Svetlana Boyarchenko : Citation Profile


Are you Svetlana Boyarchenko?

University of Texas-Austin

8

H index

7

i10 index

171

Citations

RESEARCH PRODUCTION:

18

Articles

29

Papers

2

Books

16

Chapters

RESEARCH ACTIVITY:

   22 years (1998 - 2020). See details.
   Cites by year: 7
   Journals where Svetlana Boyarchenko has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 28 (14.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo123
   Updated: 2020-10-17    RAS profile: 2020-06-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Svetlana Boyarchenko.

Is cited by:

Alvarez, Luis (14)

Steg, Jan-Henrik (4)

Bisin, Alberto (3)

Weron, Rafał (3)

Barsotti, Flavia (3)

Abbring, Jaap (3)

Moreno Gonzalez, Othon (3)

Riedel, Frank (3)

Gottardi, Piero (3)

Fabozzi, Frank (3)

Lempa, Jukka (2)

Cites to:

Cavalcanti, Ricardo (12)

Rady, Sven (11)

Vieille, Nicolas (10)

Eberly, Janice (8)

Wallace, Neil (8)

Abel, Andrew (8)

Wright, Randall (8)

Loewenstein, George (7)

Pindyck, Robert (7)

Fudenberg, Drew (7)

Kort, Peter (7)

Main data


Where Svetlana Boyarchenko has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)4
Journal of Mathematical Economics2
Mathematical Finance2
Economic Theory2

Working Papers Series with more than one paper published# docs
Finance / University Library of Munich, Germany6
Papers / arXiv.org5
EERC Working Paper Series / EERC Research Network, Russia and CIS3
Macroeconomics / University Library of Munich, Germany2
Department of Economics Working Papers / The University of Texas at Austin, Department of Economics2
MPRA Paper / University Library of Munich, Germany2
Microeconomics / University Library of Munich, Germany2

Recent works citing Svetlana Boyarchenko (2020 and 2019)


YearTitle of citing document
2019Tempered stable distributions and processes. (2019). Tappe, Stefan ; Kuchler, Uwe. In: Papers. RePEc:arx:papers:1907.05141.

Full description at Econpapers || Download paper

2019Exponential stock models driven by tempered stable processes. (2019). Tappe, Stefan ; Kuchler, Uwe. In: Papers. RePEc:arx:papers:1907.05142.

Full description at Econpapers || Download paper

2020Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing. (2020). Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.09911.

Full description at Econpapers || Download paper

2020A Knightian Irreversible Investment Problem. (2020). Riedel, Frank ; Li, Hanwu ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2003.14359.

Full description at Econpapers || Download paper

2020First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process. (2020). Sengupta, Indranil ; Awasthi, Shantanu. In: Papers. RePEc:arx:papers:2006.07167.

Full description at Econpapers || Download paper

2020Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk. (2020). Kim, Young Shin. In: Papers. RePEc:arx:papers:2007.13972.

Full description at Econpapers || Download paper

2020A Knightian Irreversible Investment Problem. (2020). Ferrari, Giorgio ; Riedel, Frank ; Li, Hanwu. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:634.

Full description at Econpapers || Download paper

2019Preemption Contests Between Groups. (2019). Malueg, David A ; Konrad, Kai A ; Barbieri, Stefano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13738.

Full description at Econpapers || Download paper

2020Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail. (2020). Trigeorgis, Lenos ; Driouchi, Tarik. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919309332.

Full description at Econpapers || Download paper

2020An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186.

Full description at Econpapers || Download paper

2019Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI. (2019). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:176:y:2019:i:c:p:900-916.

Full description at Econpapers || Download paper

2019Nonexistence of constrained efficient production plans. (2019). Zierhut, Michael. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:83:y:2019:i:c:p:127-136.

Full description at Econpapers || Download paper

2019On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps. (2019). Guesmi, Khaled ; Goutte, Stéphane ; Chevallier, Julien ; Saadi, Samir. In: Working Papers. RePEc:hal:wpaper:halshs-02120636.

Full description at Econpapers || Download paper

2019Study of the dynamic of Bitcoins price. (2019). Guesmi, Khaled ; Goutte, Stéphane ; Chevallier, Julien ; Saadi, Samir. In: Working Papers. RePEc:hal:wpaper:halshs-02175669.

Full description at Econpapers || Download paper

2020Option-Implied Intrahorizon Value at Risk. (2020). Leippold, Markus ; Vasiljevi, Nikola. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:397-414.

Full description at Econpapers || Download paper

2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

Full description at Econpapers || Download paper

2020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Kirkby, Lars J ; Nguyen, Duy. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0.

Full description at Econpapers || Download paper

Works by Svetlana Boyarchenko:


YearTitleTypeCited
2004Irreversible Decisions and Record-Setting News Principles In: American Economic Review.
[Full Text][Citation analysis]
article19
2018SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations In: Papers.
[Full Text][Citation analysis]
paper0
2019SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS.(2019) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2019Static and semi-static hedging as contrarian or conformist bets In: Papers.
[Full Text][Citation analysis]
paper1
2020Static and semistatic hedging as contrarian or conformist bets.(2020) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2019Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models In: Papers.
[Full Text][Citation analysis]
paper0
2004Practical guide to real options in discrete time In: Papers.
[Full Text][Citation analysis]
paper10
2007PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME.(2007) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2004Practical guide to real options in discrete time.(2004) In: Computing in Economics and Finance 2004.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2004Practical guide to real options in discrete time.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2005Practical guide to real options in discrete time II.(2005) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2004Universal bad news principle and pricing of options on dividend-paying assets In: Papers.
[Full Text][Citation analysis]
paper1
2019Industry equilibrium with random exit or default In: Journal of Public Economic Theory.
[Full Text][Citation analysis]
article0
2017EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE In: Mathematical Finance.
[Full Text][Citation analysis]
article0
2006General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion In: The B.E. Journal of Theoretical Economics.
[Full Text][Citation analysis]
article9
2006General option exercise rules, with applications to embedded options and monopolistic expansion.(2006) In: 2006 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2005General option exercise rules, with applications to embedded options and monopolistic expansion.(2005) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2004Real options and the universal bad news principle In: Levine's Bibliography.
[Full Text][Citation analysis]
paper1
2004Real options and the universal bad news principle.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2001Arrows Equivalency Theorem in a Model with Neoclassical Firms In: Penn CARESS Working Papers.
[Full Text][Citation analysis]
paper4
2004Arrows equivalency theorem in a model with neoclassical firms.(2004) In: Economic Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2001Capital Accumulation under Non-Gaussian Processes and the Marshallian Law In: Penn CARESS Working Papers.
[Full Text][Citation analysis]
paper0
2014Preemption games under Lévy uncertainty In: Games and Economic Behavior.
[Full Text][Citation analysis]
article8
2014Preemption Games under Levy Uncertainty.(2014) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2007Optimal stopping made easy In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article12
2004Optimal stopping made easy.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2008Exit problems in regime-switching models In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article7
2003A Three-Sector Model of the Russian Virtual Economy In: EERC Working Paper Series.
[Full Text][Citation analysis]
paper0
2001Money Substitutes in the Russian Virtual Economy: Sources and Impact on the Economy In: EERC Working Paper Series.
[Full Text][Citation analysis]
paper0
1998Models of Investment under Uncertainty when Shocks are Non-Gaussian. On the Impact of the Policy Uncertainty on Investment In: EERC Working Paper Series.
[Full Text][Citation analysis]
paper1
2005American options: the EPV pricing model In: Annals of Finance.
[Full Text][Citation analysis]
article10
2004American options: the EPV pricing model.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2010Discounting when income is stochastic and climate change policies In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2010Optimal stopping in Levy models, for non-monotone discontinuous payoffs In: MPRA Paper.
[Full Text][Citation analysis]
paper2
Super- and submodularity of stopping games with random observations In: Economic Theory.
[Full Text][Citation analysis]
article0
2007Irreversible Decisions under Uncertainty In: Studies in Economic Theory.
[Citation analysis]
book2
2013American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article4
2002Pricing of perpetual Bermudan options In: Quantitative Finance.
[Full Text][Citation analysis]
article5
2014Ambiguous Jump-Diffusions and Optimal Stopping In: Department of Economics Working Papers.
[Full Text][Citation analysis]
paper0
2000Search-Money-and-Barter Models of Financial Stabilization In: William Davidson Institute Working Papers Series.
[Full Text][Citation analysis]
paper4
2005Buridans Ass and a Menu of Options. In: Game Theory and Information.
[Full Text][Citation analysis]
paper0
2004Inside and Outside Money, with an Application to the Russian Virtual Economy In: Macroeconomics.
[Full Text][Citation analysis]
paper0
2004Search, layoffs and reservation wages when job offers follow a stochastic process In: Macroeconomics.
[Full Text][Citation analysis]
paper0
2005A theory of endogenous time preference, and discounted utility anomalies In: Microeconomics.
[Full Text][Citation analysis]
paper1
2005Discount factors ex post and ex ante, and discounted utility anomalies In: Microeconomics.
[Full Text][Citation analysis]
paper4
2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article13
2011DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article5
2013EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article2
2002Non-Gaussian Merton-Black-Scholes Theory In: World Scientific Books.
[Full Text][Citation analysis]
book29
2002Introduction In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Lévy processes In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter10
2002Regular Lévy Processes of Exponential type in 1D In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Pricing and hedging of contingent claims of European type In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Perpetual American options In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter2
2002American options: finite time horizon In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002First-touch digitals In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Barrier options In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter5
2002Multi-asset contracts In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Investment under uncertainty and capital accumulation In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Endogenous default and pricing of the corporate debt In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Fast pricing of European options In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Discrete time models In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Feller processes of normal inverse Gaussian type In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Pseudo-differential operators with constant symbols In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2002Elements of calculus of pseudodifferential operators In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team