Svetlana Boyarchenko : Citation Profile


Are you Svetlana Boyarchenko?

University of Texas-Austin

10

H index

10

i10 index

243

Citations

RESEARCH PRODUCTION:

19

Articles

30

Papers

2

Books

16

Chapters

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 10
   Journals where Svetlana Boyarchenko has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 31 (11.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbo123
   Updated: 2022-08-06    RAS profile: 2022-03-06    
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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 (15)

Riedel, Frank (8)

Bisin, Alberto (4)

Gottardi, Piero (4)

Abbring, Jaap (4)

Steg, Jan-Henrik (4)

Zhao, Jinhua (4)

Moreno Gonzalez, Othon (3)

Livdan, Dmitry (3)

Fabozzi, Frank (3)

Barsotti, Flavia (3)

Cites to:

Rady, Sven (23)

Vieille, Nicolas (17)

Klein, Nicolas (15)

Carr, Peter (14)

Cavalcanti, Ricardo (14)

Eberly, Janice (11)

Bergemann, Dirk (10)

Solan, Eilon (9)

Wallace, Neil (9)

Välimäki, Juuso (9)

Wright, Randall (9)

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 Economics3
Mathematical Finance2
Economic Theory2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org6
Finance / University Library of Munich, Germany6
EERC Working Paper Series / EERC Research Network, Russia and CIS3
Microeconomics / 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
Macroeconomics / University Library of Munich, Germany2

Recent works citing Svetlana Boyarchenko (2022 and 2021)


YearTitle of citing document
2021The Likelihood of Mixed Hitting Times. (2019). Salimans, Tim ; Abbring, Jaap H. In: Papers. RePEc:arx:papers:1905.03463.

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2021First 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.

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2021Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing. (2021). Kim, Young Shin. In: Papers. RePEc:arx:papers:2101.11001.

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2021Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities. (2021). Germano, Guido ; Marazzina, Daniele ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:2106.06030.

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2022Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. (2021). Bergeron, Maxime ; Zhang, Xiaorong ; Jaimungal, Sebastian ; Ning, Brian. In: Papers. RePEc:arx:papers:2108.04941.

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2021A General Approach for Lookback Option Pricing under Markov Models. (2021). Li, Lingfei ; Zhang, Gongqiu. In: Papers. RePEc:arx:papers:2112.00439.

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2022Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Gamma-Variance Process. (2022). Nzokem, A H. In: Papers. RePEc:arx:papers:2201.03378.

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2022Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991.

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2022L\evy models amenable to efficient calculations. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2207.02359.

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2022Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2207.02858.

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2021Risk?neutral pricing techniques and examples. (2021). Jarrow, Robert ; Srapionyan, Anna ; Patie, Pierre ; Zhao, Yixuan. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:857-884.

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2021Adaptation to climate change: Extreme events versus gradual changes. (2021). Zhao, Jinhua ; Lee, Sang Jun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001974.

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2021The likelihood of mixed hitting times. (2021). Salimans, Tim ; Abbring, Jaap H. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:2:p:361-375.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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2021Extending the Fama and French model with a long term memory factor. (2021). POUCHKAREV, I ; Sanchez-Granero, M A ; Trinidad-Segovia, J E ; Lopez-Garcia, M N. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:421-426.

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2022Leaving well-worn paths: Reversal of the investment-uncertainty relationship and flexible biogas plant operation. (2022). Lukas, Elmar ; Kupfer, Stefan ; Lauven, Lars-Peter ; Briest, Gordon. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:3:p:1162-1176.

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2021Using real options to value capacity additions and investment expenditures in renewable energies in India. (2021). Gupta, Supratim Das. In: Energy Policy. RePEc:eee:enepol:v:148:y:2021:i:pa:s0301421520306273.

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2021Preemption with a second-mover advantage. (2021). Smirnov, Vladimir ; Wait, Andrew. In: Games and Economic Behavior. RePEc:eee:gamebe:v:129:y:2021:i:c:p:294-309.

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2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428.

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2022Incentivizing irreversible investment. (2022). Livdan, Dmitry ; Nezlobin, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:110531.

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2021Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing. (2021). Kim, Young Shin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:77-:d:499509.

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2022.

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2021Modelling tail risk with tempered stable distributions: an overview. (2021). Loeper, Gregoire ; Fallahgoul, Hasan. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03204-3.

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2022Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model. (2022). Kim, Young Shin. In: Annals of Operations Research. RePEc:spr:annopr:v:312:y:2022:i:2:d:10.1007_s10479-022-04613-7.

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2022.

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Works by Svetlana Boyarchenko:


YearTitleTypeCited
2004Irreversible Decisions and Record-Setting News Principles In: American Economic Review.
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article24
2018SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations In: Papers.
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paper0
2019SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS.(2019) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 0
article
2019Static and semi-static hedging as contrarian or conformist bets In: Papers.
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paper4
2020Static and semistatic hedging as contrarian or conformist bets.(2020) In: Mathematical Finance.
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This paper has another version. Agregated cites: 4
article
2019Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models In: Papers.
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paper1
2021SINH-acceleration for B-spline projection with Option Pricing Applications In: Papers.
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paper0
2004Practical guide to real options in discrete time In: Papers.
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paper12
2007PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME.(2007) In: International Economic Review.
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This paper has another version. Agregated cites: 12
article
2004Practical guide to real options in discrete time.(2004) In: Computing in Economics and Finance 2004.
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paper
2004Practical guide to real options in discrete time.(2004) In: Finance.
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This paper has another version. Agregated cites: 12
paper
2005Practical guide to real options in discrete time II.(2005) In: Finance.
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This paper has another version. Agregated cites: 12
paper
2004Universal bad news principle and pricing of options on dividend-paying assets In: Papers.
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paper1
2019Industry equilibrium with random exit or default In: Journal of Public Economic Theory.
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article1
2017EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE In: Mathematical Finance.
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article1
2006General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion In: The B.E. Journal of Theoretical Economics.
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article11
2006General option exercise rules, with applications to embedded options and monopolistic expansion.(2006) In: 2006 Meeting Papers.
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This paper has another version. Agregated cites: 11
paper
2005General option exercise rules, with applications to embedded options and monopolistic expansion.(2005) In: Finance.
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paper
2004Real options and the universal bad news principle In: Levine's Bibliography.
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paper1
2004Real options and the universal bad news principle.(2004) In: Finance.
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This paper has another version. Agregated cites: 1
paper
2001Arrows Equivalency Theorem in a Model with Neoclassical Firms In: Penn CARESS Working Papers.
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paper5
2004Arrows equivalency theorem in a model with neoclassical firms.(2004) In: Economic Theory.
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This paper has another version. Agregated cites: 5
article
2001Capital Accumulation under Non-Gaussian Processes and the Marshallian Law In: Penn CARESS Working Papers.
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paper0
2014Preemption games under Lévy uncertainty In: Games and Economic Behavior.
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article11
2014Preemption Games under Levy Uncertainty.(2014) In: Department of Economics Working Papers.
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This paper has another version. Agregated cites: 11
paper
2007Optimal stopping made easy In: Journal of Mathematical Economics.
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article23
2004Optimal stopping made easy.(2004) In: Finance.
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This paper has another version. Agregated cites: 23
paper
2008Exit problems in regime-switching models In: Journal of Mathematical Economics.
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article8
2021Inefficiency of sponsored research In: Journal of Mathematical Economics.
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article0
2003A Three-Sector Model of the Russian Virtual Economy In: EERC Working Paper Series.
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paper0
2001Money Substitutes in the Russian Virtual Economy: Sources and Impact on the Economy In: EERC Working Paper Series.
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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.
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paper0
2005American options: the EPV pricing model In: Annals of Finance.
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article12
2004American options: the EPV pricing model.(2004) In: Finance.
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paper
2010Discounting when income is stochastic and climate change policies In: MPRA Paper.
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paper0
2010Optimal stopping in Levy models, for non-monotone discontinuous payoffs In: MPRA Paper.
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paper2
2020Super- and submodularity of stopping games with random observations In: Economic Theory.
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article1
2007Irreversible Decisions under Uncertainty In: Studies in Economic Theory.
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book12
2013American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations In: Applied Mathematical Finance.
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article5
2002Pricing of perpetual Bermudan options In: Quantitative Finance.
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article7
2014Ambiguous Jump-Diffusions and Optimal Stopping In: Department of Economics Working Papers.
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paper0
2000Search-Money-and-Barter Models of Financial Stabilization In: William Davidson Institute Working Papers Series.
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paper4
2005Buridans Ass and a Menu of Options. In: Game Theory and Information.
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paper0
2004Inside and Outside Money, with an Application to the Russian Virtual Economy In: Macroeconomics.
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paper0
2004Search, layoffs and reservation wages when job offers follow a stochastic process In: Macroeconomics.
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paper0
2005A theory of endogenous time preference, and discounted utility anomalies In: Microeconomics.
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paper1
2005Discount factors ex post and ex ante, and discounted utility anomalies In: Microeconomics.
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paper4
2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF).
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article24
2011DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article7
2013EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article5
2002Non-Gaussian Merton-Black-Scholes Theory In: World Scientific Books.
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book39
2002Introduction In: World Scientific Book Chapters.
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chapter0
2002Lévy processes In: World Scientific Book Chapters.
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chapter10
2002Regular Lévy Processes of Exponential type in 1D In: World Scientific Book Chapters.
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chapter0
2002Pricing and hedging of contingent claims of European type In: World Scientific Book Chapters.
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chapter0
2002Perpetual American options In: World Scientific Book Chapters.
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chapter2
2002American options: finite time horizon In: World Scientific Book Chapters.
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chapter0
2002First-touch digitals In: World Scientific Book Chapters.
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2002Barrier options In: World Scientific Book Chapters.
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chapter5
2002Multi-asset contracts In: World Scientific Book Chapters.
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chapter0
2002Investment under uncertainty and capital accumulation In: World Scientific Book Chapters.
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chapter0
2002Endogenous default and pricing of the corporate debt In: World Scientific Book Chapters.
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chapter0
2002Fast pricing of European options In: World Scientific Book Chapters.
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chapter0
2002Discrete time models In: World Scientific Book Chapters.
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2002Feller processes of normal inverse Gaussian type In: World Scientific Book Chapters.
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chapter0
2002Pseudo-differential operators with constant symbols In: World Scientific Book Chapters.
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chapter0
2002Elements of calculus of pseudodifferential operators In: World Scientific Book Chapters.
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chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team