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Economics and Finance

D-Index
35
Citations
5904
World Ranking
2938
National Ranking
1627

Overview

Ronnie Sircar is affiliated with Princeton University in the United States and specializes in research primarily within the fields of Economics, Econometrics, and Finance. Their work spans various subfields including Finance, Economics and Econometrics, Electrical and Electronic Engineering, Global and Planetary Change, and Management Information Systems.

The primary topics covered in Sircar's research reflect a strong focus on stochastic processes and financial applications, economic theories and models, and financial markets and investment strategies. Additional areas of interest include market dynamics and volatility, financial risk and volatility modeling, smart grid energy management, and climate change policy and economics.

Sircar has published multiple papers in well-regarded academic venues. Notable recent papers include:

  • "When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance" (2024, Journal of Econometrics)
  • "A Mean Field Games Model for Cryptocurrency Mining" (2023, Management Science)
  • "A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption" (2022, SIAM Journal on Control and Optimization)
  • "Estimating the Collapse of Afghanistan's Economy Using Nightlights Data" (2022, SSRN Electronic Journal)
  • "Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem" (2020, Finance and Stochastics)

Frequently, Sircar has collaborated with several co-authors, including Yacine Aït-Sahalia, Felix Matthys, Emilio Osambela, Levon Avanesyan, and Xinshuo Yang. These collaborations have contributed to a diverse range of interdisciplinary research outputs.

Publishing venues where Sircar's work appears repeatedly include arXiv (Cornell University), SSRN Electronic Journal, SIAM Journal on Financial Mathematics, Management Science, and Journal of Econometrics. This distribution of publication outlets indicates an engagement with both preprint repositories and peer-reviewed journals in economics, finance, and optimization.

Best Publications

  • Derivatives in Financial Markets with Stochastic Volatility

    Jean-Pierre Fouque;George Papanicolaou;K. Ronnie Sircar

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

    Jean-Pierre Fouque;George Papanicolaou;Ronnie Sircar;Knut Sølna

  • Multiscale Stochastic Volatility Asymptotics

    Jean Pierre Fouque;George Papanicolaou;Ronnie Sircar;Knut Solna

  • Singular Perturbations in Option Pricing

    George Papanicolaou;Jean-Pierre Fouque;Knut Solna;Ronnie Sircar

  • An introduction to wavelets and other filtering methods in finance and economics

    Unknown

  • Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random

    Ronnie Sircar;Thaleia Zariphopoulou

  • Bertrand and Cournot Mean Field Games

    Patrick Chan;Ronnie Sircar

  • Stochastic Volatility Effects on Defaultable Bonds

    Jean‐Pierre Fouque;Ronnie Sircar;Knut S⊘lna

  • Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis

    Erhan Bayraktar;H. Vincent Poor;Ronnie Sircar

  • ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

    Tim Leung;Ronnie Sircar

  • PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

    Jean Pierre Fouque;Ronnie Sircar;Thaleia Zariphopoulou

  • A regime-switching Heston model for VIX and S&P 500 implied volatilities

    Andrew Papanicolaou;Ronnie Sircar

  • Stochastic volatility, smile & asymptotics

    K. Ronnie Sircar;George C. Papanicolaou

  • Short time-scale in S&P500 volatility

    Jean-Pierre Fouque;George Papanicolaou;Ronnie Sircar;Knut Solna

  • Optimal investment problems and volatility homogenization approximations

    Mattias Jonsson;Ronnie Sircar

  • STOCHASTIC VOLATILITY CORRECTIONS FOR INTEREST RATE DERIVATIVES

    Peter Cotton;Jean-Pierre Fouque;George Papanicolaou;Ronnie Sircar

  • Maturity cycles in implied volatility

    Jean-Pierre Fouque;George Papanicolaou;Ronnie Sircar;Knut Solna

  • A model for hedging load and price risk in the Texas electricity market

    Michael Coulon;Warren B. Powell;Ronnie Sircar

  • A Limit Theorem for Financial Markets with Inert Investors

    Erhan Bayraktar;Ulrich Horst;Ronnie Sircar

  • PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT

    Mattias Jonsson;K. Ronnie Sircar

  • Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives

    Evan Papageorgiou;Ronnie Sircar

  • Optimal Investment with Derivative Securities

    Aytaç Ílhan;Mattias Jonsson;Ronnie Sircar

Frequent Co-Authors

Wei Xiong
Wei Xiong Princeton University
H. Vincent Poor
H. Vincent Poor Princeton University
Yacine Aït-Sahalia
Yacine Aït-Sahalia Princeton University
Warren B. Powell
Warren B. Powell Princeton University

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