Alan White : Citation Profile


Are you Alan White?

University of Toronto

8

H index

8

i10 index

2254

Citations

RESEARCH PRODUCTION:

8

Articles

2

Papers

3

Chapters

RESEARCH ACTIVITY:

   23 years (1987 - 2010). See details.
   Cites by year: 98
   Journals where Alan White has often published
   Relations with other researchers
   Recent citing documents: 177.    Total self citations: 2 (0.09 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwh19
   Updated: 2021-10-16    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)

McAleer, Michael (13)

Diebold, Francis (13)

Nikitopoulos-Sklibosios, Christina (13)

Shephard, Neil (13)

Andersen, Torben (12)

Garcia, René (12)

Renault, Eric (12)

Alexander, Carol (12)

Yu, Jun (11)

Cites to:

Houweling, Patrick (2)

White, Alan (2)

Vorst, Ton (2)

Lando, David (1)

hendershott, patric (1)

Duffee, Greg (1)

Brynjolfsson, Erik (1)

Pindyck, Robert (1)

Scholes, Myron (1)

Kane, Edward (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 (2021 and 2020)


YearTitle of citing document
2021Lévy interest rate models with a long memory. (2021). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021020.

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2021Portfolio insurance under rough volatility and Volterra processes. (2021). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021026.

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2021Communication of Credit Rating Agencies and Financial Markets. (2021). Menna, Lorenzo ; Tobal, Martin. In: Working Papers. RePEc:aoz:wpaper:80.

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2020Rational 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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2020Mixing 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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2020Fast 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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2020Closed-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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2020A 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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2020Affine 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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2020A 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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2020Compact 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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2021An 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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2020Quantization-based Bermudan option pricing in the $FX$ world. (2019). Pages, Gilles ; Montes, Thibaut ; Lemaire, Vincent ; Fayolle, Jean-Michel. In: Papers. RePEc:arx:papers:1911.05462.

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2020Solution of option pricing equations using orthogonal polynomial expansion. (2019). Posp, Jan ; Filipov, Katevrina ; Baustian, Falko. In: Papers. RePEc:arx:papers:1912.06533.

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2020Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967.

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2020Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes. (2020). Wang, Xingchun ; Liang, Gechun. In: Papers. RePEc:arx:papers:2001.09443.

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2020Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface. (2020). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2001.09850.

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2020Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures. (2020). Li, Jonathan Yumeng ; Delage, Erick ; Marzban, Saeed . In: Papers. RePEc:arx:papers:2002.02876.

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2020A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model. (2020). Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:2003.05358.

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2020An iterative splitting method for pricing European options under the Heston model. (2020). Huang, Zhongyi ; Li, Hongshan. In: Papers. RePEc:arx:papers:2003.12934.

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2020Fixed income portfolio optimisation: Interest rates, credit, and the efficient frontier. (2020). Martin, Richard J. In: Papers. RePEc:arx:papers:2004.02312.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020Short-Term Investments and Indices of Risk. (2020). Schreiber, Amnon ; Heller, Yuval. In: Papers. RePEc:arx:papers:2005.06576.

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2020Al\`os type decomposition formula for Barndorff-Nielsen and Shephard model. (2020). Arai, Takuji. In: Papers. RePEc:arx:papers:2005.07393.

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2020Explicit approximations for option prices via Malliavin calculus for the stochastic Verhulst volatility model. (2020). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542.

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2020A pure-jump mean-reverting short rate model. (2020). Hess, Markus. In: Papers. RePEc:arx:papers:2006.14814.

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2020Dynamic Hedging using Generated Genetic Programming Implied Volatility Models. (2020). Abdelmalek, Wafa ; Abid, Fathi ; ben Hamida, Sana. In: Papers. RePEc:arx:papers:2006.16407.

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2020Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate. (2020). Magdziarz, Marcin Marcin ; Shokrollahi, Foad . In: Papers. RePEc:arx:papers:2007.12228.

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2020A decomposition formula for fractional Heston jump diffusion models. (2020). Ortiz-Latorre, Salvador ; Lagunas-Merino, Marc. In: Papers. RePEc:arx:papers:2007.14328.

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2020Model-driven statistical arbitrage on LETF option markets. (2020). Hardle, Wolfgang Karl ; Nasekin, Sergey. In: Papers. RePEc:arx:papers:2009.09713.

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2020Deep learning for CVA computations of large portfolios of financial derivatives. (2020). Oosterlee, Cornelis ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2010.13843.

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2021Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308.

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2021Hedging of Financial Derivative Contracts via Monte Carlo Tree Search. (2021). Szehr, Oleg. In: Papers. RePEc:arx:papers:2102.06274.

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2021Deep Stochastic Volatility Model. (2021). Chen, Ying ; Xu, Xiuqin. In: Papers. RePEc:arx:papers:2102.12658.

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2021A Black-Scholes users guide to the Bachelier model. (2021). Choi, Jaehyuk ; Wang, Yumeng ; Tee, Chyng Wen ; Kwak, Minsuk. In: Papers. RePEc:arx:papers:2104.08686.

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2021Three little arbitrage theorems. (2021). Contreras, Mauricio ; Ortiz, Roberto . In: Papers. RePEc:arx:papers:2104.10187.

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2021How to handle negative interest rates in a CIR framework. (2021). Kamm, Kevin ; di Francesco, Marco. In: Papers. RePEc:arx:papers:2106.03716.

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2021Robustness and sensitivity analyses for rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan. In: Papers. RePEc:arx:papers:2107.12462.

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2021On simulation of rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan. In: Papers. RePEc:arx:papers:2108.01999.

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2021$\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs. (2021). Kebiri, Omar ; Remita, Mohamed Riad ; Hartmann, Carsten ; Mezdoud, Zaineb. In: Papers. RePEc:arx:papers:2108.06965.

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2021Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621.

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2021Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2020Efficient Solutions for Pricing and Hedging Interest Rate Asian Options. (). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan . In: Working Papers Series. RePEc:bcb:wpaper:513.

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2020Option pricing with orthogonal polynomial expansions. (2020). Filipovi, Damir ; Ackerer, Damien. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:47-84.

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2020The Pricing of Bank Bonds, Sovereign Credit Risk and ECBs Asset Purchase Programmes. (2020). Ribeiro, Ricardo ; Pinto, João ; Branco, Ricardo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:012020.

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2021Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito, Parte 2. (2021). Perillo, Marcelo F. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:790.

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2020LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC. (2020). Fergusson, Kevin. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:381-417_3.

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2020Dynamic Modeling Data Export Oil and Gas and Non-Oil and Gas by ARMA(2,1)-GARCH(1,1) Model: Study of Indonesian’s Export over the Years 2008-2019. (2020). Russel, Edwin ; Nairobi, Nairobi ; Wamiliana, Wamiliana ; Usman, Mustofa ; Darmawan, Arif ; Ambya, Ambya. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-06-23.

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2020An iterative splitting method for pricing European options under the Heston model?. (2020). Huang, Zhongyi ; Li, Hongshan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:387:y:2020:i:c:s0096300320303854.

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2021Markov chain approximation and measure change for time-inhomogeneous stochastic processes. (2021). Ning, Ning ; Ding, Kailin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306858.

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2021A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing. (2021). Sheng, Q ; Chien, C.-S., ; Shih, Y.-T., ; Lin, Y.-T., . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:393:y:2021:i:c:s0096300320307177.

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2021Deep learning for CVA computations of large portfolios of financial derivatives. (2021). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:409:y:2021:i:c:s0096300321004884.

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2021Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence. (2021). Peters, Gareth W ; Dias, Fabio S. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:411:y:2021:i:c:s0096300321005737.

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2021Financial news and CDS spreads. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303774.

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2020Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model. (2020). Deng, Guohe. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920308043.

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2021A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model. (2021). He, Xin-Jiang ; Lin, Sha. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077920310353.

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2021The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (2021). Wang, Shilin ; Cao, Piyao ; Yang, Zijian. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:148:y:2021:i:c:s0960077921003660.

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2020The intraday timing of rating changes. (2020). Kraft, Pepa ; Zhou, Ling ; Xie, Yuan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918303821.

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2020A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance. (2020). Pinto, João ; Marques, Manuel O. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300249.

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2020A consistent stochastic model of the term structure of interest rates for multiple tenors. (2020). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300312.

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2020A temperature stochastic model for option pricing and its impacts on the electricity market. (2020). Mora, José ; Prabakaran, Sellamuthu ; Garcia, Isabel C. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:58-77.

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2020The distribution of index futures realised volatility under seasonality and microstructure noise. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:398-414.

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2021Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters. (2021). Xu, Jiawen ; Pang, Tao ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:340-350.

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2020Procyclical ratings and market reactions. (2020). Mortenson, Kristian ; Kemper, Kristopher J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301372.

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2020Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302316.

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2020Comparative empirical study of binomial call-option pricing methods using S&P 500 index data. (2020). Herbon, Avi ; Shvimer, Yossi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302268.

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2020Is the nonlinear hedge of options more effective?—Evidence from the SSE 50 ETF options in China. (2020). Xiao, Wei-Lin ; Wang, Zi-Ling ; Yu, Xiao-Jian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302948.

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2020Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study. (2020). Chen, Naiwei ; Bian, Zhicun ; Hong, Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303565.

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2020Approximate analytic solution for Asian options with stochastic volatility. (2020). Chang, Chia-Chang ; Lin, Chung-Gee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818305734.

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2020An excellent approximation for the m out of n day provision. (2020). Guo, Shuxin ; Liu, Qiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301194.

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2020Valuing spread options with counterparty risk and jump risk. (2020). Wang, Xingchun ; Li, Zelei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301650.

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2021Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model. (2021). Lin, Shih-Kuei ; Zheng, Wen-Jie ; Tang, Kin-Boon . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302242.

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2021Valuation of options on the maximum of two prices with default risk under GARCH models. (2021). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000541.

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2020Statistical inferences for price staleness. (2020). Pirino, Davide ; Livieri, Giulia ; Kolokolov, Aleksey. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:32-81.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2021Quantile LASSO in arbitrage-free option markets. (2021). MacIak, Matu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:106-116.

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2021Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062.

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2020Testing moving average trading strategies on ETFs. (2020). Huang, Jingzhi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:16-32.

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2021Canadian industry level production and energy prices. (2021). Elder, John. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001857.

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2020Crude oil price volatility and equity return predictability: A comparative out-of-sample study. (2020). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301654.

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2021The impact of COVID-19 pandemic on transmission of monetary policy to financial markets. (2021). Han, Liyan ; Wei, Xiaoyun. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s105752192100048x.

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2020Credit default swap and two-sided moral hazard. (2020). Gong, Yaxian. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319301965.

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2020A better criterion for forced selling in bond markets: Credit ratings versus credit spreads. (2020). Yoon, Sun-Joong ; Yi, Junesuh ; Choi, Jae Yong. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319304611.

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2021Fractal analysis of market (in)efficiency during the COVID-19. (2021). Bianchi, Sergio ; Frezza, Massimiliano ; Pianese, Augusto. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316652.

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2021Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis. (2021). Salvade, Federica ; Raimbourg, Philippe. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320302695.

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2020Credit default swaps and market information. (2020). Osano, Hiroshi. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830257x.

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2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

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2021Sovereign credit ratings: Discovering unorthodox factors and variables. (2021). Teo, Wing Leong ; Chit, Myint Moe ; Choy, Swee Yew. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300120.

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2021Measuring changes in credit risk: The case of CDS event studies. (2021). Doumet, Markus ; Betzer, Andre ; Andres, Christian. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000454.

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2020Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility. (2020). Wong, Hoi Ying ; Yan, Tingjin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:105-119.

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2021Prepayment risk in reverse mortgages: An intensity-governed surrender model. (2021). Lee, Yung-Tsung ; Shi, Tianxiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:68-82.

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2020On the effect of credit rating announcements on sovereign bonds: International evidence. (2020). Lemonidi, Paraskevi ; Umar, Zaghum ; Kenourgios, Dimitrios . In: International Economics. RePEc:eee:inteco:v:163:y:2020:i:c:p:58-71.

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2021A closed formula for illiquid corporate bonds and an application to the European market. (2021). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000020.

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2021Loan syndication under Basel II: How do firm credit ratings affect the cost of credit?. (2021). Wu, Eliza ; Politsidis, Panagiotis ; Kim, Suk-Joong ; HASAN, IFTEKHAR. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000500.

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2020Performance of default-risk measures: the sample matters. (2020). Muga, Luis ; Sanchez, Santiago ; Gonzalez-Urteaga, Ana ; Abinzano, Isabel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302211.

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2021Listing of classical options and the pricing of discount certificates. (2021). Schertler, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302727.

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2021Optimal collective investment: The impact of sharing rules, management fees and guarantees. (2021). Rach, Manuel ; Nguyen, Thai ; Chen, AN. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302739.

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2021To change or not to change? The CDS market response of firms on credit watch. (2021). Schiereck, Dirk ; Norden, Lars ; Kolaric, Sascha ; Kiesel, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s037842662100025x.

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2021Interest rate risk in the banking book: A closed-form solution for non-maturity deposits. (2021). Blochlinger, Andreas . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000388.

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2021Under-reaction in the sovereign CDS market. (2021). Zhang, Jinfan ; Yan, Hongjun ; Xiao, Yaqing ; Wang, Xinjie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621001503.

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2021What determines wholesale funding costs of the global systemically important banks?. (2021). Ma, Yihong ; Delpachitra, Sarath ; Yu, Xiao ; Cottrell, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:132:y:2021:i:c:s0378426621001564.

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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.
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article1084
1988The Use of the Control Variate Technique in Option Pricing In: Journal of Financial and Quantitative Analysis.
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article33
1990Valuing Derivative Securities Using the Explicit Finite Difference Method In: Journal of Financial and Quantitative Analysis.
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article73
1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities In: Journal of Financial and Quantitative Analysis.
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article118
1995The impact of default risk on the prices of options and other derivative securities In: Journal of Banking & Finance.
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article82
2004The relationship between credit default swap spreads, bond yields, and credit rating announcements In: Journal of Banking & Finance.
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article322
1987Hedging the risks from writing foreign currency options In: Journal of International Money and Finance.
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article23
2007Price Indexes for Microsoft In: NBER Chapters.
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chapter6
2010Hedonic Price Indexes for Personal Computer Operating Systems and Produtivity Suites In: NBER Chapters.
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chapter8
2004Hedonic Price Indexes for Personal Computer Operating Systems and Productivity Suites.(2004) In: NBER Working Papers.
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2009Comment on Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory In: NBER Chapters.
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chapter0
2003Price Indexes for Microsofts Personal Computer Software Products In: NBER Working Papers.
[Full Text][Citation analysis]
paper4
1990Pricing Interest-Rate-Derivative Securities. In: Review of Financial Studies.
[Full Text][Citation analysis]
article501

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