Alan Lewis : Citation Profile


Are you Alan Lewis?

4

H index

3

i10 index

378

Citations

RESEARCH PRODUCTION:

2

Articles

6

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   40 years (1980 - 2020). See details.
   Cites by year: 9
   Journals where Alan Lewis has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 2 (0.53 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple8
   Updated: 2022-10-01    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 (16)

Li, Minqiang (9)

Itkin, Andrey (9)

Carr, Peter (8)

Jacquier, Antoine (8)

Germano, Guido (7)

Oosterlee, Cornelis (7)

Baldeaux, Jan (6)

Mele, Antonio (6)

Gnoatto, Alessandro (6)

Chiarella, Carl (6)

Cites to:

Christoffersen, Peter (2)

merton, robert (1)

Fengler, Matthias (1)

Rossi, Peter (1)

Carr, 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 (2022 and 2021)


YearTitle of citing document
2021Closed-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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2022Additive 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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2021Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557.

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2021Explicit solution simulation method for the 3/2 model. (2020). MacKay, Anne ; Kouritzin, Michael A ; Ren, Iro. In: Papers. RePEc:arx:papers:2009.09058.

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2022Markov-modulated Affine Processes. (2021). Frey, Rudiger ; Kurt, Kevin. In: Papers. RePEc:arx:papers:2106.16240.

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2021Proof of non-convergence of the short-maturity expansion for the SABR model. (2021). Pirjol, Dan ; Lewis, Alan L. In: Papers. RePEc:arx:papers:2107.12439.

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2021Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Papers. RePEc:arx:papers:2110.08320.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2021Mild to classical solutions for XVA equations under stochastic volatility. (2021). Kalinin, Alexander ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2112.11808.

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2022Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility. (2022). Lipton, Alexander ; Sepp, Artur. In: Papers. RePEc:arx:papers:2202.07849.

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2022Multivariate Stochastic Volatility Models and Large Deviation Principles. (2022). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:2203.09015.

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2022Numerical Method for Highly Non-linear Mean-reverting Asset Price Model with CEV-type Process. (2022). Coffie, Emmanuel. In: Papers. RePEc:arx:papers:2205.00634.

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2022Diamonds and forward variance models. (2022). Gatheral, Jim ; Friz, Peter. In: Papers. RePEc:arx:papers:2205.03741.

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2021Geometric Brownian motion with affine drift and its time-integral. (2021). Volkmer, Hans ; Jiang, Pingping ; Feng, Runhuan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:395:y:2021:i:c:s0096300320308274.

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2022Stabilization in general decay rate of discrete feedback control for non-autonomous Markov jump stochastic systems. (2022). Alsaadi, Fawaz ; Zhang, Chunyan ; Cao, Jinde ; Liu, Qiumei ; Feng, Lichao. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:417:y:2022:i:c:s0096300321008535.

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2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. (2021). Zou, Yihan ; Ewald, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:2:p:801-815.

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2022Binomial tree method for option pricing: Discrete cosine transform approach. (2022). Suda, Shintaro ; Muroi, Yoshifumi. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:198:y:2022:i:c:p:312-331.

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2022Parameter estimation in CKLS model by continuous observations. (2022). Dehtiar, Olena ; Ralchenko, Kostiantyn ; Mishura, Yuliya. In: Statistics & Probability Letters. RePEc:eee:stapro:v:184:y:2022:i:c:s0167715222000153.

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2021.

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2021Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility. (2021). Zhang, Yumo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:61-:d:524187.

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2021Detecting bubbles in Bitcoin price dynamics via market exuberance. (2021). Figa-Talamanca, Gianna ; Cretarola, Alessandra. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03321-z.

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2022Calibration to FX triangles of the 4/2 model under the benchmark approach. (2022). Platen, Eckhard ; Grasselli, Martino ; Gnoatto, Alessandro. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00330-1.

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2021Additive logistic processes in option pricing. (2021). Torricelli, Lorenzo ; Carr, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00461-8.

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2021On the computation of hedging strategies in affine GARCH models. (2021). Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:710-735.

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Works by Alan Lewis:


YearTitleTypeCited
2018A First Option Calibration of the GARCH Diffusion Model by a PDE Method In: Papers.
[Full Text][Citation analysis]
paper0
2019Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution In: Papers.
[Full Text][Citation analysis]
paper4
2020Option-based Equity Risk Premiums In: Papers.
[Full Text][Citation analysis]
paper0
2020US Equity Risk Premiums during the COVID-19 Pandemic In: Papers.
[Full Text][Citation analysis]
paper1
1998Applications of Eigenfunction Expansions in Continuous?Time Finance In: Mathematical Finance.
[Full Text][Citation analysis]
article12
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.
[Full Text][Citation analysis]
article1
2000Introduction and Summary of Results (Excerpt) In: Option Valuation under Stochastic Volatility.
[Full Text][Citation analysis]
chapter0
2000The Fundamental Transform (Excerpt) In: Option Valuation under Stochastic Volatility.
[Full Text][Citation analysis]
chapter0
2000The Term Structure of Implied Volatility In: Option Valuation under Stochastic Volatility.
[Full Text][Citation analysis]
chapter0
2001A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes In: Related articles.
[Full Text][Citation analysis]
paper74
2000Option Valuation under Stochastic Volatility In: Option Valuation under Stochastic Volatility.
[Citation analysis]
book286

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