Alan White : Citation Profile

Are you Alan White?

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H index

8

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1518

Citations

RESEARCH PRODUCTION:

18

Articles

4

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 50
   Journals where Alan White has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 1 (0.07 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwh61
   Updated: 2024-11-08    RAS profile: 2020-10-04    
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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:

Schlogl, Erik (12)

Nikitopoulos-Sklibosios, Christina (10)

Mayordomo, Sergio (9)

LINTON, OLIVER (8)

Moreno, Manuel (8)

Platen, Eckhard (8)

Dionne, Georges (7)

HASAN, IFTEKHAR (7)

Diebold, Francis (6)

Regis, Luca (6)

luciano, elisa (6)

Cites to:

Chen, Zhiwu (4)

Cao, Charles (4)

White, Alan (4)

Vorst, Ton (3)

Houweling, Patrick (3)

Alexander, Carol (3)

Campbell, John (2)

merton, robert (2)

Scholes, Myron (2)

Bardsley, Peter (2)

Richardson, James (2)

Main data

Where Alan White has published?

Journals with more than one article published# docs
Journal of Banking & Finance3
American Journal of Public Health3
Journal of Financial and Quantitative Analysis3
AFBM Journal2

Working Papers Series with more than one paper published# docs
EB Series / Cornell University, Department of Applied Economics and Management2

Recent works citing Alan White (2024 and 2023)

YearTitle of citing document
2023What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra.

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2023Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito. (2023). Perillo, Marcelo Fabian. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:11-01.

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2024The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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2024Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2023Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2023). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2024Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026.

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2023Analytic RFR Option Pricing with Smile and Skew. (2023). Romero-Berm, Aurelio ; Turfus, Colin. In: Papers. RePEc:arx:papers:2301.01260.

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2023Unbiased estimators for the Heston model with stochastic interest rates. (2023). Pan, Jiangtao ; Zheng, Chao. In: Papers. RePEc:arx:papers:2301.12072.

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2023Optimal management of DB pension fund under both underfunded and overfunded cases. (2023). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2302.08731.

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2023Market Making and Pricing of Financial Derivatives based on Road Travel Times. (2023). Kornhauser, Alain ; Wan, KE. In: Papers. RePEc:arx:papers:2305.02523.

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2023Option pricing under jump diffusion model. (2023). Wang, LI ; Li, Qian. In: Papers. RePEc:arx:papers:2305.10678.

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2023Exploring Dynamic Asset Pricing within Bachelier Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: Papers. RePEc:arx:papers:2307.04059.

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2023American options in time-dependent one-factor models: Semi-analytic pricing, numerical methods and ML support. (2023). Muravey, Dmitry ; Itkin, Andrey. In: Papers. RePEc:arx:papers:2307.13870.

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2023Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547.

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2023Applying Deep Learning to Calibrate Stochastic Volatility Models. (2023). Bilokon, Paul ; Sridi, Abir. In: Papers. RePEc:arx:papers:2309.07843.

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2023Applying Reinforcement Learning to Option Pricing and Hedging. (2023). Stoiljkovic, Zoran. In: Papers. RePEc:arx:papers:2310.04336.

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2024A Unifying Approach for the Pricing of Debt Securities. (2024). MacKay, Anne ; Vachon, Marie-Claude. In: Papers. RePEc:arx:papers:2403.06303.

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2024Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761.

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2024Deep Joint Learning valuation of Bermudan Swaptions. (2024). 'Alvaro Leitao, ; Casanova, Francisco G'Omez ; de Lope, Fernando. In: Papers. RePEc:arx:papers:2404.11257.

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2023Default risk and earnings expectations: The role of contract maturity in the credit default swap market. (2023). Taylor, Gary K ; Hill, Mary S. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:4275-4298.

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2023Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes. (2023). Teng, Yuanyang ; Li, Yicun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:177:y:2023:i:c:s0960077923011050.

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2023What went wrong? The Puerto Rican debt crisis, the “Treasury Put,” and the failure of market discipline. (2023). Chirinko, Bob. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000585.

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2024Target rate factors in short rate models. (2024). Harju, Antti J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001560.

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2024Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Yu, Baimin ; Wang, Xingchun ; Cai, Chengyou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation. (2023). Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:961-978.

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2023Maximum likelihood estimation of the Hull–White model. (2023). Rus, Toma ; Kladivko, Kamil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:227-247.

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2023Valuation of callable range accrual linked to CMS Spread under generalized swap market model. (2023). Huang, Zi-Wei ; Hsieh, Chang-Chieh ; He, Jie-Cao ; Lin, Shih-Kuei. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004726.

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2024Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy. (2024). Nakagawa, Kei ; Horikawa, Hiroaki. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001314.

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2023Quantifying additionality thresholds for forest carbon offsets in Mississippi pine pulpwood markets. (2023). Abt, Robert C ; Baker, Justin S ; Rossi, David J. In: Forest Policy and Economics. RePEc:eee:forpol:v:156:y:2023:i:c:s1389934123001545.

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2023Pricing of European currency options considering the dynamic information costs. (2023). de Peretti, Christian ; ben Hamad, Salah ; Dammak, Wael ; Eleuch, Hichem. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000923.

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2023Judgment day: Algorithmic trading around the Swiss franc cap removal. (2023). Breedon, Francis ; Vause, Nicholas ; Ranaldo, Angelo ; Chen, Louisa. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001453.

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2024Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates. (2024). Wu, Lan ; Jia, Zijian ; Zhao, Chaoyi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:156-175.

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2023Fair-washing in the market for structured retail products? Voluntary self-regulation versus government regulation. (2023). Tallau, Christian ; Shkel, David ; Munchhalfen, Patrick ; Baule, Rainer. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003296.

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2023Evaluating the validity of regulatory interest rate risk measures – a simulation approach. (2023). Platte, Daniel ; Claussen, Catharina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001383.

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2023Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities. (2023). Tambue, Antoine ; Nyoumbi, Christelle Dleuna. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:207:y:2023:i:c:p:388-416.

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2023An analytical GARCH valuation model for spread options with default risk. (2023). Yin, Xunbai ; Xu, Guangli ; Tang, Dan ; Song, Shiyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:1-20.

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2023How does national culture affect the spillover effects of sovereign ratings on corporate ratings?. (2023). Jian, Jhih-Shan ; Liang, Hsin-Yu ; Ho, Amy Yueh-Fang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:671-691.

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2023The dynamics of CEO equity vs. inside debt and firm performance. (2023). Wang, Jun ; Switzer, Lorne N ; Pollock, Susan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192300017x.

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2024Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective. (2024). Panaretos, Victor M ; Santoro, Leonardo V ; Mohammadi, Neda. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:167:y:2024:i:c:s0304414923002119.

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2023.

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2023Research on Pricing Methods of Convertible Bonds Based on Deep Learning GAN Models. (2023). Meng, Tao ; Ren, Gui. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:4:p:145-:d:1297732.

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2023On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees. (2023). Boudreault, Mathieu ; Badescu, Alexandru ; Augustyniak, Maciej. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:112-:d:1065025.

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2023Exploring Dynamic Asset Pricing within Bachelier’s Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar T ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:8:p:352-:d:1203273.

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2023.

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2023Optimal Choice between Defined Contribution and Cash Balance Pension Schemes: Balancing Interests of Employers and Workers. (2023). Devolder, Pierre ; Hanna, Vanessa. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:7:p:135-:d:1199329.

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2023Pricing and Hedging Guaranteed Equity Securities. (2023). Lee, David. In: Working Papers. RePEc:hal:wpaper:hal-04140384.

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2023Forecast the Role of GCC Financial Stress on Oil Market and GCC Financial Markets Using Convolutional Neural Networks. (2023). Abbes, Mouna Boujelbene ; Mezghani, Taicir. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09387-3.

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2023Valuation of Standard Call Options Using the Euler–Maruyama Method with Strong Approximation. (2023). Giron, Luis Eduardo ; Suescun-Diaz, Daniel. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10258-2.

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2023A stochastic Asset Liability Management model for life insurance companies. (2023). Simonella, Roberta ; di Francesco, Marco. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00411-0.

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2023Can credit default swaps exert an enduring monitoring influence on political integrity?. (2023). Chen, Sheng-Syan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:2:d:10.1007_s11156-022-01100-9.

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2023The informational content of sovereign credit rating: another look. (2023). Chebbi, Tarek ; Nakai, Fathi. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:5:d:10.1057_s41260-023-00311-6.

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2023Hedging Interest Rate Options with Reinforcement Learning: an investigation of a heavy-tailed distribution. (2023). de Mello, Leonardo Fagundes ; Baczynski, Jack ; da Silva, Allan Jonathan. In: Business and Management Studies. RePEc:rfa:bmsjnl:v:9:y:2023:i:2:p:14.

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2023Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation. (2023). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0462.

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2023.

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2023Interest rates forecasting: Between Hull and White and the CIR#—How to make a single?factor model work. (2021). Orlando, Giuseppe ; Bufalo, Michele. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1566-1580.

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2023Smile?implied hedging with volatility risk. (2021). Stentoft, Lars ; Franois, Pascal. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1220-1240.

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2023A new option for mortality–interest rates. (2023). Tsai, Cary Chiliang ; Lin, Tzuling. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:273-293.

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Works by Alan White:

YearTitleTypeCited
2010Sheep enterprises—what are the differences? In: AFBM Journal.
[Full Text][Citation analysis]		article1
2013Whole farm analysis versus activity gross margin analysis: a sheep farm example In: AFBM Journal.
[Full Text][Citation analysis]		article2
1989Managing with Finance In: EB Series.
[Full Text][Citation analysis]		paper0
1990Employee Recruitment and Selection: Teaching Manual In: EB Series.
[Full Text][Citation analysis]		paper1
2012Ethical justification for conducting public health surveillance without patient consent In: American Journal of Public Health.
[Full Text][Citation analysis]		article3
2014Breast cancer mortality among American Indian and Alaska native women, 1990û2009 In: American Journal of Public Health.
[Full Text][Citation analysis]		article0
2014Erratum: Breast cancer mortality among American Indian and Alaska Native women, 1990-2009 (Am J Public Health (2014) 104 (S432-S438) DOI: 10.2105/AJPH.2013.301720) In: American Journal of Public Health.
[Full Text][Citation analysis]		article0
2009Office markets and space usage - Charting the future for workplaces In: ERES.
[Full Text][Citation analysis]		paper0
1988The Use of the Control Variate Technique in Option Pricing In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article38
1990Valuing Derivative Securities Using the Explicit Finite Difference Method In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article86
1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article136
2013Credit Derivatives In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]		chapter3
1995The impact of default risk on the prices of options and other derivative securities In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article106
2004The relationship between credit default swap spreads, bond yields, and credit rating announcements In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article427
2017Optimal delta hedging for options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article32
1987Hedging the risks from writing foreign currency options In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article25
2016Barriers and facilitators to health screening in men: A systematic review In: Social Science & Medicine.
[Full Text][Citation analysis]		article7
2004The impact of e-marketplaces on buyer–supplier relationships: a cross industry perspective of the "move to the middle" hypothesis In: International Journal of Information Technology and Management.
[Full Text][Citation analysis]		article0
Current and Projected Workforce Requirements for Care of the Critically Ill and Patients with Pulmonary Disease In: Mathematica Policy Research Reports.
[Full Text][Citation analysis]		paper5
1990Pricing Interest-Rate-Derivative Securities. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article642
2009Development of a budget-impact model to quantify potential cost savings from prescription opioids designed to deter abuse or ease of extraction In: Applied Health Economics and Health Policy.
[Full Text][Citation analysis]		article3
2011Guest Editors introduction In: Housing Policy Debate.
[Full Text][Citation analysis]		article0
2015A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions In: Quantitative Finance.
[Full Text][Citation analysis]		article1

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