معرفی
Ronnie Sircar is the Eugene Higgins Professor of Operations Research and Financial Engineering at Princeton University, where he contributes to the Department of Operations Research and Financial Engineering (ORFE). His work spans financial mathematics, stochastic modeling, and applied probability, with a focus on market volatility, optimal investment strategies, and dynamic game theory.
- Email: sircar@princeton.edu
- Office: Sherrerd Hall, Room 208, Princeton, NJ 08544
His research interests include:
- Stochastic Volatility: Asymptotic analysis, calibration, and impact on option pricing and portfolio optimization.
- Mean Field Games: Applications to cryptocurrency mining, energy markets, and interbank network formation.
- Portfolio Theory: Forward performance processes, drawdown constraints, and risk-averse strategies.
- Credit Risk: Multi-name credit derivatives, CDO valuation, and risk measures.
- Energy Systems: Renewable reliability, unit commitment, and electricity market design.
Recent publications emphasize mean field games in energy and blockchain, stochastic volatility in portfolio optimization, and machine learning applications for financial engineering. He has advised graduate students such as Giulia Crippa, Nicolas Garcia, and Burak Aydin, often collaborating with researchers including M. Soner, P. Chan, and A.M. Reppen.
