Alan Lewis : Citation Profile


Are you Alan Lewis?

3

H index

3

i10 index

293

Citations

RESEARCH PRODUCTION:

2

Articles

6

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   40 years (1980 - 2020). See details.
   Cites by year: 7
   Journals where Alan Lewis has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 2 (0.68 %)

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   Permalink: http://citec.repec.org/ple8
   Updated: 2020-09-26    RAS profile: 2020-06-15    
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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 Alan Lewis.

Is cited by:

Platen, Eckhard (13)

Itkin, Andrey (7)

Li, Minqiang (7)

Chiarella, Carl (6)

Baldeaux, Jan (6)

Mele, Antonio (6)

Germano, Guido (5)

Gnoatto, Alessandro (5)

Scaillet, Olivier (4)

Jacquier, Antoine (4)

Benhamou, Eric (3)

Cites to:

Rossi, Peter (1)

Bollerslev, Tim (1)

Main data


Where Alan Lewis has published?


Working Papers Series with more than one paper published# docs
Papers / arXiv.org4

Recent works citing Alan Lewis (2020 and 2019)


YearTitle of citing document
2019Introduction to Stochastic Differential Equations (SDEs) for Finance. (2019). Papanicolaou, A.. In: Papers. RePEc:arx:papers:1504.05309.

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2019High-order compact finite difference scheme for option pricing in stochastic volatility jump models. (2019). Pitkin, Alexander ; During, Bertram. In: Papers. RePEc:arx:papers:1704.05308.

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2020Hilbert transform, spectral filtering and option pricing. (2017). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:1706.09755.

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2020Closed-form expansions with respect to the mixing solution for option pricing under stochastic volatility. (2019). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:1812.07803.

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2019Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method. (2019). Itkin, Andrey ; Soleymani, Fazlollah. In: Papers. RePEc:arx:papers:1903.00937.

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2019ADOL - Markovian approximation of rough lognormal model. (2019). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1904.09240.

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2019Decomposition formula for jump diffusion models. (2019). Vives, Josep ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.06930.

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2019Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101.

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2019A lognormal type stochastic volatility model with quadratic drift. (2019). Willems, Sander ; Carr, Peter. In: Papers. RePEc:arx:papers:1908.07417.

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2019Additive normal tempered stable processes for equity derivatives and power law scaling. (2019). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:1909.07139.

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2019Vol-of-vol expansion for (rough) forward variance models. (2019). Akdogan, Ozan. In: Papers. RePEc:arx:papers:1910.03245.

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2020Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model. (2019). Zhang, Yunbo ; Drapeau, Samuel . In: Papers. RePEc:arx:papers:1910.08344.

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2019Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure. (2019). Ziegler, Philipp ; Sobotka, Tom'Avs ; Posp, Jan. In: Papers. RePEc:arx:papers:1912.06709.

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2020Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface. (2020). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2001.09850.

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2020Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics. (2020). Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10202.

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2020Explicit approximations for option prices via Malliavin calculus for the stochastic Verhulst volatility model. (2020). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542.

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2019Financial models with defaultable numéraires. (2019). Ruf, Johannes ; Pulido, Sergio ; Fisher, Travis . In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:1:p:117-136.

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2020Option pricing with orthogonal polynomial expansions. (2020). Filipovi, Damir ; Ackerer, Damien. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:47-84.

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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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2019Efficient computation of european option prices and their sensitivities with the complex fourier series method. (2019). Chan, Tat Lung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304200.

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2020Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. (2020). Figa-Talamanca, Gianna ; Cretarola, Alessandra. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304203.

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2020Pricing and hedging foreign equity options under Hawkes jump–diffusion processes. (2020). Xu, Weidong ; Shrestha, Keshab ; Pan, Dongtao ; Ma, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315110.

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2020Trade duration risk in subdiffusive financial models. (2020). Torricelli, Lorenzo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119320588.

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2020A generalized European option pricing model with risk management. (2020). Tan, Jie ; Feng, Chengxiao ; Chen, Shuang ; Jiang, Zhenyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119321132.

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2020Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities. (2020). Germano, G ; Marazzina, D ; Phelan, C E. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:103780.

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2019Financial models with defaultable numéraires. (2019). Ruf, Johannes ; Pulido, Sergio ; Fisher, Travis. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:84973.

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2019Financial Models with Defaultable Numéraires. (2019). Ruf, Johannes ; Pulido, Sergio ; Fisher, Travis. In: Post-Print. RePEc:hal:journl:hal-01240736.

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2019Quanto Option Pricing with Lévy Models. (2019). Park, Jiho ; Fabozzi, Frank J ; Kim, Young S ; Fallahgoul, Hasan A. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-018-9807-8.

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2019Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics. (2019). Zhu, Shunwei ; Wang, BO. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9815-8.

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2020An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes. (2020). Park, Kyunghyun ; Huh, Jeonggyu ; Jeon, Junkee. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09939-2.

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2019Pricing VIX derivatives with free stochastic volatility model. (2019). Lin, Wei ; Zhang, Jin E ; Chern, Shane . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9145-y.

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2020A note on options and bubbles under the CEV model: implications for pricing and hedging. (2020). Cruz, Aricson ; Vidal, Joo Pedro ; Dias, Jose Carlos. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-019-09164-x.

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2019Hilbert transform, spectral filters and option pricing. (2019). Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E ; Germano, Guido . In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2881-4.

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2019Moment explosions in the rough Heston model. (2019). Pinter, Arpad ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00267-6.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2019Instantaneous squared VIX and VIX derivatives. (2019). Zhang, Jin E ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1193-1213.

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2019Hyperbolic normal stochastic volatility model. (2019). Liu, Chenru ; Choi, Jaehyuk ; Ki, Byoung. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:2:p:186-204.

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2019RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION. (2019). Radoii, Rado ; Gatheral, Jim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500109.

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Works by Alan Lewis:


YearTitleTypeCited
2018A First Option Calibration of the GARCH Diffusion Model by a PDE Method In: Papers.
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paper0
2019Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution In: Papers.
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paper3
2020Option-based Equity Risk Premiums In: Papers.
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paper0
2020US Equity Risk Premiums during the COVID-19 Pandemic In: Papers.
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paper0
1998Applications of Eigenfunction Expansions in Continuous‐Time Finance In: Mathematical Finance.
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article10
1991INTERTEMPORALLY DEPENDENT PREFERENCE ORDERINGS IN AN EXPECTED UTILITY SETTING: GOLDEN RULE STRATEGIES FOR EDUCATIONAL ENDOWMENTS. In: California Irvine - School of Social Sciences.
[Citation analysis]
paper0
1980The Ibbotson-Singuefield Simultation Made Easy. In: The Journal of Business.
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article1
2000Introduction and Summary of Results (Excerpt) In: Option Valuation under Stochastic Volatility.
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chapter0
2000The Fundamental Transform (Excerpt) In: Option Valuation under Stochastic Volatility.
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chapter0
2000The Term Structure of Implied Volatility In: Option Valuation under Stochastic Volatility.
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chapter0
2001A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes In: Related articles.
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paper49
2000Option Valuation under Stochastic Volatility In: Option Valuation under Stochastic Volatility.
[Citation analysis]
book230

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