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623
Citations
Frank Milne : Citation Profile
Queen's University | RESEARCH PRODUCTION: 35 Articles 42 Papers 1 Books 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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44 years (1972 - 2016). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Frank Milne. | Is cited by:
| Cites to:
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Main data
Where Frank Milne has published?
| Journals with more than one article published | # docs |
|---|---|
| Mathematical Finance | 3 |
| International Economic Review | 3 |
| Journal of Economic Theory | 3 |
| Review of Financial Studies | 2 |
| Economic Theory | 2 |
| Review of Economic Studies | 2 |
| Journal of Financial and Quantitative Analysis | 2 |
| The Economic Record | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Paper / Economics Department, Queen's University | 30 |
| Working Papers / University of Guelph, Department of Economics and Finance | 4 |
| Discussion Papers / University of Exeter, Department of Economics | 2 |
Recent works citing Frank Milne (2020 and 2019)
| Year | Title of citing document |
|---|---|
| 2019 | Central 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. Full description at Econpapers || Download paper |
| 2019 | An 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. Full description at Econpapers || Download paper |
| 2020 | A 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. Full description at Econpapers || Download paper |
| 2019 | Trading and shareholder voting. (2019). Malenko, Nadya ; Maug, Ernst ; Levit, Doron. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14039. Full description at Econpapers || Download paper |
| 2019 | Efficient 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. Full description at Econpapers || Download paper |
| 2019 | Enhancing 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. Full description at Econpapers || Download paper |
| 2019 | Cross-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. Full description at Econpapers || Download paper |
| 2019 | On 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. Full description at Econpapers || Download paper |
| 2019 | A 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. Full description at Econpapers || Download paper |
| 2019 | Income-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. Full description at Econpapers || Download paper |
| 2019 | The 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. Full description at Econpapers || Download paper |
| 2020 | How 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. Full description at Econpapers || Download paper |
| 2019 | Optimal 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. Full description at Econpapers || Download paper |
| 2019 | Estimating 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. Full description at Econpapers || Download paper |
| 2020 | The 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. Full description at Econpapers || Download paper |
| 2019 | Are 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. Full description at Econpapers || Download paper |
| 2019 | Pricing 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. Full description at Econpapers || Download paper |
| 2019 | Asset Prices and Portfolios with Externalities. (2019). Osambela, Emilio ; Hollifield, Burton ; Baker, Steven. In: 2019 Meeting Papers. RePEc:red:sed019:1255. Full description at Econpapers || Download paper |
| 2020 | Overcoming Borrowing Stigma: The Design of Lending-of-Last-Resort Policies. (2020). Zhang, Hanzhe ; Hu, Yunzhi. In: Working Papers. RePEc:ris:msuecw:2020_005. Full description at Econpapers || Download paper |
| 2019 | Структура 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. Full description at Econpapers || Download paper |
| 2019 | Quantization 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. Full description at Econpapers || Download paper |
| 2020 | On 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. Full description at Econpapers || Download paper |
| 2019 | Advanced 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. Full description at Econpapers || Download paper |
| 2020 | Lost 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. Full description at Econpapers || Download paper |
| 2020 | Investment 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. Full description at Econpapers || Download paper |
| 2020 | Pricing 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. Full description at Econpapers || Download paper |
| 2019 | DETERMINATION 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. Full description at Econpapers || Download paper |
| 2019 | SINH-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. Full description at Econpapers || Download paper |
Works by Frank Milne:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | The Complexities of Financial Risk Management and Systemic Risks In: Bank of Canada Review. [Full Text][Citation analysis] | article | 0 |
| 1972 | Keynes, Harrod and the Fixprice Method. In: The Economic Record. [Citation analysis] | article | 0 |
| 1974 | Corporate Investment and Finance Theory in Competitive Equilibrium. In: The Economic Record. [Citation analysis] | article | 2 |
| 2008 | Imperfect Competition and Corporate Governance In: Journal of Public Economic Theory. [Full Text][Citation analysis] | article | 12 |
| 2006 | Imperfect Competition And Corporate Governance.(2006) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1991 | Option Pricing With V. G. Martingale Components1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 70 |
| 1992 | Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
| 1994 | CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS In: Mathematical Finance. [Full Text][Citation analysis] | article | 54 |
| 1994 | Contingent Claims Valued And Hedged By Pricing And Investing In A Basis.(1994) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
| 2008 | Anatomy of the Credit Crisis: The role of Faulty Risk Management Systems In: C.D. Howe Institute Commentary. [Full Text][Citation analysis] | article | 5 |
| 1979 | Borrowing, Short-Sales, Consumer Default, and the Creation of New Assets In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 0 |
| 1980 | Capital Asset Pricing with Proportional Transaction Costs In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 3 |
| 2002 | Monopoly Externalities and Non-Profit Maximising Firms In: Royal Economic Society Annual Conference 2002. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Arbitrage and Diversification in a General Equilibrium Asset Economy. In: Econometrica. [Full Text][Citation analysis] | article | 7 |
| 1979 | Private markets and production decisions In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1987 | The induced preference approach to arbitrage and diversification arguments in finance In: European Economic Review. [Full Text][Citation analysis] | article | 1 |
| 1993 | Naive Bayesian learning in 2 x 2 matrix games In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 6 |
| 1990 | NAIVE BAYESIAN LEARNING IN 2 X 2 MATRIX GAMES..(1990) In: Tilburg - Center for Economic Research. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 1990 | Naive Bayesian Learning in 2 x 2 Matrix Games.(1990) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 1981 | Induced preferences and the theory of the consumer In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 1 |
| 1987 | Information and securities: A note on pareto dominance and the second best In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 6 |
| 1995 | The Arbitrage Pricing Theorem with Non-expected Utility Preferences In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 10 |
| 1990 | The Arbitrage Pricing Theorem with non Expected Utility Preferences..(1990) In: Australian National University - Department of Economics. [Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 1992 | The arbitrage Pricing Theorem with Non Expected Utility Preferences.(1992) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 1975 | Choice over asset economies: Default risk and corporate leverage In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1 |
| 2014 | The role of a large trader in a dynamic currency attack model In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 0 |
| 1996 | The existence of equilibrium in incomplete markets and the objective function of the firm In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 32 |
| 2005 | Market distortions and corporate governance. In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Externalities, Monopoly and the Objective Function of the Firm In: Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2005 | Externalities, Monopoly And The Objective Function Of The Firm.(2005) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2006 | Externalities, monopoly and the objective function of the firm.(2006) In: Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 1991 | The Dividend Puzzel and Tax. In: Australian National University - Department of Economics. [Citation analysis] | paper | 0 |
| 2010 | A Large Trader in Bubbles and Crashes: an Application to Currency Attacks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Uncertainty in an Interconnected Financial System, Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Central Bank Screening, Moral Hazard, and the Lender of Last Resort Policy In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Central Bank Screening, Moral Hazard, And The Lender Of Last Resort Policy.(2013) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | The Signaling Effect and Optimal LOLR Policy In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | The Signaling Effect And Optimal Lolr Policy.(2016) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1976 | Default Risk in a General Equilibrium Asset Economy with Incomplete Markets. In: International Economic Review. [Full Text][Citation analysis] | article | 8 |
| 1980 | Short-Selling, Default Risk and the Existence of Equilibrium in a Securities Model. In: International Economic Review. [Full Text][Citation analysis] | article | 20 |
| 1999 | Induced Preferences, Nonadditive Beliefs, and Multiple Priors. In: International Economic Review. [Citation analysis] | article | 4 |
| 1994 | Dominance Relations Among Standardized Variables In: Management Science. [Full Text][Citation analysis] | article | 9 |
| 1993 | Dominance Relations Among Standardized Variable.(1993) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2008 | Credit Crises, Risk Management Systems and Liquidity Modelling In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Takeovers and cooperatives: governance and stability in non-corporate firms In: Journal of Economics. [Full Text][Citation analysis] | article | 3 |
| 1981 | The firms objective function as a collective choice problem In: Public Choice. [Full Text][Citation analysis] | article | 3 |
| 2011 | Domestic and International Influences on Firm-Level Governance: Evidence from Canada In: American Law and Economics Review. [Full Text][Citation analysis] | article | 0 |
| 1984 | Clarifying Some Misconceptions About Stock Market Economies In: The Quarterly Journal of Economics. [Full Text][Citation analysis] | article | 0 |
| 1979 | Consumer Preferences, Linear Demand Functions and Aggregation in Competitive Asset Markets In: Review of Economic Studies. [Full Text][Citation analysis] | article | 7 |
| 1988 | A Microeconometric Model of the Demand for Health Care and Health Insurance in Australia In: Review of Economic Studies. [Full Text][Citation analysis] | article | 191 |
| 1989 | The Multinomial Option Pricing Model and Its Brownian and Poisson Limits. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 12 |
| 1990 | The Multinomial Option Pricing Model And Its Brownian And Poisson Limits.(1990) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1991 | A Simple Approach to Interest-Rate Option Pricing. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 37 |
| 2003 | Finance Theory and Asset Pricing: Second Edition In: OUP Catalogue. [Citation analysis] | book | 1 |
| 2001 | The Australian Universities: A Study In Public Policy Failure In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Incomplete Diversification And Asset Pricing In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 1992 | Incomplete Diversification and asset Pricing..(1992) In: Working Paper. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2003 | A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints In: Working Paper. [Full Text][Citation analysis] | paper | 7 |
| 1999 | The Existence of Equilibrium in a Financial Market with Transaction Costs In: Working Paper. [Full Text][Citation analysis] | paper | 2 |
| 1996 | The Existence Of Equilibrium In A Financial Market With Transaction Costs.(1996) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1999 | THE EXISTENCE OF EQUILIBRIUM IN A FINANCIAL MARKET WITH TRANSACTION COSTS.(1999) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | chapter | |
| 2006 | Taxation And Transaction Costs In A General Equilibrium Asset Economy In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Voluntary Adoption Of Corporate Governance Mechanisms In: Working Paper. [Full Text][Citation analysis] | paper | 4 |
| 2006 | Takeovers And Cooperatives In: Working Paper. [Full Text][Citation analysis] | paper | 1 |
| 2007 | The Role Of Large Players In A Dynamic Currency Attack Game In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 1991 | Option Pricing With V. G. Martingale Components In: Working Paper. [Full Text][Citation analysis] | paper | 76 |
| 2010 | Monitoring To Reduce Agency Costs: Examining The Behavior Of Independent And Non-independent Boards In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Economic Crises: The Impact On Australia And Canada In: Working Paper. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Uncertainty In An Interconnected Financial System, Contagion, And Market Freezes In: Working Paper. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Uncertainty in an Interconnected Financial System, Contagion, and Market Freezes.(2016) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2016 | Unintended Consequences- Advice For Politicians And Policy Analysts In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Complacency Is Really Dangerous: Three Great Economic Crises In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 1992 | The Existence Of Equilibrium And The Objective Function Of The Firm In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 1992 | Contingent Claims Valued and Hedged by Pricing and Investing in a Basis. In: Working Paper. [Citation analysis] | paper | 8 |
| 1994 | Induced Preferences and Decision-Making Under Risk and Uncertainty In: Working Paper. [Citation analysis] | paper | 1 |
| 1994 | Standardized Variables and Optimal Risky Investment In: Working Paper. [Citation analysis] | paper | 0 |
| 1994 | Standardized Variables, Risks and Preference In: Working Paper. [Citation analysis] | paper | 0 |
| 1996 | The Existence Of Equilibrium In A Financial Market With General Personal And Corporate Tax Structures In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Strategic pricing of equity issues In: Economic Theory. [Full Text][Citation analysis] | article | 2 |
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