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Submitted for publication

  1. Hamed Amini, Andreea Minca, Oscar Peralta-Gutierrez. "Ruin-dependent bivariate stochastic fluid processes"
  2. Hamed Amini, Andreea Minca, Oscar Peralta-Gutierrez. "Duration-dependent stochastic fluid processes and solar energy revenue modeling"
  3. Amini, H., Deguest, R., Iyidogan, E., Minca, A. " Blockchain Adoption and Optimal Reinsurance Design"
  4. Hamed Amini, Zhongyuan Cao, Andreea Minca, Agnes Sulem. Ruin Probabilities for Risk Processes in Stochastic Networks.
  5. Klages-Mundt A., Minca, A and Benson A (2022), "Cascading Risks and Sensitivity in Economic Networks," Under revision for Operations Research.
  6. Minca, A and Wissel, J. (2022), "Dynamic Debt Issuance with Jumps."

Journal Articles

  1. Amini H. and Minca, A. (2023) "Cohort Effects, Voluntary Social Distancing and Life Insurance Purchases during a Pandemic." Annals of Operations Research, doi:10.1007/s10479-023-05485-1
  2. Chen Y., Minca A. And Qian X.(2023) "Clustering heterogeneous financial networks", Mathematical Finance.
  3. Chen R., Dumitrescu R., Minca A. and Sulem A. (2023) "Mean field BSDEs and global dynamic risk measures," Probability, Uncertainty and Quantitative Risk. , Volume 8, Issue 1: 33-52. Doi: 10.3934/puqr.2023002
  4. Klages-Mundt A. and Minca, A. (2022), "While Stability Lasts: A Stochastic Model of Noncustodial Stablecoins." Mathematical Finance Finalist for the INFORMS Finance Section Best Student Paper
  5. Amini H. and Minca, A.(2022) "Epidemic Spreading and Equilibrium Social Distancing in Heterogeneous Networks." Dynamic Games and Applications, volume 12, 258-287
  6. Amini H., Minca A. and Sulem A.(2021), "A dynamic contagion risk model with recovery features." Mathematics of Operations Research, 47(2).
  7. Klages-Mundt A. and Minca, A.(2021) "Optimal Intervention in Economic Networks using Influence Maximization Methods." European Journal of Operational Research, 300(3), 1136-1148.
  8. Klages-Mundt A. and Minca, A., (2020) "(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks.". Forthcoming in Cryptoeconomic Systems, MIT Press.
  9. Guo, W., and Minca, A. (2020) "Large VARX model with network regularization". Forthcoming in Journal of Network Theory in Finance.
  10. 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.
  11. Klages-Mundt A, and Minca A. (2020) "Cascading Losses in Reinsurance Networks.". Management Science (Stochastic Models and Simulations Area).
  12. 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.
  13. Minca, A., and Wissel, J. (2020) "Dynamic Leveraging-Deleveraging Games.". Operations Research.
  14. 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.
  15. Jarrow R., Krishenik, A., and Minca, A.(2018) Optimal cash holdings under heterogenous beliefs. Mathematical Finance, Vol. 28, Issue 2, pp. 712-747.
  16. Amini, H., Minca, A., and Sulem, A.(2017) "Optimal equity infusions in financial networks". Journal of Financial Stability, 31: 1--17.
  17. Avram F. and Minca, A. (2017). On the central management of risk networks. Advances in Applied Probability, Volume 49, Issue 1.
  18. Amini, H. and Minca, A.(2016) Inhomogeneous Financial Networks and Contagious Links. Operations Research, 64(5): 1109-1120.
  19. Amini, H., Cont R., and Minca, A. (2016). Resilience to contagion in financial networks. Mathematical Finance, 26(2), 329-365.
  20. 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.
  21. Cont, R., and Minca, A. (2016). Credit default swaps and systemic risk. Annals of Operations Research, 247(2), pp 523-547.
  22. 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.
  23. 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.
  24. 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 .
  25. Guo, W., Minca, A. and Wang L. (2015). "The Topology of Overlapping Portfolio Networks". Statistics and Risk Modeling, 33(3-4):139-155.
  26. Minca, A., and Sulem, A. (2014). "Optimal control of interbank contagion under complete information". Statistics and Risk Modeling, 31(1):23-48.
  27. Cont, R. and Minca, A. (2013). Recovering portfolio default intensities implied by CDO quotes. Mathematical Finance, 23(1):94--121.
  28. Amini, H., Cont R., and Minca, A. (2012). "Stress testing the resilience of financial networks". International Journal of Theoretical and Applied Finance, 15(01)
  29. Peer-reviewed book chapters and conference proceedings

    1. Huo L., Klages-Mundt A., Minca A., Munter F., Wind M. " Decentralized Governance of Stablecoins with Option Pricing" In MARBLE, The 3rd International Conference on Mathematical Research for Blockchain Economy.
    2. 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 .
    3. 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.
    4. 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 .
    5. 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)
    6. 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.
    7. 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.
    8. 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.
    9. 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.

    PhD Thesis

Contact Information

Andreea Minca
Cornell University
222 Rhodes Hall
Ithaca, NY 14853

(607) 255-9133 - phone
(607) 255-9129 - fax