Alan White : Citation Profile


Are you Alan White?

University of Toronto

8

H index

8

i10 index

1984

Citations

RESEARCH PRODUCTION:

8

Articles

2

Papers

3

Chapters

RESEARCH ACTIVITY:

   23 years (1987 - 2010). See details.
   Cites by year: 86
   Journals where Alan White has often published
   Relations with other researchers
   Recent citing documents: 241.    Total self citations: 2 (0.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwh19
   Updated: 2019-11-16    RAS profile: 2010-02-09    
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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 White.

Is cited by:

Chiarella, Carl (21)

Bollerslev, Tim (14)

Shephard, Neil (13)

McAleer, Michael (13)

Nikitopoulos-Sklibosios, Christina (13)

Diebold, Francis (13)

Andersen, Torben (12)

Alexander, Carol (12)

Renault, Eric (12)

Garcia, René (11)

Platen, Eckhard (11)

Cites to:

Vorst, Ton (2)

White, Alan (2)

Houweling, Patrick (2)

Duffee, Greg (1)

Brynjolfsson, Erik (1)

Lando, David (1)

Kane, Edward (1)

Scholes, Myron (1)

Pindyck, Robert (1)

hendershott, patric (1)

Main data


Where Alan White has published?


Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis3
Journal of Banking & Finance2

Recent works citing Alan White (2018 and 2017)


YearTitle of citing document
2017The TIPS Liquidity Premium. (2017). Riddell, Simon ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-27.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2017A unified framework for pricing credit and equity derivatives. (2017). Stagni, Roberto ; Ruiz, Edward Manuel ; de Martino, Andrea. In: Working Papers. RePEc:apc:wpaper:2017-116.

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2017The asymptotic smile of a multiscaling stochastic volatility model. (2017). Caravenna, Francesco ; Corbetta, Jacopo. In: Papers. RePEc:arx:papers:1501.03387.

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2017Robust replication of barrier-style claims on price and volatility. (2017). Carr, Peter ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1508.00632.

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2019Getting Started with Particle Metropolis-Hastings for Inference in Nonlinear Dynamical Models. (2017). Dahlin, Johan ; Schon, Thomas B. In: Papers. RePEc:arx:papers:1511.01707.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2019Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

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2018Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing. (2018). Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1608.02028.

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2017Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456.

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2017Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey. In: Papers. RePEc:arx:papers:1701.02821.

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2017Rough volatility: evidence from option prices. (2017). Pallavicini, Andrea ; Rosenbaum, Mathieu ; Mouti, Saad ; Livieri, Giulia. In: Papers. RePEc:arx:papers:1702.02777.

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2017Uncertain Volatility Models with Stochastic Bounds. (2017). Ning, Ning ; Fouque, Jean-Pierre. In: Papers. RePEc:arx:papers:1702.05036.

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2017Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time. (2017). Oliva, Immacolata ; Mammi, Luca ; di Persio, Luca ; Bonollo, Michele . In: Papers. RePEc:arx:papers:1704.03244.

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2017Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Muhle-Karbe, Johannes ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1704.04524.

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2017Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model. (2017). Yang, Zhiming ; Yao, Nian. In: Papers. RePEc:arx:papers:1704.08234.

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2017Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. (2017). Kastner, Gregor ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1706.05280.

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2017Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model. (2017). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:1707.00899.

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2018Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims. (2018). Neufeld, Ariel. In: Papers. RePEc:arx:papers:1707.01178.

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2017A sentiment-based model for the BitCoin: theory, estimation and option pricing. (2017). Cretarola, Alessandra ; Patacca, Marco ; Figa-Talamanca, Gianna . In: Papers. RePEc:arx:papers:1709.08621.

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2017The implied volatility of Forward-Start options: ATM short-time level, skew and curvature. (2017). Jacquier, Antoine ; Leon, Jorge ; Alos, Elisa. In: Papers. RePEc:arx:papers:1710.11232.

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2019Polynomial Jump-Diffusion Models. (2019). Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1711.08043.

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2019Option Pricing with Orthogonal Polynomial Expansions. (2019). Filipovic, Damir ; Ackerer, Damien. In: Papers. RePEc:arx:papers:1711.09193.

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2018Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods. (2018). Shcherbakov, Victor ; Milovanovi, Slobodan. In: Papers. RePEc:arx:papers:1711.09852.

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2017Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Enrique, Villamor ; Pablo, Olivares. In: Papers. RePEc:arx:papers:1711.10013.

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2018A Neural Stochastic Volatility Model. (2018). Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan ; Luo, Rui. In: Papers. RePEc:arx:papers:1712.00504.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). di Matteo, Tiziana ; Buonocore, Riccardo Junior ; Verma, Anshul. In: Papers. RePEc:arx:papers:1712.02138.

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2017Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model. (2017). Baviera, Roberto. In: Papers. RePEc:arx:papers:1712.06466.

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2018Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804.

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2018Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets. (2018). Tavin, Bertrand ; Schneider, Lorenz. In: Papers. RePEc:arx:papers:1802.01393.

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2018Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method. (2018). Tan, Shih-Hau ; Hok, Julien. In: Papers. RePEc:arx:papers:1803.03941.

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2019Mixing LSMC and PDE Methods to Price Bermudan Options. (2019). Jaimungal, Sebastian ; Jackson, Kenneth ; Farahany, David. In: Papers. RePEc:arx:papers:1803.07216.

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2018Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models. (2018). Mehra, Mani ; Patel, Kuldip Singh. In: Papers. RePEc:arx:papers:1804.07534.

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2018Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997.

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2018Algorithmic Trading with Fitted Q Iteration and Heston Model. (2018). Le, Son . In: Papers. RePEc:arx:papers:1805.07478.

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2019Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough). (2019). Gilles, Pages ; Martino, Grasselli ; Giorgia, Callegaro. In: Papers. RePEc:arx:papers:1805.12587.

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2018A Feynman-Kac type formula for a fixed delay CIR model. (2018). Nappo, Giovanna ; Flore, Federico. In: Papers. RePEc:arx:papers:1806.00997.

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2018On The Calibration of Short-Term Interest Rates Through a CIR Model. (2018). Bufalo, Michele ; Mininni, Rosa Maria ; Orlando, Giuseppe. In: Papers. RePEc:arx:papers:1806.03683.

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2018European Option Pricing with Stochastic Volatility models under Parameter Uncertainty. (2018). Tegn, Martin ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:1807.03882.

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2018On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Muguruza, Aitor ; Garc, David ; Alos, Elisa. In: Papers. RePEc:arx:papers:1808.03610.

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2018Hyperbolic normal stochastic volatility model. (2018). Ki, Byoung ; Liu, Chenru ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:1809.04035.

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2019Tail probabilities for short-term returns on stocks. (2019). Wilmott, Paul ; Rasmussen, Henrik O. In: Papers. RePEc:arx:papers:1809.08416.

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2018Deep calibration of rough stochastic volatility models. (2018). Stemper, Benjamin ; Bayer, Christian. In: Papers. RePEc:arx:papers:1810.03399.

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2018Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series. (2018). Liu, Yuanyuan ; Yang, Yaodong ; Luo, Rui ; Zhang, Qiang. In: Papers. RePEc:arx:papers:1811.03711.

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2019Closed-form expansions with respect to the mixing solution for option pricing under stochastic volatility. (2019). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:1812.07803.

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2018A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. (2018). Nistor, Victor ; Han, Xiao ; Grishchenko, Olesya. In: Papers. RePEc:arx:papers:1812.09904.

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2019Forecasting interest rates through Vasicek and CIR models: a partitioning approach. (2019). Bufalo, Michele ; Mininni, Rosa Maria ; Orlando, Giuseppe. In: Papers. RePEc:arx:papers:1901.02246.

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2019A closed formula for illiquid corporate bonds and an application to the European market. (2019). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1901.06855.

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2019Revising SA-CCR. (2019). Kenyon, Chris ; Islah, Othmane ; Berrahoui, Mourad. In: Papers. RePEc:arx:papers:1902.08405.

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2019Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method. (2019). Itkin, Andrey ; Soleymani, Fazlollah. In: Papers. RePEc:arx:papers:1903.00937.

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2019Affine term structure models : a time-changed approach with perfect fit to market curves. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1903.04211.

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2019Option Pricing via Multi-path Autoregressive Monte Carlo Approach. (2019). Chung, Wei-Ho ; Chen, Wei-Cheng. In: Papers. RePEc:arx:papers:1906.06483.

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2019Decomposition formula for jump diffusion models. (2019). Vives, Josep ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.06930.

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2019Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101.

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2019A weighted finite difference method for subdiffusive Black Scholes Model. (2019). Plociniczak, Lukasz ; Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:1907.00297.

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2019CVA and vulnerable options in stochastic volatility models. (2019). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Papers. RePEc:arx:papers:1907.12922.

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2019Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model. (2019). Liu, Ruihua ; Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:1908.04900.

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2019Entropic Dynamics of Stocks and European Options. (2019). Bartolomeo, Daniel ; Abedi, Mohammad. In: Papers. RePEc:arx:papers:1908.06355.

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2019Entropic Dynamics of Exchange Rates and Options. (2019). Bartolomeo, Daniel ; Abedi, Mohammad. In: Papers. RePEc:arx:papers:1908.06358.

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2019A lognormal type stochastic volatility model with quadratic drift. (2019). Willems, Sander ; Carr, Peter. In: Papers. RePEc:arx:papers:1908.07417.

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2019On deep calibration of (rough) stochastic volatility models. (2019). Tomas, Mehdi ; Stemper, Benjamin ; Muguruza, Aitor ; Horvath, Blanka ; Bayer, Christian. In: Papers. RePEc:arx:papers:1908.08806.

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2019An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2019Option pricing under normal dynamics with stochastic volatility. (2019). Maheswara, Matta Uma. In: Papers. RePEc:arx:papers:1909.08047.

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2019A Volatility Smile-Based Uncertainty Index. (2019). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:502.

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2017The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature. (2017). Jacquier, Antoine ; Leon, Jorge A ; Alos, Elisa. In: Working Papers. RePEc:bge:wpaper:988.

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2018Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Miao, Evan Weicheng ; Binici, Mahir ; Hutchison, Michael M. In: BIS Working Papers. RePEc:bis:biswps:704.

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2017The role of managerial risk-taking in the ‘rise and fall’ of the CDS market. (2017). Dias, Roshanthi . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:117-145.

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2018The sensitivity of the credit default swap market to financial analysts’ forecast revisions. (2018). Alam, Pervaiz ; Hettler, Barry ; Pu, Xiaoling . In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:697-725.

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2017Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry. (2017). Blickle, Kristian ; Ehmann, Christian ; Ammann, Manuel. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:127-152.

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2019Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?. (2019). Lawrence, Edward R ; Dandapani, Krishnan ; Rodriguez, Ivan M. In: Financial Management. RePEc:bla:finmgt:v:48:y:2019:i:1:p:229-256.

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2017Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk. (2017). luciano, elisa ; Vigna, Elena ; Regis, Luca. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:961-986.

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2017Forecasting in the presence of in and out of sample breaks. (2017). Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-004.

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2018Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-014.

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2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models. (2019). NG, KOK HAUR ; Kok-Haur, NG ; Shelton, Peiris ; Thanakorn, Nitithumbundit ; So, Chan Jennifer. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:2:p:22:n:4.

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2018Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach(Forthcoming in Asia-Pacific Financial Markets. ). (2018). Takahashi, Akihiko ; Sato, Seisho ; Nishimura, Kiyohiko G. In: CARF F-Series. RePEc:cfi:fseres:cf446.

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2017Credit Ratings and Market Information. (2017). Piccolo, Alessio ; Shapiro, Joel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11961.

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2018The term structure of redenomination risk. (2018). Kriwoluzky, Alexander ; Kim, Chi Hyun ; Bayer, Christian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12965.

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2017Pricing Vulnerable Options with Constant Elasticity of Variance versus Stochastic Elasticity of Variance. (2017). Lee, Min-Ku ; Kim, Jeong-Hoon ; Yang, Phd Sung-Jin . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:1:p:.

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2018The Term Structure of Redenomination Risk. (2018). Kriwoluzky, Alexander ; Kim, Chi Hyun ; Bayer, Christian. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1740.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Muniainy, Peru ; Ciarreta, Aitor. In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2018Discretionary fiscal policy and sovereign risk. (2018). Montes, Gabriel ; Valpassos, Iven Silva. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00081.

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2017Pricing and simulating catastrophe risk bonds in a Markov-dependent environment. (2017). Shao, Jia ; Pantelous, Athanasios A ; Papaioannou, Apostolos D. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:309:y:2017:i:c:p:68-84.

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2018Numerical solution of generalized Black–Scholes model. (2018). Sekhara, Chandra S ; Manisha, . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:321:y:2018:i:c:p:401-421.

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2019Levelized income loss as a metric of the adaptation of wind and energy storage to variable prices. (2019). Gomez-Aleixandre, Javier ; Coto, Jose ; Diaz, Guzman. In: Applied Energy. RePEc:eee:appene:v:238:y:2019:i:c:p:1179-1191.

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2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. (2017). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:75-100.

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2018Evaluation of counterparty risk for derivatives with early-exercise features. (2018). BRETON, Michel E ; Marzouk, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:1-20.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2018A term structure model under cyclical fluctuations in interest rates. (2018). Novales, Alfonso ; Platania, Federico ; Moreno, Manuel . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:140-150.

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2017Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks. (2017). Lin, Shih-Kuei ; Xu, Lian-Wen ; Chen, Carl R ; Wang, Shin-Yun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:359-373.

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2017A multivariate stochastic unit root model with an application to derivative pricing. (2017). Phillips, Peter ; PEter, ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:99-110.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2018A new particle filtering approach to estimate stochastic volatility models with Markov-switching. (2018). Karamé, Frédéric ; Karame, Frederic. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:204-230.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2019Integrated structural approach to Credit Value Adjustment. (2019). Ballotta, Laura ; Marazzina, Daniele ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157.

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2019A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800.

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2019Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model. (2019). Wu, Linjia ; Li, Chenxu. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:768-779.

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2019On the optimality of path-dependent structured funds: The cost of standardization. (2019). Prigent, Jean-Luc ; BERTRAND, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:1:p:333-350.

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2017How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets. (2017). Ballester, Laura ; Gonzalez-Urteaga, Ana . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:200-214.

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2017Information asymmetry and investor trading behavior around bond rating change announcements. (2017). Yang, Hee Jin ; Ahn, Hee-Joon ; Kim, Maria H ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:38-51.

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2019The EIA WPSR release, OVX and crude oil internet interest. (2019). Nikkinen, Jussi ; Rothovius, Timo . In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:131-141.

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More than 100 citations found, this list is not complete...

Works by Alan White:


YearTitleTypeCited
1987 The Pricing of Options on Assets with Stochastic Volatilities. In: Journal of Finance.
[Full Text][Citation analysis]
article965
1988The Use of the Control Variate Technique in Option Pricing In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article30
1990Valuing Derivative Securities Using the Explicit Finite Difference Method In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article67
1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article110
1995The impact of default risk on the prices of options and other derivative securities In: Journal of Banking & Finance.
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