Frank Milne : Citation Profile


Are you Frank Milne?

Queen's University

10

H index

10

i10 index

623

Citations

RESEARCH PRODUCTION:

35

Articles

42

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   44 years (1972 - 2016). See details.
   Cites by year: 14
   Journals where Frank Milne has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 14 (2.2 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmi154
   Updated: 2020-09-22    RAS profile: 2016-10-25    
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Relations with other researchers


Works with:

Qiu, Junfeng (4)

Li, Mei (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Frank Milne.

Is cited by:

Allouch, Nizar (14)

Wu, Liuren (12)

Marini, Marco (12)

Garcia, René (11)

Crès, Hervé (11)

Page, Frank (11)

Gottardi, Piero (9)

Kelsey, David (9)

Renault, Eric (9)

Monfardini, Chiara (8)

Fabbri, Daniele (8)

Cites to:

Babus, Ana (10)

Carletti, Elena (10)

Kelsey, David (9)

Tirole, Jean (8)

Shin, Hyun Song (8)

Rochet, Jean (8)

Allen, Franklin (8)

Moore, John (8)

Brunnermeier, Markus (7)

Morris, Stephen (7)

Jarrow, Robert (6)

Main data


Where Frank Milne has published?


Journals with more than one article published# docs
Mathematical Finance3
International Economic Review3
Journal of Economic Theory3
Review of Financial Studies2
Economic Theory2
Review of Economic Studies2
Journal of Financial and Quantitative Analysis2
The Economic Record2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University30
Working Papers / University of Guelph, Department of Economics and Finance4
Discussion Papers / University of Exeter, Department of Economics2

Recent works citing Frank Milne (2020 and 2019)


YearTitle of citing document
2019Central Bank Screening, Moral Hazard, and the Lender of Last Resort Policy. (2013). , Meili ; Qiu, Junfeng ; Milne, Frank ; Li, Mei. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274642.

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2019An SFP--FCC Method for Pricing and Hedging Early-exercise Options under L\evy Processes. (2019). , Chan ; Lung, Tat . In: Papers. RePEc:arx:papers:1909.07319.

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2020A machine learning approach to portfolio pricing and risk management for high-dimensional problems. (2020). Filipovi, Damir ; Fernandez-Arjona, Lucio. In: Papers. RePEc:arx:papers:2004.14149.

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2019Trading and shareholder voting. (2019). Malenko, Nadya ; Maug, Ernst ; Levit, Doron. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14039.

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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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2019Enhancing binomial and trinomial equity option pricing models. (2019). Rachev, Svetlozar ; Stoyanov, Stoyan ; Kim, Young Shin ; Fabozzi, Frank J. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:185-190.

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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach. (2019). Guidolin, Massimo ; Hansen, Erwin ; Pedio, Manuela. In: Journal of Financial Markets. RePEc:eee:finmar:v:45:y:2019:i:c:p:83-114.

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2019On endogenous formation of price expectations. (2019). Vailakis, Yiannis ; Navrouzoglou, Paulina ; le Van, Cuong. In: Games and Economic Behavior. RePEc:eee:gamebe:v:115:y:2019:i:c:p:436-458.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2019Income-related inequality and inequity in children’s health care: A longitudinal analysis using data from Brazil. (2019). Oviedo, Cesar Augusto ; de Andrade, Paulo ; Perelman, Julian ; Aristides, Anderson Moreira ; Santos, Ina S ; Matijasevich, Alicia ; Bertoldi, Andrea D. In: Social Science & Medicine. RePEc:eee:socmed:v:224:y:2019:i:c:p:127-137.

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2019The effect of health insurance on hospitalization: Identification of adverse selection, moral hazard and the vulnerable population in the Indian healthcare market. (2019). Rooj, Debasis ; Sengupta, Reshmi. In: World Development. RePEc:eee:wdevel:v:122:y:2019:i:c:p:110-129.

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2020How Do Health, Care Services Consumption and Lifestyle Factors Affect the Choice of Health Insurance Plans in Switzerland?. (2020). Wagner, Joel ; Kalouguina, Veronika. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:41-:d:350987.

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2019Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy. (2019). Perera, Sandun ; Buckley, Winston. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-018-0335-2.

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2019Estimating asymmetric information effects in health care with uninsurable costs. (2019). Zheng, Xiaoyong ; Vukina, Tomislav. In: International Journal of Health Economics and Management. RePEc:kap:ijhcfe:v:19:y:2019:i:1:d:10.1007_s10754-018-9246-z.

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2020The LOLR Policy and its Signaling Effect in a Time of Crisis. (2020). Qiu, Junfeng ; Milne, Frank ; Li, Mei. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:57:y:2020:i:3:d:10.1007_s10693-019-00324-6.

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2019Are all Homeowners Willing to Pay for Better Schools? ─ Evidence from a Finite Mixture Model Approach. (2019). Kuang, Chun ; Hwang, Jee W ; Bin, Okmyung . In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:58:y:2019:i:4:d:10.1007_s11146-018-9658-z.

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2019Pricing cross-currency interest rate swaps under the Levy market model. (2019). Huang, Li-Jhang ; Wang, Ming-Chieh. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9150-1.

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2019Asset Prices and Portfolios with Externalities. (2019). Osambela, Emilio ; Hollifield, Burton ; Baker, Steven. In: 2019 Meeting Papers. RePEc:red:sed019:1255.

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2020Overcoming Borrowing Stigma: The Design of Lending-of-Last-Resort Policies. (2020). Zhang, Hanzhe ; Hu, Yunzhi. In: Working Papers. RePEc:ris:msuecw:2020_005.

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2019Структура акционерного капитала и степень эксплуатации нефтяных месторождений // SHARE-OWNERSHIP DISTRIBUTION AND EXTRACTION RATE . (2019). К. Лю, ; Л. Марсилиани, ; Liu, X ; Marsiliani, L. In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies. RePEc:scn:00rbes:y:2017:i:1:p:42-53.

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2019Quantization meets Fourier: a new technology for pricing options. (2019). Grasselli, Martino ; Fiorin, Lucio ; Callegaro, Giorgia. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-3048-z.

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2020On the construction of optimal payoffs. (2020). Vanduffel, Steven ; Ruschendorf, L. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00272-9.

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2019Advanced model calibration on bitcoin options. (2019). Schoutens, Wim ; Reyners, Sofie ; Madan, Dilip B. In: Digital Finance. RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00002-1.

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2020Lost in Corruption. Evidence from EU Funding to Southern Italy. (2020). de Blasio, Guido ; Rizzica, Lucia ; Angelis, Ilaria. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:6:y:2020:i:2:d:10.1007_s40797-020-00123-2.

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2020Investment and financing in incomplete markets. (2020). Bejan, Camelia. In: Economic Theory. RePEc:spr:joecth:v:69:y:2020:i:1:d:10.1007_s00199-018-1160-6.

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2020Pricing VIX derivatives with infinite‐activity jumps. (2020). Ruan, Xinfeng ; Cao, Jiling ; Zhang, Wenjun ; Su, Shu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:329-354.

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2019DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS. (2019). Hughston, Lane P ; Bouzianis, George. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:01:n:s0219024919500080.

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2019SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS. (2019). Boyarchenko, Svetlana ; Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500110.

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Works by Frank Milne:


YearTitleTypeCited
2009The Complexities of Financial Risk Management and Systemic Risks In: Bank of Canada Review.
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article0
1972Keynes, Harrod and the Fixprice Method. In: The Economic Record.
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article0
1974Corporate Investment and Finance Theory in Competitive Equilibrium. In: The Economic Record.
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article2
2008Imperfect Competition and Corporate Governance In: Journal of Public Economic Theory.
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article12
2006Imperfect Competition And Corporate Governance.(2006) In: Working Paper.
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This paper has another version. Agregated cites: 12
paper
1991Option Pricing With V. G. Martingale Components1 In: Mathematical Finance.
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article70
1992Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates1 In: Mathematical Finance.
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article5
1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS In: Mathematical Finance.
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article54
1994Contingent Claims Valued And Hedged By Pricing And Investing In A Basis.(1994) In: Working Paper.
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paper
2008Anatomy of the Credit Crisis: The role of Faulty Risk Management Systems In: C.D. Howe Institute Commentary.
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article5
1979Borrowing, Short-Sales, Consumer Default, and the Creation of New Assets In: Journal of Financial and Quantitative Analysis.
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article0
1980Capital Asset Pricing with Proportional Transaction Costs In: Journal of Financial and Quantitative Analysis.
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article3
2002Monopoly Externalities and Non-Profit Maximising Firms In: Royal Economic Society Annual Conference 2002.
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paper0
1988Arbitrage and Diversification in a General Equilibrium Asset Economy. In: Econometrica.
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article7
1979Private markets and production decisions In: Economics Letters.
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article0
1987The induced preference approach to arbitrage and diversification arguments in finance In: European Economic Review.
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article1
1993Naive Bayesian learning in 2 x 2 matrix games In: Journal of Economic Behavior & Organization.
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article6
1990NAIVE BAYESIAN LEARNING IN 2 X 2 MATRIX GAMES..(1990) In: Tilburg - Center for Economic Research.
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paper
1990Naive Bayesian Learning in 2 x 2 Matrix Games.(1990) In: Discussion Paper.
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1981Induced preferences and the theory of the consumer In: Journal of Economic Theory.
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article1
1987Information and securities: A note on pareto dominance and the second best In: Journal of Economic Theory.
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article6
1995The Arbitrage Pricing Theorem with Non-expected Utility Preferences In: Journal of Economic Theory.
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article10
1990The Arbitrage Pricing Theorem with non Expected Utility Preferences..(1990) In: Australian National University - Department of Economics.
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paper
1992The arbitrage Pricing Theorem with Non Expected Utility Preferences.(1992) In: Working Paper.
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paper
1975Choice over asset economies: Default risk and corporate leverage In: Journal of Financial Economics.
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article1
2014The role of a large trader in a dynamic currency attack model In: Journal of Financial Intermediation.
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article0
1996The existence of equilibrium in incomplete markets and the objective function of the firm In: Journal of Mathematical Economics.
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article32
2005Market distortions and corporate governance. In: Discussion Papers.
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paper0
2006Externalities, Monopoly and the Objective Function of the Firm In: Discussion Papers.
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paper3
2005Externalities, Monopoly And The Objective Function Of The Firm.(2005) In: Working Paper.
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This paper has another version. Agregated cites: 3
paper
2006Externalities, monopoly and the objective function of the firm.(2006) In: Economic Theory.
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article
1991The Dividend Puzzel and Tax. In: Australian National University - Department of Economics.
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paper0
2010A Large Trader in Bubbles and Crashes: an Application to Currency Attacks In: Working Papers.
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paper0
2013Uncertainty in an Interconnected Financial System, Contagion In: Working Papers.
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paper1
2015Central Bank Screening, Moral Hazard, and the Lender of Last Resort Policy In: Working Papers.
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paper0
2013Central Bank Screening, Moral Hazard, And The Lender Of Last Resort Policy.(2013) In: Working Paper.
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paper
2016The Signaling Effect and Optimal LOLR Policy In: Working Papers.
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paper1
2016The Signaling Effect And Optimal Lolr Policy.(2016) In: Working Paper.
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This paper has another version. Agregated cites: 1
paper
1976Default Risk in a General Equilibrium Asset Economy with Incomplete Markets. In: International Economic Review.
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article8
1980Short-Selling, Default Risk and the Existence of Equilibrium in a Securities Model. In: International Economic Review.
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article20
1999Induced Preferences, Nonadditive Beliefs, and Multiple Priors. In: International Economic Review.
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article4
1994Dominance Relations Among Standardized Variables In: Management Science.
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article9
1993Dominance Relations Among Standardized Variable.(1993) In: Working Paper.
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This paper has another version. Agregated cites: 9
paper
2008Credit Crises, Risk Management Systems and Liquidity Modelling In: Working Papers.
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paper3
2010Takeovers and cooperatives: governance and stability in non-corporate firms In: Journal of Economics.
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article3
1981The firms objective function as a collective choice problem In: Public Choice.
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article3
2011Domestic and International Influences on Firm-Level Governance: Evidence from Canada In: American Law and Economics Review.
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article0
1984Clarifying Some Misconceptions About Stock Market Economies In: The Quarterly Journal of Economics.
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article0
1979Consumer Preferences, Linear Demand Functions and Aggregation in Competitive Asset Markets In: Review of Economic Studies.
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article7
1988A Microeconometric Model of the Demand for Health Care and Health Insurance in Australia In: Review of Economic Studies.
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article191
1989The Multinomial Option Pricing Model and Its Brownian and Poisson Limits. In: Review of Financial Studies.
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article12
1990The Multinomial Option Pricing Model And Its Brownian And Poisson Limits.(1990) In: Working Paper.
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1991A Simple Approach to Interest-Rate Option Pricing. In: Review of Financial Studies.
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article37
2003Finance Theory and Asset Pricing: Second Edition In: OUP Catalogue.
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book1
2001The Australian Universities: A Study In Public Policy Failure In: Working Paper.
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2002Incomplete Diversification And Asset Pricing In: Working Paper.
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1992Incomplete Diversification and asset Pricing..(1992) In: Working Paper.
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2003A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints In: Working Paper.
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paper7
1999The Existence of Equilibrium in a Financial Market with Transaction Costs In: Working Paper.
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paper2
1996The Existence Of Equilibrium In A Financial Market With Transaction Costs.(1996) In: Working Paper.
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1999THE EXISTENCE OF EQUILIBRIUM IN A FINANCIAL MARKET WITH TRANSACTION COSTS.(1999) In: World Scientific Book Chapters.
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2006Taxation And Transaction Costs In A General Equilibrium Asset Economy In: Working Paper.
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2006Voluntary Adoption Of Corporate Governance Mechanisms In: Working Paper.
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paper4
2006Takeovers And Cooperatives In: Working Paper.
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paper1
2007The Role Of Large Players In A Dynamic Currency Attack Game In: Working Paper.
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paper0
1991Option Pricing With V. G. Martingale Components In: Working Paper.
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paper76
2010Monitoring To Reduce Agency Costs: Examining The Behavior Of Independent And Non-independent Boards In: Working Paper.
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2012Economic Crises: The Impact On Australia And Canada In: Working Paper.
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paper1
2013Uncertainty In An Interconnected Financial System, Contagion, And Market Freezes In: Working Paper.
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paper3
2016Uncertainty in an Interconnected Financial System, Contagion, and Market Freezes.(2016) In: Journal of Money, Credit and Banking.
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2016Unintended Consequences- Advice For Politicians And Policy Analysts In: Working Paper.
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paper0
2016Complacency Is Really Dangerous: Three Great Economic Crises In: Working Paper.
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paper0
1992The Existence Of Equilibrium And The Objective Function Of The Firm In: Working Paper.
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paper0
1992Contingent Claims Valued and Hedged by Pricing and Investing in a Basis. In: Working Paper.
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paper8
1994Induced Preferences and Decision-Making Under Risk and Uncertainty In: Working Paper.
[Citation analysis]
paper1
1994Standardized Variables and Optimal Risky Investment In: Working Paper.
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paper0
1994Standardized Variables, Risks and Preference In: Working Paper.
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paper0
1996The Existence Of Equilibrium In A Financial Market With General Personal And Corporate Tax Structures In: Working Paper.
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paper0
2002Strategic pricing of equity issues In: Economic Theory.
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article2

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