Jan Vecer : Citation Profile


Are you Jan Vecer?

Frankfurt School of Finance and Management

5

H index

4

i10 index

92

Citations

RESEARCH PRODUCTION:

8

Articles

1

Papers

RESEARCH ACTIVITY:

   10 years (2000 - 2010). See details.
   Cites by year: 9
   Journals where Jan Vecer has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 1 (1.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve279
   Updated: 2021-01-02    RAS profile: 2013-02-18    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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

Is cited by:

Leung, Tim (6)

Mahmoud, Ola (3)

Černý, Aleš (1)

Feng, Guanhao (1)

Beasley, John (1)

Ewald, Christian-Oliver (1)

Vasnev, Andrey (1)

Pouliasis, Panos (1)

Rothert, Jacek (1)

Papapostolou, Nikos (1)

Magnus, Jan (1)

Cites to:

Riedel, Frank (2)

Grossman, Sanford (1)

Acerbi, Carlo (1)

Schied, Alexander (1)

Tasche, Dirk (1)

Jarrow, Robert (1)

Scandolo, Giacomo (1)

Artzner, Philippe (1)

Neumann, Dimitri (1)

Han, Chuan-Hsiang (1)

Main data


Where Jan Vecer has published?


Journals with more than one article published# docs
Quantitative Finance3
Journal of Quantitative Analysis in Sports2

Recent works citing Jan Vecer (2020 and 2019)


YearTitle of citing document
2019Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes. (2019). Oskoui, Amir ; Karatas, Tugce ; Hirsa, Ali. In: Papers. RePEc:arx:papers:1902.05810.

Full description at Econpapers || Download paper

2019A nonlinear optimisation model for constructing minimal drawdown portfolios. (2019). Beasley, John ; Valle, C A. In: Papers. RePEc:arx:papers:1908.08684.

Full description at Econpapers || Download paper

2020Finance Without Brownian Motions: An Introduction To Simplified Stochastic Calculus. (2019). Ruf, Johannes ; Vcern, Alevs . In: Papers. RePEc:arx:papers:1912.03651.

Full description at Econpapers || Download paper

2020Hedging problems for Asian options with transactions costs. (2020). Shishkova, Alena ; Pergamenchtchikov, Serguei. In: Papers. RePEc:arx:papers:2001.01443.

Full description at Econpapers || Download paper

2020Pricing arithmetic Asian options under jump diffusion CIR processes. (2020). Jang, Jiwook ; Park, Jong Jun. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612318305099.

Full description at Econpapers || Download paper

2020On the maximum increase and decrease of one-dimensional diffusions. (2020). Vallois, Pierre ; Salminen, Paavo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:9:p:5592-5604.

Full description at Econpapers || Download paper

2019On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes. (2019). Raju, V L ; Rodosthenous, Neofytos ; Gapeev, Pavel V. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101272.

Full description at Econpapers || Download paper

2019Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time. (2019). Petrov, Vladimir ; Olsen, Richard ; Golub, Anton . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:54-:d:219095.

Full description at Econpapers || Download paper

2019On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes. (2019). Raju, V L ; Rodosthenous, Neofytos ; Gapeev, Pavel V. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:87-:d:254934.

Full description at Econpapers || Download paper

2020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Kirkby, Lars J ; Nguyen, Duy. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0.

Full description at Econpapers || Download paper

2019Robust Volatility Estimation with and Without the Drift Parameter. (2019). Maheswaran, S ; Shaik, Muneer . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:17:y:2019:i:1:d:10.1007_s40953-018-0129-4.

Full description at Econpapers || Download paper

Works by Jan Vecer:


YearTitleTypeCited
2007On Probabilistic Excitement of Sports Games In: Journal of Quantitative Analysis in Sports.
[Full Text][Citation analysis]
article1
2009Estimating the Effect of the Red Card in Soccer: When to Commit an Offense in Exchange for Preventing a Goal Opportunity In: Journal of Quantitative Analysis in Sports.
[Full Text][Citation analysis]
article4
2009Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article19
2007Tradable measure of risk In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2000Options on a traded account: Vacation calls, vacation puts and passport options In: Finance and Stochastics.
[Full Text][Citation analysis]
article9
2005Insider Trading in Convergent Markets In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article0
2010Portfolio sensitivity to changes in the maximum and the maximum drawdown In: Quantitative Finance.
[Full Text][Citation analysis]
article16
2004Pricing Asian options in a semimartingale model In: Quantitative Finance.
[Full Text][Citation analysis]
article30
2006Drawdowns preceding rallies in the Brownian motion model In: Quantitative Finance.
[Full Text][Citation analysis]
article13

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2020. Contact: CitEc Team