Ronnie Sircar

33 papers A* 1Journal 31Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Asymptotic Expansions of Evolution Equations with Fast Volatility.
Multiscale Model. Simul.
Sam D. Howison, Christoph Reisinger, Ronnie Sircar, Zhenru Wang
2025 J jnl
Factor Learning Portfolio Optimization Informed by Continuous-Time Finance Models.
Trans. Mach. Learn. Res.
Sinong Geng, Houssam Nassif, Zhaobin Kuang, Anders Max Reppen, Ronnie Sircar
2024 J jnl
A Mean Field Games Model for Cryptocurrency Mining.
Manag. Sci.
Zongxi Li, A. Max Reppen, Ronnie Sircar
2024 J jnl
Cost Attribution And Risk-Averse Unit Commitment In Power Grids Using Integrated Gradient.
CoRR
René Carmona, Ronnie Sircar, Xinshuo Yang
2024 J jnl
Reinforcement Learning Paycheck Optimization for Multivariate Financial Goals.
CoRR
Melda Alaluf, Giulia Crippa, Sinong Geng, Zijian Jing, Nikhil Krishnan, Sanjeev Kulkarni, Wyatt Navarro, Ronnie Sircar, Jonathan Tang
2023 J jnl
Reinforcement learning paycheck optimization for multivariate financial goals.
Risk Decis. Anal.
Melda Alaluf, Giulia Crippa, Sinong Geng, Zijian Jing, Nikhil Krishnan, Sanjeev Kulkarni, Wyatt Navarro, Ronnie Sircar, Jonathan Tang
2022 J jnl
A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption.
SIAM J. Control. Optim.
Paulwin Graewe, Ulrich Horst, Ronnie Sircar
2022 J jnl
Power Mixture Forward Performance Processes.
SIAM J. Financial Math.
Levon Avanesyan, Ronnie Sircar
2022 J jnl
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets.
SIAM J. Financial Math.
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar
2020 A* conf
Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions.
ICML
Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar
2020 J jnl
Identifying Reward Functions using Anchor Actions.
CoRR
Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar
2019 J jnl
Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon.
SIAM J. Control. Optim.
Maxim Bichuch, Ronnie Sircar
2018 J jnl
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio.
SIAM J. Financial Math.
Ankush Agarwal, Ronnie Sircar
2017 J jnl
Fracking, Renewables, and Mean Field Games.
SIAM Rev.
Patrick Chan, Ronnie Sircar
2017 J jnl
Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon.
SIAM J. Control. Optim.
Maxim Bichuch, Ronnie Sircar
2017 J jnl
Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions.
SIAM J. Control. Optim.
Jean-Pierre Fouque, Alex Papanicolaou, Ronnie Sircar
2016 J jnl
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations.
SIAM J. Financial Math.
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
2016 J jnl
Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio.
SIAM J. Financial Math.
Matthew J. Lorig, Ronnie Sircar
2016 J jnl
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.
Finance Stochastics
Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar
2015 J jnl
A Feedback Model for the Financialization of Commodity Markets.
SIAM J. Financial Math.
Patrick Chan, Ronnie Sircar, Michael V. Stein
2012 J jnl
Dynamic Bertrand and Cournot competition: Asymptotic and computational analysis of product differentiation.
Risk Decis. Anal.
Andrew Ledvina, Ronnie Sircar
2010 J jnl
Games with Exhaustible Resources.
SIAM J. Appl. Math.
Christopher J. Harris, Sam D. Howison, Ronnie Sircar
2010 J jnl
Message From the Editors-in-Chief.
SIAM J. Financial Math.
René Carmona, Ronnie Sircar
2009 J jnl
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation.
SIAM J. Control. Optim.
Tim Leung, Ronnie Sircar
2009 J jnl
Multiname and Multiscale Default Modeling.
Multiscale Model. Simul.
Jean-Pierre Fouque, Ronnie Sircar, Knut Sølna
2006 J jnl
A Limit Theorem for Financial Markets with Inert Investors.
Math. Oper. Res.
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
2005 J jnl
Optimal investment with derivative securities.
Finance Stochastics
Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar
2004 J jnl
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random.
SIAM J. Control. Optim.
Ronnie Sircar, Thaleia Zariphopoulou
2004 J jnl
Maturity cycles in implied volatility.
Finance Stochastics
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
2004 J jnl
Singular Perturbations for Boundary Value Problems Arising from Exotic Options.
SIAM J. Appl. Math.
Aytaç Ílhan, Mattias Jonsson, Ronnie Sircar
2003 — conf
Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets.
CIFEr
Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar
2003 J jnl
Multiscale Stochastic Volatility Asymptotics.
Multiscale Model. Simul.
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
2003 J jnl
Singular Perturbations in Option Pricing.
SIAM J. Appl. Math.
George Papanicolaou, Jean-Pierre Fouque, Knut Solna, Ronnie Sircar