Submitted for publication
- Amini, H., Deguest, R., Iyidogan, E., Minca, A. " Blockchain Adoption and Optimal Reinsurance Design"
- Huo L., Klages-Mundt A., Minca A., Munter F., Wind M. " Decentralized Governance of Stablecoins with Option Pricing"
- Amini H. and Minca, A. "Cohort Effects, Voluntary Social Distancing and Life Insurance Purchases during a Pandemic."
- Qian X., Chen Y. and Minca A. "Perfect Clustering for Degree Corrected Stochastic Block Models with Outliers".
- Klages-Mundt A. and Minca, A., "While Stability Lasts: A Stochastic Model of Stablecoins." Finalist for the INFORMS Finance Section Best Student Paper
- Chen R., Dumitrescu R., Minca A. and Sulem A., "Mean field BSDEs and global dynamic risk measures."
Journal Articles
- Amini H., Minca A. and Sulem A., "A dynamic contagion risk model with recovery features." Forthcoming in Mathematics of Operations Research.
- Amini H. and Minca, A. "Epidemic Spreading and Equilibrium Social Distancing in Heterogeneous Networks." Forthcoming in Dynamic Games and Applications.
- Klages-Mundt A. and Minca, A. "Optimal Intervention in Economic Networks using Influence Maximization Methods." Forthcoming in European Journal of Operational Research.
- Klages-Mundt A. and Minca, A., "(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks.". Forthcoming in Cryptoeconomic Systems, MIT Press.
- Guo, W., and Minca, A. "Large VARX model with network regularization". Forthcoming in Journal of Network Theory in Finance.
- Amini, H., D. Filipovic, and Minca, A. (2020) "Systemic risk in networks with a central node". SIAM Journal on Financial Mathematics, 11(1), 60-98.
- Klages-Mundt A, and Minca A. (2020) "Cascading Losses in Reinsurance Networks.". Management Science (Stochastic Models and Simulations Area).
- Pozzi, M., Malings, C., and Minca, A. (2020) "Information avoidance and overvaluation under epistemic constraints: principles and implications for regulatory policies." Reliability Engineering and System Safety.
- Minca, A., and Wissel, J. (2020) "Dynamic Leveraging-Deleveraging Games.". Operations Research.
- Braverman A. and Minca, A.(2018) "Networks of common asset holdings: aggregation and measures of vulnerability." Journal of Network Theory in Finance , 4(3): 53-78.
- Jarrow R., Krishenik, A., and Minca, A.(2018) Optimal cash holdings under heterogenous beliefs. Mathematical Finance, Vol. 28, Issue 2, pp. 712-747.
- Amini, H., Minca, A., and Sulem, A.(2017) "Optimal equity infusions in financial networks". Journal of Financial Stability, 31: 1--17.
- Avram F. and Minca, A. (2017). On the central management of risk networks. Advances in Applied Probability, Volume 49, Issue 1.
- Amini, H. and Minca, A.(2016) Inhomogeneous Financial Networks and Contagious Links. Operations Research, 64(5): 1109-1120.
- Amini, H., Cont R., and Minca, A. (2016). Resilience to contagion in financial networks. Mathematical Finance, 26(2), 329-365.
- Amini, H., D. Filipovic, and Minca, A. (2016). Uniqueness of Equilibrium in a Payment System with Liquidation Costs. Operations Research Letters, 44(1):1-5.
- Cont, R., and Minca, A. (2016). Credit default swaps and systemic risk. Annals of Operations Research, 247(2), pp 523-547.
- Amini, H., D. Filipovic, and Minca, A. (2015). To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting. Operations Research, 64(5): 1135-1142.
- Krishenik, A., Minca, A., and Wissel, J. (2015). When do creditors with heterogeneous beliefs agree to run?. Finance and Stochastics, Volume 19, Issue 2, pp 233-259. Video available here.
- Amini, H., Minca, A., and Sulem, A. (2015). Control of interbank contagion under partial information. SIAM Journal on Financial Mathematics, 6(1), 1195-1219 VIDEO .
- Guo, W., Minca, A. and Wang L. (2015). "The Topology of Overlapping Portfolio Networks". Statistics and Risk Modeling, 33(3-4):139-155.
- Minca, A., and Sulem, A. (2014). "Optimal control of interbank contagion under complete information". Statistics and Risk Modeling, 31(1):23-48.
- Cont, R. and Minca, A. (2013). Recovering portfolio default intensities implied by CDO quotes. Mathematical Finance, 23(1):94--121.
- Amini, H., Cont R., and Minca, A. (2012). "Stress testing the resilience of financial networks". International Journal of Theoretical and Applied Finance, 15(01)
- Xie Q., Yang Z., Wang Z., Minca A.(2021) "Provable Fictitious Play for General Mean-Field Games". In International Conference on Machine Learning ICML '21 .
- Amini, H., Minca, A. (2020). Clearing Financial Networks: Impact on Equilibrium Asset Prices and Seniority of Claims. In TutORials in Operations Research . Pushing the Boundaries: Frontiers in Impactful OR/OM Research, 154-175.
- Klages-Mundt, A., Harz, D., Gudgeon, L., Liu, J.-Y. and Minca, A. (2020). Stablecoins 2.0: Economic Foundations and Risk-based Models. In ACM Advances in Financial Technologies AFT '20 .
- Pozzi, M., Mailings, C. and Minca, A. (2017). Negative value of information in systems' maintenance. In Proc. of the 11th International Conference on Structural Safety and Reliability (ICOSSAR2017)
- Chen R., Minca, A and Sulem A. (2017). Optimal connectivity for a large financial network. In ESAIM: Proceedings and Surveys, Vol. 59, p. 43-55.
- Avram, F. and Minca, A. (2015). Steps towards a toolkit for central management of risk networks, using rational approximations and matrix scale functions. In A.B.Piunovskiy, Editor, Modern Trends in Controlled Stochastic Processes: Theory and Applications, Volume II.
- Amini, H. and Minca, A. (2013). Mathematical modeling of systemic risk, in Advances in Network Analysis and its Applications, Editor: Kranakis, E., Springer Berlin Heidelberg, 2013, volume 18 of Mathematics in Industry, pages 3--26.
- Amini H, Cont R, Minca A (2012). Stress Testing the Resilience of Financial Networks, in: Finance at Fields, Editor(s): Grasselli, Hughston, World Scientific Publishing Company, 2012, Pages: 17-36.
- Minca, A. (2011). Mathematical modeling of financial contagion, PhD Thesis, Paris 6 Pierre et Marie Curie University.
Peer-reviewed book chapters and conference proceedings
Thesis
Contact Information
Andreea Minca
Cornell University
222 Rhodes Hall
Ithaca, NY 14853
(607) 255-9133 - phone
(607) 255-9129 - fax