Alan Lewis : Citation Profile


Are you Alan Lewis?

4

H index

3

i10 index

392

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: 11.    Total self citations: 2 (0.51 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple8
   Updated: 2024-01-16    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)

Jacquier, Antoine (8)

Gnoatto, Alessandro (7)

Oosterlee, Cornelis (7)

Germano, Guido (7)

Mele, Antonio (6)

Baldeaux, Jan (6)

Scaillet, Olivier (5)

Düring, Bertram (4)

Cites to:

Fengler, Matthias (1)

Rossi, Peter (1)

merton, robert (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 (2024 and 2023)


YearTitle of citing document
2023Dynamic and static fund separations and their stability for long-term optimal investments. (2022). Yeo, Heejun ; Park, Hyungbin. In: Papers. RePEc:arx:papers:2212.00391.

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2023Simulation schemes for the Heston model with Poisson conditioning. (2023). Kwok, Yue Kuen ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2301.02800.

Full description at Econpapers || Download paper

2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547.

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2023Applying Deep Learning to Calibrate Stochastic Volatility Models. (2023). Bilokon, Paul ; Sridi, Abir. In: Papers. RePEc:arx:papers:2309.07843.

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2023The ATM implied skew in the ADO-Heston model. (2023). Itkin, Andrey. In: Papers. RePEc:arx:papers:2309.15044.

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2023A generalization of the rational rough Heston approximation. (2023). Radoivci, Radovs ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2310.09181.

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2023Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach. (2023). Zhang, Yumo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00374-x.

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2023Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models. (2023). Zhang, Yumo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-10007-4.

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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]
paper78
2000Option Valuation under Stochastic Volatility In: Option Valuation under Stochastic Volatility.
[Citation analysis]
book296

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team