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George Papanicolaou

17 works· latest 2013· 2 institutionscluster: provisionalORCID 0000-0003-4876-7457

h-index17

i1017

Citations2,616

Works here17

Most cited in this library

Derivatives in Financial Markets with Stochastic Volatility2000 · 916 citations
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives2011 · 329 citations
Multiscale Stochastic Volatility Asymptotics2003 · 220 citations
Singular Perturbations in Option Pricing2003 · 187 citations
MEAN-REVERTING STOCHASTIC VOLATILITY2000 · 176 citations

Works

17 shown

Large Deviations for a Mean Field Model of Systemic Risk

SIAM Journal on Financial Mathematics·2013·3 authors·Open access

107citations

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Cambridge University Press eBooks·2011·4 authors·book

329citations

Introduction to Stochastic Volatility Models

Cambridge University Press eBooks·2011·4 authors·chapter·Open access

63citations

Maturity cycles in implied volatility

Finance and Stochastics·2004·4 authors

59citations

Stochastic Volatility Corrections for Interest Rate Derivatives

Mathematical Finance·2004·4 authors·Open access

58citations

Short time-scale in S&P500 volatility

The Journal of Computational Finance·2003·

Multiscale Stochastic Volatility Asymptotics

Multiscale Modeling and Simulation·2003·4 authors

220citations

Singular Perturbations in Option Pricing

SIAM Journal on Applied Mathematics·2003·4 authors

187citations

FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES

International Journal of Theoretical and Applied Finance·2001·2 authors·other

32citations

MEAN-REVERTING STOCHASTIC VOLATILITY

International Journal of Theoretical and Applied Finance·2000·2 authors

176citations

Stochastic volatility, smile & asymptotics

Applied Mathematical Finance·1999·1 author

71citations

Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment

Asia-Pacific Financial Markets·1999·2 authors·Open access

42citations

Stochastic Differential Equations

Mathematics of Computation·1974·3 authors

44citations

Non‐commuting random evolutions, and an operator‐valued Feynman‐Kac formula

Communications on Pure and Applied Mathematics·1972·2 authors

43citations