4
H index
3
i10 index
392
Citations
| 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. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ple8 |
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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
---|---|
Papers / arXiv.org | 4 |
Year | Title of citing document |
---|---|
2023 | Dynamic and static fund separations and their stability for long-term optimal investments. (2022). Yeo, Heejun ; Park, Hyungbin. In: Papers. RePEc:arx:papers:2212.00391. Full description at Econpapers || Download paper |
2023 | Simulation 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 |
2023 | From 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. Full description at Econpapers || Download paper |
2023 | Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547. Full description at Econpapers || Download paper |
2023 | Applying Deep Learning to Calibrate Stochastic Volatility Models. (2023). Bilokon, Paul ; Sridi, Abir. In: Papers. RePEc:arx:papers:2309.07843. Full description at Econpapers || Download paper |
2023 | The ATM implied skew in the ADO-Heston model. (2023). Itkin, Andrey. In: Papers. RePEc:arx:papers:2309.15044. Full description at Econpapers || Download paper |
2023 | A generalization of the rational rough Heston approximation. (2023). Radoivci, Radovs ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2310.09181. Full description at Econpapers || Download paper |
2023 | Analytical 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Utility 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. Full description at Econpapers || Download paper |
2023 | Robust 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2018 | A First Option Calibration of the GARCH Diffusion Model by a PDE Method In: Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution In: Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | Option-based Equity Risk Premiums In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | US Equity Risk Premiums during the COVID-19 Pandemic In: Papers. [Full Text][Citation analysis] | paper | 1 |
1998 | Applications of Eigenfunction Expansions in Continuous?Time Finance In: Mathematical Finance. [Full Text][Citation analysis] | article | 12 |
1991 | INTERTEMPORALLY DEPENDENT PREFERENCE ORDERINGS IN AN EXPECTED UTILITY SETTING: GOLDEN RULE STRATEGIES FOR EDUCATIONAL ENDOWMENTS. In: California Irvine - School of Social Sciences. [Citation analysis] | paper | 0 |
1980 | The Ibbotson-Singuefield Simultation Made Easy. In: The Journal of Business. [Full Text][Citation analysis] | article | 1 |
2000 | Introduction and Summary of Results (Excerpt) In: Option Valuation under Stochastic Volatility. [Full Text][Citation analysis] | chapter | 0 |
2000 | The Fundamental Transform (Excerpt) In: Option Valuation under Stochastic Volatility. [Full Text][Citation analysis] | chapter | 0 |
2000 | The Term Structure of Implied Volatility In: Option Valuation under Stochastic Volatility. [Full Text][Citation analysis] | chapter | 0 |
2001 | A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes In: Related articles. [Full Text][Citation analysis] | paper | 78 |
2000 | Option Valuation under Stochastic Volatility In: Option Valuation under Stochastic Volatility. [Citation analysis] | book | 296 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team