10
H index
10
i10 index
245
Citations
Svetlana Boyarchenko : Citation Profile
University of Texas-Austin | RESEARCH PRODUCTION: 19 Articles 35 Papers 2 Books 16 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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24 years (1998 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Svetlana Boyarchenko. | Is cited by:
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Main data
Where Svetlana Boyarchenko has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Theoretical and Applied Finance (IJTAF) | 4 |
| Journal of Mathematical Economics | 3 |
| Economic Theory | 2 |
| Mathematical Finance | 2 |
Recent works citing Svetlana Boyarchenko (2023 and 2022)
| Year | Title of citing document |
|---|---|
| 2022 | Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. (2021). Bergeron, Maxime ; Zhang, Xiaorong ; Jaimungal, Sebastian ; Ning, Brian. In: Papers. RePEc:arx:papers:2108.04941. Full description at Econpapers || Download paper |
| 2023 | Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Gamma-Variance Process. (2022). Nzokem, A H. In: Papers. RePEc:arx:papers:2201.03378. Full description at Econpapers || Download paper |
| 2022 | Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991. Full description at Econpapers || Download paper |
| 2022 | Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095. Full description at Econpapers || Download paper |
| 2023 | Modeling and Simulation of Financial Returns under Non-Gaussian Distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Papers. RePEc:arx:papers:2302.02769. Full description at Econpapers || Download paper |
| 2023 | Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760. Full description at Econpapers || Download paper |
| 2021 | Adaptation to climate change: Extreme events versus gradual changes. (2021). Zhao, Jinhua ; Lee, Sang Jun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001974. Full description at Econpapers || Download paper |
| 2022 | Leaving well-worn paths: Reversal of the investment-uncertainty relationship and flexible biogas plant operation. (2022). Lukas, Elmar ; Kupfer, Stefan ; Lauven, Lars-Peter ; Briest, Gordon. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:3:p:1162-1176. Full description at Econpapers || Download paper |
| 2023 | Modeling and simulation of financial returns under non-Gaussian distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123004417. Full description at Econpapers || Download paper |
| 2023 | A hybrid stochastic volatility model in a Lévy market. (2023). Vives, Josep ; Makumbe, Zororo S ; Goutte, Stephane ; El-Khatib, Youssef. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:220-235. Full description at Econpapers || Download paper |
| 2022 | Incentivizing irreversible investment. (2022). Livdan, Dmitry ; Nezlobin, Alexander. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:110531. Full description at Econpapers || Download paper |
| 2022 | . Full description at Econpapers || Download paper |
| 2022 | Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model. (2022). Kim, Young Shin. In: Annals of Operations Research. RePEc:spr:annopr:v:312:y:2022:i:2:d:10.1007_s10479-022-04613-7. Full description at Econpapers || Download paper |
| 2022 | American options and stochastic interest rates. (2022). Rotondi, Francesco ; Battauz, Anna. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:4:d:10.1007_s10287-022-00427-x. Full description at Econpapers || Download paper |
| 2023 | A fast Monte Carlo scheme for additive processes and option pricing. (2023). Baviera, Roberto ; Azzone, Michele. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00463-1. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2022 | . Full description at Econpapers || Download paper |
| 2022 | An entrepreneurs dilemma: An optimal stopping rule in pivoting. (2022). Tsionas, Mike G ; Patel, Pankaj C. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:43:y:2022:i:8:p:3498-3515. Full description at Econpapers || Download paper |
Works by Svetlana Boyarchenko:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2004 | Irreversible Decisions and Record-Setting News Principles In: American Economic Review. [Full Text][Citation analysis] | article | 23 |
| 2018 | SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS.(2019) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2019 | Static and semi-static hedging as contrarian or conformist bets In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Static and semistatic hedging as contrarian or conformist bets.(2020) In: Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2019 | Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | SINH-acceleration for B-spline projection with Option Pricing Applications In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | L\evy models amenable to efficient calculations In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Efficient evaluation of expectations of functions of a stable L\evy process and its extremum In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Efficient evaluation of double-barrier options and joint cpdf of a L\evy process and its two extrema In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Efficient inverse $Z$-transform: sufficient conditions In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Practical guide to real options in discrete time In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2007 | PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME.(2007) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2004 | Practical guide to real options in discrete time.(2004) In: Computing in Economics and Finance 2004. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2004 | Practical guide to real options in discrete time.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2005 | Practical guide to real options in discrete time II.(2005) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2004 | Universal bad news principle and pricing of options on dividend-paying assets In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Industry equilibrium with random exit or default In: Journal of Public Economic Theory. [Full Text][Citation analysis] | article | 1 |
| 2017 | EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE In: Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
| 2006 | General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion In: The B.E. Journal of Theoretical Economics. [Full Text][Citation analysis] | article | 10 |
| 2006 | General option exercise rules, with applications to embedded options and monopolistic expansion.(2006) In: 2006 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2005 | General option exercise rules, with applications to embedded options and monopolistic expansion.(2005) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2004 | Real options and the universal bad news principle In: Levine's Bibliography. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Real options and the universal bad news principle.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2001 | Arrows Equivalency Theorem in a Model with Neoclassical Firms In: Penn CARESS Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2004 | Arrows equivalency theorem in a model with neoclassical firms.(2004) In: Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2001 | Capital Accumulation under Non-Gaussian Processes and the Marshallian Law In: Penn CARESS Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Preemption games under Lévy uncertainty In: Games and Economic Behavior. [Full Text][Citation analysis] | article | 11 |
| 2014 | Preemption Games under Levy Uncertainty.(2014) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2007 | Optimal stopping made easy In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 22 |
| 2004 | Optimal stopping made easy.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2008 | Exit problems in regime-switching models In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 8 |
| 2021 | Inefficiency of sponsored research In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 0 |
| 2003 | A Three-Sector Model of the Russian Virtual Economy In: EERC Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Money Substitutes in the Russian Virtual Economy: Sources and Impact on the Economy In: EERC Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Models of Investment under Uncertainty when Shocks are Non-Gaussian. On the Impact of the Policy Uncertainty on Investment In: EERC Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2005 | American options: the EPV pricing model In: Annals of Finance. [Full Text][Citation analysis] | article | 10 |
| 2004 | American options: the EPV pricing model.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2010 | Discounting when income is stochastic and climate change policies In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Optimal stopping in Levy models, for non-monotone discontinuous payoffs In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Super- and submodularity of stopping games with random observations In: Economic Theory. [Full Text][Citation analysis] | article | 1 |
| 2007 | Irreversible Decisions under Uncertainty In: Studies in Economic Theory. [Citation analysis] | book | 13 |
| 2013 | American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 6 |
| 2002 | Pricing of perpetual Bermudan options In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2014 | Ambiguous Jump-Diffusions and Optimal Stopping In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Search-Money-and-Barter Models of Financial Stabilization In: William Davidson Institute Working Papers Series. [Full Text][Citation analysis] | paper | 4 |
| 2005 | Buridans Ass and a Menu of Options. In: Game Theory and Information. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Inside and Outside Money, with an Application to the Russian Virtual Economy In: Macroeconomics. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Search, layoffs and reservation wages when job offers follow a stochastic process In: Macroeconomics. [Full Text][Citation analysis] | paper | 0 |
| 2005 | A theory of endogenous time preference, and discounted utility anomalies In: Microeconomics. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Discount factors ex post and ex ante, and discounted utility anomalies In: Microeconomics. [Full Text][Citation analysis] | paper | 4 |
| 2000 | OPTION PRICING FOR TRUNCATED LÉVY PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 26 |
| 2011 | DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 9 |
| 2013 | EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
| 2002 | Non-Gaussian Merton-Black-Scholes Theory In: World Scientific Books. [Full Text][Citation analysis] | book | 43 |
| 2002 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Lévy processes In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 10 |
| 2002 | Regular Lévy Processes of Exponential type in 1D In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Pricing and hedging of contingent claims of European type In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Perpetual American options In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 3 |
| 2002 | American options: finite time horizon In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | First-touch digitals In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Barrier options In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 5 |
| 2002 | Multi-asset contracts In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Investment under uncertainty and capital accumulation In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Endogenous default and pricing of the corporate debt In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Fast pricing of European options In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Discrete time models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Feller processes of normal inverse Gaussian type In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Pseudo-differential operators with constant symbols In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2002 | Elements of calculus of pseudodifferential operators In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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