Faculty

Institution

Unit

Venue

Ronnie Sircar

Eugene Higgins Professor of Operations Research and Financial Engineering

Princeton University

Affiliations

Department of Operations Research and Financial Engineering

Ronnie Sircar is currently serving as an Operations Research And Financial Engineering Eugene Higgins Professor of Operations Research and Financial Engineering at Princeton University.

Honors

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Experiences

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Education

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Ronnie Sircar

Princeton University

Eugene Higgins Professor of Operations Research and Financial Engineering

You can click a keyword to filter the displayed items

finance financial economics mathematical finance empirical finance economics applied mathematics option pricing asset pricing social sciences social science research risk management portfolio optimization financial mathematics game theory volatility modeling stochastic volatility valuation control optimization investment management mathematical optimization econometrics derivative pricing dynamic economics credit derivatives multiscale intensity models economic modelling statistical methodology filtering technique decision analysis financial econometrics behavioral finance electricity markets financial risk management singular perturbations risk aversion implied volatility asymmetric costs optimal investment optimal static-dynamic hedges multi-name credit derivatives utility valuation forward performance processes exponential hedging optimal stopping exotic options american options economic analysis blockchain management science theoretical economics financial stability digital medicine health law molecular diagnostics public health ethics strategic studies economic dynamics wavelet theory bond markets energy finance cost allocations economic evaluation hydraulic fracturing computational finance financial modeling credit markets asset allocation energy commodities commodity markets energy production timing analysis time perception happiness queueing theory mathematical control theory control science stochastic control

Video Presentations

Notable Scholarly Works

Notable Federal Grants

Collaborators

Estimating the Collapse of Afghanistan’s Economy Using Nightlights Data. PLoS ONE (2024)

Till Raphael SaengerEthan B. KapsteinRonnie Sircar

macroeconomicsstrategic studieseconomic historyeconomicssocial sciencesfinancenightlights datadevelopment economicssocial science researcheconomic growth

When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance. Journal of Econometrics (2024)

Yacine Aït-SahaliaFelix MatthysEmilio OsambelaRonnie Sircar

econometricsfinancial econometricseconomicsempirical financeportfolio performanceasset pricing

A Mean Field Games Model for Cryptocurrency Mining. Management Science (2023)

Zongxi LiA. Max ReppenRonnie Sircar

managementblockchaincryptocurrency mininggame theorymanagement science

Stochastic Models, Indices Optimization Algorithms for Pricing Hedging Reliability Risks in Modern Power Grids: Data Plan - Princeton. (2023)

Rene CarmonaMike Mike LudkovskiRonnie SircarGlen Swindle

reliability engineeringpower system optimizationcontrol optimizationdata sciencemodern power gridselectric power systemsrisk managementoptimization algorithmsdata planpower grid operationsreliability riskssystemic riskstochastic modelsgrid stabilityelectrical gridselectricity marketspower system reliabilitysystems engineeringinsuranceelectrical engineeringsmart grid

Accelerated Share Repurchases Under Stochastic Volatility. Applied Mathematical Finance (2022)

Nikhil KrishnanRonnie Sircar

financial economicsmathematical financefinanceempirical financestochastic volatilitycorporate financeapplied mathematicsoption pricingasset pricing

A Maximum Principle Approach to a Deterministic Mean Field Game of Control With Absorption. SIAM Journal on Control and Optimization (2022)

Paulwin GraeweUlrich HorstRonnie Sircar

mathematical control theorygame theorycontrol optimizationcontrol science

Master Equation for Cournot Mean Field Games of Control With Absorption. Journal of Differential Equations (2022)

P. Jameson GraberRonnie Sircar

master equationgame theoryabsorptionapplied mathematics

Power Mixture Forward Performance Processes. SIAM Journal on Financial Mathematics (2022)

Levon AvanesyanRonnie Sircar

financial mathematicsmathematical financeperformance processesfinanceapplied mathematicspower mixture

Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets. SIAM Journal on Financial Mathematics (2022)

Jean-Pierre FouqueRuimeng HuRonnie Sircar

mathematical financeportfolio optimizationfinancial mathematicsfinance

References. Edward Elgar Publishing eBooks (2021)

Andrew JohnstonRobert Huggins

strategic managemententrepreneurshipmanagementsocial innovationuniversity knowledgeinterorganizational relationshipsbusinesstechnology transfercollaboration processinter-firm coordinationuniversity collaborationsmall business managementindustrial collaboration

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Ronnie Sircar

Eugene Higgins Professor of Operations Research and Financial Engineering

Princeton University

Affiliations

Department of Operations Research and Financial Engineering

Ronnie Sircar is currently serving as an Operations Research And Financial Engineering Eugene Higgins Professor of Operations Research and Financial Engineering at Princeton University.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Ronnie Sircar

Princeton University

Eugene Higgins Professor of Operations Research and Financial Engineering

You can click a keyword to filter the displayed items

Video Presentations

Notable Scholarly Works

Notable Federal Grants

Collaborators

Estimating the Collapse of Afghanistan’s Economy Using Nightlights Data. PLoS ONE (2024)

Till Raphael SaengerEthan B. KapsteinRonnie Sircar

macroeconomicsstrategic studieseconomic historyeconomicssocial sciencesfinancenightlights datadevelopment economicssocial science researcheconomic growth

When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance. Journal of Econometrics (2024)

Yacine Aït-SahaliaFelix MatthysEmilio OsambelaRonnie Sircar

econometricsfinancial econometricseconomicsempirical financeportfolio performanceasset pricing

A Mean Field Games Model for Cryptocurrency Mining. Management Science (2023)

Zongxi LiA. Max ReppenRonnie Sircar

managementblockchaincryptocurrency mininggame theorymanagement science

Stochastic Models, Indices Optimization Algorithms for Pricing Hedging Reliability Risks in Modern Power Grids: Data Plan - Princeton. (2023)

Rene CarmonaMike Mike LudkovskiRonnie SircarGlen Swindle

Accelerated Share Repurchases Under Stochastic Volatility. Applied Mathematical Finance (2022)

Nikhil KrishnanRonnie Sircar

financial economicsmathematical financefinanceempirical financestochastic volatilitycorporate financeapplied mathematicsoption pricingasset pricing

A Maximum Principle Approach to a Deterministic Mean Field Game of Control With Absorption. SIAM Journal on Control and Optimization (2022)

Paulwin GraeweUlrich HorstRonnie Sircar

mathematical control theorygame theorycontrol optimizationcontrol science

Master Equation for Cournot Mean Field Games of Control With Absorption. Journal of Differential Equations (2022)

P. Jameson GraberRonnie Sircar

master equationgame theoryabsorptionapplied mathematics

Power Mixture Forward Performance Processes. SIAM Journal on Financial Mathematics (2022)

Levon AvanesyanRonnie Sircar

financial mathematicsmathematical financeperformance processesfinanceapplied mathematicspower mixture

Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets. SIAM Journal on Financial Mathematics (2022)

Jean-Pierre FouqueRuimeng HuRonnie Sircar

mathematical financeportfolio optimizationfinancial mathematicsfinance

References. Edward Elgar Publishing eBooks (2021)

Andrew JohnstonRobert Huggins

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