Nicola Bruti-Liberati : Citation Profile


Deceased: 2007-08-28

4

H index

2

i10 index

74

Citations

RESEARCH PRODUCTION:

5

Articles

9

Papers

1

Books

RESEARCH ACTIVITY:

   3 years (2004 - 2007). See details.
   Cites by year: 24
   Journals where Nicola Bruti-Liberati has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 5 (6.33 %)

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   Permalink: http://citec.repec.org/pbr185
   Updated: 2021-11-28    RAS profile:    
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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 Nicola Bruti-Liberati.

Is cited by:

Platen, Eckhard (19)

Gnoatto, Alessandro (2)

Schlogl, Erik (2)

Alexeev, Alexander (2)

Shin, Yongseok (2)

Nikitopoulos-Sklibosios, Christina (2)

Kristensen, Dennis (2)

Bonatti, Alessandro (1)

Shi, Lei (1)

Marinacci, Massimo (1)

Baldeaux, Jan (1)

Cites to:

Platen, Eckhard (63)

Nikitopoulos-Sklibosios, Christina (8)

Кабанов, Юрий (5)

merton, robert (5)

Jorion, Philippe (4)

Jarrow, Robert (4)

Duffie, Darrell (3)

Sanders, Anthony (2)

Merener, Nicolas (2)

Lando, David (2)

Chiarella, Carl (2)

Main data


Where Nicola Bruti-Liberati has published?


Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney9

Recent works citing Nicola Bruti-Liberati (2021 and 2020)


YearTitle of citing document
2020Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes. (2020). Yang, Jingping ; Zang, Xin ; Jiang, Fan. In: Papers. RePEc:arx:papers:2003.06218.

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2020Existence of equivalent local martingale deflators in semimartingale market models. (2020). Platen, Eckhard ; Tappe, Stefan. In: Papers. RePEc:arx:papers:2006.01572.

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2020LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC. (2020). Fergusson, Kevin. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:381-417_3.

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2020The Ornstein-Uhlenbeck process for estimating wind power under a memoryless transformation. (2020). Badaoui, Mohamed ; Arenas-Lopez, Pablo J. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220319496.

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2021On the MS-stability of predictor–corrector schemes for stochastic differential equations. (2021). Senosiain, M J ; Zeghdane, R ; Tocino, A. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:180:y:2021:i:c:p:289-305.

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2021Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps. (2021). Xu, Fanhui ; Szolgyenyi, Michaela ; Przybyowicz, Pawe. In: Statistics & Probability Letters. RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000341.

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2021Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1. (2021). Kegnenlezom, Martin ; Fadonougbo, Renaud ; Kouassi, Eugene ; Soh, Patrice Takam. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:2:d:10.1007_s00180-020-01040-9.

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2020Term structure modelling for multiple curves with stochastic discontinuities. (2020). Fontana, Claudio ; Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5.

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2020Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:412.

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2020Exact pathwise simulation of multi-dimensional Ornstein–Uhlenbeck processes. (2020). Jimenez, J C ; de la Cruz, H. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:366:y:2020:i:c:s009630031930726x.

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Works by Nicola Bruti-Liberati:


YearTitleTypeCited
2006First Order Strong Approximations of Jump Diffusions In: Monte Carlo Methods and Applications.
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article3
2008A hardware generator of multi-point distributed random numbers for Monte Carlo simulation In: Mathematics and Computers in Simulation (MATCOM).
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article4
2005A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation.(2005) In: Research Paper Series.
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This paper has another version. Agregated cites: 4
paper
2009Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets.
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article0
2009Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series.
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This paper has another version. Agregated cites: 0
paper
2007Approximation of jump diffusions in finance and economics In: Computational Economics.
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article7
2006Approximation of Jump Diffusions in Finance and Economics.(2006) In: Research Paper Series.
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This paper has another version. Agregated cites: 7
paper
2010Real-world jump-diffusion term structure models In: Quantitative Finance.
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article13
2007Numerical Solution of Stochastic Differential Equations with Jumps in Finance In: PhD Thesis.
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book27
2004On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance In: Research Paper Series.
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paper4
2005On the Strong Approximation of Jump-Diffusion Processes In: Research Paper Series.
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paper4
2005On the Strong Approximation of Pure Jump Processes In: Research Paper Series.
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paper0
2006On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance In: Research Paper Series.
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paper3
2007Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models In: Research Paper Series.
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paper3
2008Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations In: Research Paper Series.
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paper6

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