7
H index
4
i10 index
115
Citations
Nadima El-Hassan : Citation Profile
University of Technology Sydney | RESEARCH PRODUCTION: 4 Articles 14 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (1996 - 2013). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Nadima El-Hassan. | Is cited by:
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Main data
Where Nadima El-Hassan has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Economic Dynamics and Control | 2 |
Recent works citing Nadima El-Hassan (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2022 | Reconciling TEV and VaR in Active Portfolio Management: A New Frontier. (2022). Riccetti, Luca ; Palomba, Giulio ; Nicolau, Mihaela ; Lucchetti, Riccardo (Jack). In: Working Papers. RePEc:anc:wpaper:461. Full description at Econpapers || Download paper |
| 2021 | A Bayesian take on option pricing with Gaussian processes. (2021). Roberts, Stephen ; Tegner, Martin. In: Papers. RePEc:arx:papers:2112.03718. Full description at Econpapers || Download paper |
| 2021 | Variance minimizing strategies for stochastic processes with applications to tracking stock indices. (2021). Oh Kang Kwon, ; Elhassan, Nadima ; Colwell, David B. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:430-446. Full description at Econpapers || Download paper |
| 2021 | Comparing the performance and composition of tracking error constrained and unconstrained portfolios. (2021). van Vuuren, Gary W ; du Sart, Colin F. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:276-287. Full description at Econpapers || Download paper |
| 2021 | Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations*. (2021). Treccani, Adrien ; Scheidegger, Simon. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:2:p:258-290.. Full description at Econpapers || Download paper |
| 2022 | Pricing vulnerable options under correlated skew Brownian motions. (2022). Wang, Xingchun ; Guo, Che. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:852-867. Full description at Econpapers || Download paper |
Works by Nadima El-Hassan:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1999 | Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 32 |
| 2007 | Hedging diffusion processes by local risk minimization with applications to index tracking In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 6 |
| 2004 | Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2003 | An Implementation of Bouchouevs Method for a Short Time Calibration of Option Pricing Models In: Computational Economics. [Full Text][Citation analysis] | article | 2 |
| 2003 | Tracking Error and Active Portfolio Management In: Australian Journal of Management. [Full Text][Citation analysis] | article | 17 |
| 2003 | Tracking Error and Active Portfolio Management.(2003) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2000 | THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS In: Computing in Economics and Finance 2000. [Citation analysis] | paper | 0 |
| 2002 | A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models. In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2002 | The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 14 | |
| 1999 | Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2004 | Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Self-funding Instalment Warrants In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2000 | The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option In: Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2000 | The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology In: Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
| 1996 | A Preference Free Partial Differential Equation for the Term Structure of Interest Rates In: Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 1997 | Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques In: Working Paper Series. [Full Text][Citation analysis] | paper | 14 |
| 1997 | A Survey of Models for the Pricing of Interest Rate Derivatives In: Working Paper Series. [Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team