Professor Robert L. Geske : Citation Profile


Are you Professor Robert L. Geske?

University of California-Los Angeles (UCLA)

10

H index

10

i10 index

888

Citations

RESEARCH PRODUCTION:

13

Articles

5

Papers

RESEARCH ACTIVITY:

   24 years (1977 - 2001). See details.
   Cites by year: 37
   Journals where Professor Robert L. Geske has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 2 (0.22 %)

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   Permalink: http://citec.repec.org/pge214
   Updated: 2019-04-20    RAS profile: 2013-11-01    
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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 Professor Robert L. Geske.

Is cited by:

Chiarella, Carl (11)

van wouwe, martine (8)

Engelen, Peter-Jan (8)

Gamba, Andrea (8)

Lo, Andrew (8)

Li, Minqiang (8)

Giandomenico, Rossano (7)

Giandomenico, Rossano (7)

Giandomenico, Rossano (7)

Giandomenico, Rossano (7)

Cassimon, Danny (7)

Cites to:

Duffie, Darrell (3)

Scholes, Myron (3)

Roll, Richard (2)

merton, robert (2)

Singleton, Kenneth (2)

Duffee, Greg (2)

Longstaff, Francis (2)

French, Kenneth (1)

Campbell, John (1)

Subrahmanyam, Avanidhar (1)

Jarrow, Robert (1)

Main data


Where Professor Robert L. Geske has published?


Journals with more than one article published# docs
Journal of Finance5
Journal of Financial Economics4
Journal of Financial and Quantitative Analysis3

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA5

Recent works citing Professor Robert L. Geske (2018 and 2017)


YearTitle of citing document
2017The Convexity of the Free Boundary for the American put option. (2017). liu, Hsuan-Ku . In: Papers. RePEc:arx:papers:1304.5337.

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2017General dynamic term structures under default risk. (2017). Fontana, Claudio ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1603.03198.

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2018On the existence of sure profits via flash strategies. (2018). Platen, Eckhard ; Pelger, Markus ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1708.03099.

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2017Pricing compound and extendible options under mixed fractional Brownian motion with jumps. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1708.04829.

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2018Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon. (2018). , Hyong-Chol ; Jon, Il-Gwang ; Kim, Jong-Chol . In: Papers. RePEc:arx:papers:1709.06517.

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2019A Term Structure Model for Dividends and Interest Rates. (2018). Filipovi, Damir ; Willems, Sander. In: Papers. RePEc:arx:papers:1803.02249.

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2018Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series. (2018). Chan, Tat Lung ; Hale, Nicholas. In: Papers. RePEc:arx:papers:1811.09257.

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2017AN OPTION VALUATION FRAMEWORK BASED ON ARITHMETIC BROWNIAN MOTION: JUSTIFICATION AND IMPLEMENTATION ISSUES. (2017). Brooks, Robert. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:401-427.

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2018Low Inflation: High Default Risk AND High Equity Valuations. (2018). Bhamra, Harjaat S ; Weber, Michael ; Jeanneret, Alexandre ; Dorion, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7391.

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2018Option Prices and Costly Short-Selling. (2018). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13029.

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2017The Reaction of Stock Market Returns to Unemployment. (2017). Taamouti, Abderrahim ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:24120.

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2017The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?. (2017). Salisu, Afees ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0021.

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2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications. (2017). Shiller, Robert J ; Ebrahim, Shahid M ; Wojakowski, Rafal M. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2116.

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2017Continuous Workout Mortgages: Efficient Pricing and Systemic Implications. (2017). Shiller, Robert J ; Shackleton, Mark B ; Ebrahim, Shahid M ; Wojakowski, Rafal M. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3016.

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2018Numerical solution of generalized Black–Scholes model. (2018). Sekhara, Chandra S ; Manisha, . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:321:y:2018:i:c:p:401-421.

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2018Compound option pricing under a double exponential Jump-diffusion model. (2018). Liu, Yu-Hong ; Hsu, Wei-Tze ; Jiang, I-Ming ; I-Ming Jiang, . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:30-53.

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2018Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets. (2018). Hui, Cho-Hoi ; Chau, Po-Hon ; Lo, Chi-Fai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:109-128.

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2018Valuing multistage investment projects in the pharmaceutical industry. (2018). Brando, Luiz E ; Dyer, James S ; Fernandes, Glaucia. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:720-732.

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2017Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets. (2017). Kutan, Ali ; Chan, Sok-Gee ; Gee, Chan Sok ; Ismail, Izlin ; Qureshi, Fiza. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:176-192.

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2018A firm-level analysis of the upstream-downstream dichotomy in the oil-stock nexus. (2018). Salisu, Afees ; Swaray, Raymond. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:199-218.

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2017Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework. (2017). Menoncin, Francesco ; Vigna, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:172-184.

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2017The liquidity impact on firm values: The evidence of Taiwans banking industry. (2017). Chen, Ren-Raw ; Yeh, Shih-Kuo ; Yang, Tung-Hsiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:191-202.

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2018Dissecting bidder security returns on payment methods. (2018). Li, Yuanzhi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:207-220.

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2018Financing as a supply chain: The capital structure of banks and borrowers. (2018). Gornall, Will ; Strebulaev, Ilya A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:3:p:510-530.

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2019The leverage effect and the basket-index put spread. (2019). Bai, Jennie ; Yang, Fan ; Goldstein, Robert S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:186-205.

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2017Real options and the value of oil and gas firms: An empirical analysis. (2017). Heaney, Richard ; Sabet, Amir H. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:6:y:2017:i:c:p:50-65.

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2017A simple method for generalized sequential compound options pricing. (2017). Wang, Xiandong ; He, Jianmin. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:87:y:2017:i:c:p:85-91.

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2017Do constraints on financial and operating leverage affect the performance of Islamic equity portfolios?. (2017). Ashraf, Dawood ; Hussain, Syed Mujahid ; Khawaja, Mohsin ; Felixson, Karl. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:42:y:2017:i:c:p:171-182.

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2017Pricing real estate index options under stochastic interest rates. (2017). Gong, PU ; Dai, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:309-323.

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2018Pricing the American options using the Black–Scholes pricing formula. (2018). Alghalith, Moawia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:443-445.

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2018A generalized Brennan–Rubinstein approach for valuing options with stochastic interest rates. (2018). Chang, Chuang-Chang ; Lin, Jun-Biao ; Tsay, Min-Hung. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:92-99.

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2017Liquidity basis between credit default swaps and corporate bonds markets. (2017). Kim, Kwanho. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:98-115.

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2018Uncertainty-induced dynamic inefficiency and the optimal inflation rate. (2018). Jung, Kuk Mo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:486-506.

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2017What determines the Japanese corporate credit spread? A new evidence. (2017). , ; Ahsan, Amirul ; Cooper, Peter ; Chazi, Abdelaziz. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:354-361.

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2017The impact of monetary policy on stock market performance: Evidence from twelve (12) African countries. (2017). Suhaibu, Iddrisu ; Harvey, Simon K ; Amidu, Mohammed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1372-1382.

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2018What determines the Japanese corporate credit spread? A new evidence. (2018). Azad, A. S. M. Sohel, ; Ahsan, Amirul ; Cooper, Peter ; Chazi, Abdelaziz. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:349-356.

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2018General dynamic term structures under default risk. (2018). Fontana, Claudio ; Schmidt, Thorsten. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:10:p:3353-3386.

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2017Estimating the Tax and Credit-Event Risk Components of Credit Spreads. (2017). Benzoni, Luca ; Goldstein, Robert S. In: Working Paper Series. RePEc:fip:fedhwp:wp-2017-17.

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2017Capital Structure Arbitrage under a Risk-Neutral Calibration. (2017). Zeitsch, Peter J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:3-:d:88258.

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2017Optional Defaultable Markets. (2017). Abdelghani, Mohamed N ; Melnikov, Alexander V. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:56-:d:115997.

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2017The Risk Premium of Gold. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-616.

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2017Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia. (2017). Alizadeh, Mohammadreza Janvisloo ; Sherafatian-Jahromi, Reza. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9229-y.

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2017Common Stocks and Inflation: An Empirical Analysis of G7 and BRICS. (2017). Boamah, Mustapha Ibn . In: Atlantic Economic Journal. RePEc:kap:atlecj:v:45:y:2017:i:2:d:10.1007_s11293-017-9543-9.

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2018Tempered stable structural model in pricing credit spread and credit default swap. (2018). Ik, Sung ; Kim, Young Shin. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9135-5.

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2017Costs of capital under credit risk. (2017). Zbandut, Anastasiia ; Reichling, Peter . In: FEMM Working Papers. RePEc:mag:wpaper:170003.

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2018Credit Risk Research: Review and Agenda. (2018). Zamore, Stephen ; Hobdari, Bersant ; Alon, Ilan ; Djan, Kwame Ohene. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:4:p:811-835.

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2017The Unemployment-Stock Market Relationship in South Africa: Evidence from Symmetric and Asymmetric Cointegration Models. (2017). Phiri, Andrew. In: Managing Global Transitions. RePEc:mgt:youmgt:v:15:y:2017:i:3:p:231-254.

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2017Portfolio Risk Control by Using Derivative Instruments. (2017). Olteanu, Alexandru ; Rdoi, Mdlina Antoaneta . In: Global Economic Observer. RePEc:ntu:ntugeo:vol5-iss2-17-090.

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2017Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data. (2017). Wohar, Mark ; Tiwari, Aviral ; GUPTA, RANGAN ; Cunado, Juncal. In: Working Papers. RePEc:pre:wpaper:201735.

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2017Deflation, Sticky Leverage and Asset Prices. (2017). Weber, Michael ; Bhamra, Harjoat ; Jeanneret, Alexandre ; Dorion, Christian. In: 2017 Meeting Papers. RePEc:red:sed017:796.

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2018Macroeconomic Structural Changes in a Leading Emerging Market: The Effects of the Asian Financial Crisis. (2018). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:22-42.

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2017НЕЧЕТКО-МНОЖЕСТВЕННАЯ ОЦЕНКА ПАРАМЕТРОВ ЭФФЕКТИВНОСТИ ИННОВАЦИОННОГО ПРОЕКТА // FUZZY SET ASSESSMENT OF INNOVATIVE PROJECT EFFECTI. (2017). Baranov, A ; Е. Музыко И., ; В. Павлов Н., ; А. Баранов О, ; Pavlov, V ; Musyko, E. In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2016:i:6:p:120-132.

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2017Panelowa weryfikacja wplywu zmiennych makroekonomicznych na indeksy gieldowe. (2017). Wisniewski, Hubert. In: Problemy Zarzadzania. RePEc:sgm:pzwzuw:v:15:i:66:y:2017:p:162-177.

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2018On the methods of pricing American options: case study. (2018). Aydoan, Burcu ; Uur, Omur ; Aksoy, Umit. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2267-4.

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2018Modelling credit spreads with time volatility, skewness, and kurtosis. (2018). Clark, Ephraim ; Baccar, Selima. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-1975-5.

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2018Determinants of corporate credit spread: evidence from India. (2018). Singh, Bhanu Pratap ; Goyal, Vinay ; Kannadhasan, M. In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:45:y:2018:i:1:d:10.1007_s40622-018-0179-7.

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2018On the Dynamics of Inflation-Stock Returns in India. (2018). Bhandari, Avishek ; Bandi, Kamaiah . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0075-6.

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2018The variance risk premium and capital structure. (2018). Lotfaliei, Babak. In: ESRB Working Paper Series. RePEc:srk:srkwps:201870.

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2017Stock prices, inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes. (2017). Albulescu, Claudiu ; Goyeau, Daniel ; Aubin, Christian. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:18:p:1794-1807.

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2017Sequential investments with stage-specific risks and drifts. (2017). Adkins, Roger ; Paxson, Dean. In: The European Journal of Finance. RePEc:taf:eurjfi:v:23:y:2017:i:12:p:1150-1175.

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2017Essays in empirical finance and monetary policy. (2017). van Holle, Frederiek. In: Other publications TiSEM. RePEc:tiu:tiutis:30d11a4b-7bc9-4c81-ad24-5ca36f83e31f.

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2017Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps. (2017). Platen, Eckhard ; Pelger, Markus ; Fontana, Claudio. In: Research Paper Series. RePEc:uts:rpaper:385.

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2017THE BRITISH ASSET-OR-NOTHING PUT OPTION. (2017). Gao, Min. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500303.

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Works by Professor Robert L. Geske:


YearTitleTypeCited
1978The Pricing of Options with Stochastic Dividend Yield. In: Journal of Finance.
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article8
1983 The Fiscal and Monetary Linkage between Stock Returns and Inflation. In: Journal of Finance.
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article211
1983 Over-the-Counter Option Market Dividend Protection and Biases in the Black-Scholes Model: A Note. In: Journal of Finance.
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article5
1984 On Valuing American Call Options with the Black-Scholes European Formula. In: Journal of Finance.
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article13
1984 The American Put Option Valued Analytically. In: Journal of Finance.
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article135
2001The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper34
1986Controlling Interest Rate Risk and Return with Futures In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
1987Volatility and Mispricing: Robust Variance Estimation and Black-Scholes Call Option Pricing In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
1998Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper16
1986An Explanation of Seemingly Anomalous Time Premium Behavior for American Put Options In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
1977The Valuation of Corporate Liabilities as Compound Options In: Journal of Financial and Quantitative Analysis.
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article166
1984The Valuation of Corporate Liabilities as Compound Options: A Correction In: Journal of Financial and Quantitative Analysis.
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article15
1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques In: Journal of Financial and Quantitative Analysis.
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article38
1985The early exercise of American puts In: Journal of Banking & Finance.
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article4
1979The valuation of compound options In: Journal of Financial Economics.
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article198
1979A note on an analytical valuation formula for unprotected American call options on stocks with known dividends In: Journal of Financial Economics.
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article35
1980Mutual fund insurance In: Journal of Financial Economics.
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article2
1981Comments on Whaleys note In: Journal of Financial Economics.
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article8

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