):109-128, 2022. [doi]

A Maximum Principle Approach to a Deterministic Mean Field Game of Control with AbsorptionPaulwin Graewe, Ulrich Horst, Ronnie Sircar. siamco, 60(5):3173-3190, October 2022. [doi]

2020

Deep PQR: Solving Inverse Reinforcement Learning using Anchor ActionsSinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar. icml 2020: 3431-3441 [doi]

2019

Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite HorizonMaxim Bichuch, Ronnie Sircar. siamco, 57(1):437-467, 2019. [doi]

2018

Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe RatioAnkush Agarwal, Ronnie Sircar. siamfm, 9(2):435-464, 2018. [doi]

2017

Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite HorizonMaxim Bichuch, Ronnie Sircar. siamco, 55(6):3799-3832, 2017. [doi]

Fracking, Renewables, and Mean Field GamesPatrick Chan, Ronnie Sircar. siamrev, 59(3):588-615, 2017. [doi]

Perturbation Analysis for Investment Portfolios Under Partial Information with Expert OpinionsJean-Pierre Fouque, A. Papanicolaou, Ronnie Sircar. siamco, 55(3):1534-1566, 2017. [doi]

2016

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibrationJean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar. fs, 20(3):543-588, 2016. [doi]

Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe RatioMatthew J. Lorig, Ronnie Sircar. siamfm, 7(1):418-447, 2016. [doi]

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB EquationsMykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou. siamfm, 7(1):588-618, 2016. [doi]

2015

A Feedback Model for the Financialization of Commodity MarketsPatrick Chan, Ronnie Sircar, Michael V. Stein. siamfm, 6(1):870-899, 2015. [doi]

2012

Dynamic Bertrand and Cournot competition: Asymptotic and computational analysis of product differentiationAndrew Ledvina, Ronnie Sircar. rda, 3(3):149-165, 2012. [doi]

2010

Message From the Editors-in-ChiefRené Carmona, Ronnie Sircar. siamfm, 1(1):1, 2010. [doi]

Games with Exhaustible ResourcesChris Harris, Sam Howison, Ronnie Sircar. siamam, 70(7):2556-2581, 2010. [doi]

2009

Multiname and Multiscale Default ModelingJean-Pierre Fouque, Ronnie Sircar, Knut Sølna. mmas, 7(4):1956-1978, 2009. [doi]

Exponential Hedging with Optimal Stopping and Application to Employee Stock Option ValuationTim Leung, Ronnie Sircar. siamco, 48(3):1422-1451, 2009. [doi]

2006

A Limit Theorem for Financial Markets with Inert InvestorsErhan Bayraktar, Ulrich Horst, Ronnie Sircar. mor, 31(4):789-810, 2006. [doi]

2005

Optimal investment with derivative securitiesAytaç Ílhan, Mattias Jonsson, Ronnie Sircar. fs, 9(4):585-595, 2005. [doi]

2004

Maturity cycles in implied volatilityJean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna. fs, 8(4):451-477, 2004. [doi]

Singular Perturbations for Boundary Value Problems Arising from Exotic OptionsAytac Ilhan, Mattias Jonsson, Ronnie Sircar. siamam, 64(4):1268-1293, 2004. [doi]

Bounds and Asymptotic Approximations for Utility Prices when Volatility is RandomRonnie Sircar, Thaleia Zariphopoulou. siamco, 43(4):1328-1353, 2004. [doi]

2003

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