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Ronnie Sircar

Ronnie Sircar

Princeton University

Ronnie Sircar is the Eugene Higgins Professor of Operations Research and Financial Engineering (ORFE) at Princeton University. His research has been funded by NSF and ARPA-E, as well as industry contracts. His interests center on Financial Mathematics, specifically stochastic volatility models, energy markets and electricity grids, credit risk, asymptotic and computational methods, portfolio optimization and stochastic control problems, and stochastic differential games. He is a co-author of the book Multiscale Stochastic Volatility for Equity, Interest-Rate and Credit Derivatives, published by Cambridge University Press in 2011, and was founding co-editor-in-chief of the <em>SIAM Journal on Financial Mathematics</em>, from 2009-2015. He was made a Fellow of the Society for Industrial and Applied Mathematics (SIAM) in 2020 for “contributions to financial mathematics and asymptotic methods for stochastic control and differential games.”

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Articles by Ronnie Sircar