Jerome Detemple : Citation Profile


Are you Jerome Detemple?

Boston University

21

H index

33

i10 index

1602

Citations

RESEARCH PRODUCTION:

57

Articles

33

Papers

RESEARCH ACTIVITY:

   37 years (1986 - 2023). See details.
   Cites by year: 43
   Journals where Jerome Detemple has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 35 (2.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde1414
   Updated: 2024-01-16    RAS profile: 2024-01-04    
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Relations with other researchers


Works with:

Moraux, Franck (2)

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

Is cited by:

Basak, Suleyman (43)

Castaneda, Pablo (24)

Scaillet, Olivier (22)

Pavlova, Anna (22)

Uppal, Raman (16)

De Donno, Marzia (15)

Guidolin, Massimo (13)

Rigobon, Roberto (12)

Miao, Jianjun (12)

Prigent, Jean-Luc (11)

Jouini, Elyès (11)

Cites to:

merton, robert (39)

Duffie, Darrell (24)

Rindisbacher, Marcel (19)

Jarrow, Robert (18)

Brennan, Michael (18)

Garcia, René (16)

He, Hua (14)

He, Hua (14)

Grossman, Sanford (12)

Constantinides, George (12)

Fleten, Stein-Erik (10)

Main data


Where Jerome Detemple has published?


Journals with more than one article published# docs
Review of Financial Studies8
Journal of Economic Dynamics and Control6
Mathematical Finance4
Energy Economics2
Journal of Economic Theory2
Journal of Econometrics2
Journal of Finance2
Annual Review of Financial Economics2
Journal of Banking & Finance2
L'Actualité Economique2
Finance and Stochastics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Jerome Detemple (2024 and 2023)


YearTitle of citing document
2023A nonparametric algorithm for optimal stopping based on robust optimization. (2021). Sturt, Bradley. In: Papers. RePEc:arx:papers:2103.03300.

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2023Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648.

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2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2023Neural Optimal Stopping Boundary. (2022). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Papers. RePEc:arx:papers:2205.04595.

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2023Optimal 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.

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2023Optimal stopping of Gauss-Markov bridges. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835.

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2023Optimal Mix Among PAYGO, EET and Individual Savings. (2023). Song, Yilun ; Ren, Zhaojie ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2302.09218.

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2023Equilibrium with Heterogeneous Information Flows. (2023). Robertson, Scott. In: Papers. RePEc:arx:papers:2304.01272.

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2023A greedy algorithm for habit formation under multiplicative utility. (2023). Salisbury, Thomas S ; Kirusheva, Snezhana. In: Papers. RePEc:arx:papers:2305.04748.

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2023American Exchange option driven by a L\evy process. (2023). Marah, Zakaria. In: Papers. RePEc:arx:papers:2307.10900.

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2023Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping. (2023). Ware, Tony ; Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2309.03984.

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2023Optimal Retirement Choice under Age-dependent Force of Mortality. (2023). Zhu, Shihao ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2311.12169.

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2023Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2023). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.00266.

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2023Optimal Retirement Choice under Age-dependent Force of Mortality. (2023). Zhu, Shihao ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:683.

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2023Belief aggregation for representative agent models. (2023). Zimper, Alexander. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:309-342.

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2023Beliefs Aggregation and Return Predictability. (2023). Wang, Yajun ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:427-486.

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2023Recent advances in reinforcement learning in finance. (2023). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503.

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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03.

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2023Risk management in solar-based power plants with storage: a comparative study. (2023). Mora, Carlos Ruiz ; Oliveira, Fernando S. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:38369.

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2023Optimal procurement and investment in new technologies under uncertainty. (2023). Zwart, Gijsbert ; Arve, Malin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000118.

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2023Public support and energy innovation: Why do firms react differently?. (2023). Zhang, Lin. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000269.

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2023Green investment and asset stranding under transition scenario uncertainty. (2023). Tankov, Peter ; Flora, Maria. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002712.

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2023Valuation of chooser options with state-dependent risks. (2023). Chen, Jun-Home ; Lian, Yu-Min. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007036.

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2023Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. (2023). Zhang, Qinyi ; Yu, Xiang ; Li, Xun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:25-45.

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2023Portfolio choice with illiquid asset for a loss-averse pension fund investor. (2023). Zeng, Yan ; Li, Zhongfei ; Chen, Zheng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:60-83.

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2023Schumpeterian competition in a Lucas economy. (2023). Carlin, Bruce I ; Andrei, Daniel. In: Journal of Economic Theory. RePEc:eee:jetheo:v:208:y:2023:i:c:s0022053123000091.

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2023Rivals risk-taking incentives and firm corporate policy. (2023). Abdoh, Hussein. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:106-123.

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2023.

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2023.

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2023.

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2023The Impact of Commercial Medical Insurance Participation on Household Debt. (2023). Ren, Ting ; He, DI ; Hong, Cancheng. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:2:p:1526-:d:1034220.

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2023The Legacy of Peter Fishburn: Foundational Work and Lasting Impact. (2023). Simon, Jay ; Hupman, Andrea C. In: Decision Analysis. RePEc:inm:ordeca:v:20:y:2023:i:1:p:1-15.

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2023Extreme Inflation and Time-Varying Expected Consumption Growth. (2023). Schlag, Christian ; Meinerding, Christoph ; Dergunov, Ilya. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2972-3002.

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2023Stated Product Choices of Heterogeneous Agents are Largely Consistent with Standard Models. (2023). Soest, Arthur ; Nijman, Theo ; Dees, Bart. In: De Economist. RePEc:kap:decono:v:171:y:2023:i:3:d:10.1007_s10645-023-09424-0.

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2023Deep stochastic optimization in finance. (2023). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00074-6.

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2023Optimal execution with multiplicative price impact and incomplete information on the return. (2023). Ferrari, Giorgio ; Dammann, Felix. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00508-y.

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2023.

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Works by Jerome Detemple:


YearTitleTypeCited
2009Life-Cycle Finance and the Design of Pension Plans In: Annual Review of Financial Economics.
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article25
2014Optimal Exercise for Derivative Securities In: Annual Review of Financial Economics.
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article6
2017On American VIX options under the generalized 3/2 and 1/2 models In: Papers.
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paper7
2018On American VIX options under the generalized 3/2 and 1/2 models.(2018) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 7
article
2017American Options with Discontinuous Two-Level Caps In: Papers.
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paper0
2022Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility In: Papers.
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paper1
1986 Asset Pricing in a Production Economy with Incomplete Information. In: Journal of Finance.
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article134
2003A Monte Carlo Method for Optimal Portfolios In: Journal of Finance.
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article123
2000A Monte-Carlo Method for Optimal Portfolios.(2000) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 123
paper
2005CLOSED?FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS In: Mathematical Finance.
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article21
1992Optimal Consumption?Portfolio Policies With Habit Formation1 In: Mathematical Finance.
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article32
1997The Valuation of American Options on Multiple Assets In: Mathematical Finance.
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article53
1994The Valuation of American Options on Multiple Assets.(1994) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 53
paper
2013Asset Pricing with Regime-Dependent Preferences and Learning In: Swiss Finance Institute Research Paper Series.
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paper11
2023Volatility during the COVID-19 Pandemic In: Swiss Finance Institute Research Paper Series.
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paper0
2003Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes In: CIRANO Working Papers.
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paper16
2004Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes..(2004) In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
This paper has nother version. Agregated cites: 16
paper
2006Asymptotic properties of Monte Carlo estimators of diffusion processes.(2006) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 16
article
1994American Capped Call Options on Dividend Paying Assets In: CIRANO Working Papers.
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paper23
1993American Capped Call Options on Dividend Paying Assets..(1993) In: Columbia - Graduate School of Business.
[Citation analysis]
This paper has nother version. Agregated cites: 23
paper
1995American Capped Call Options on Dividend-Paying Assets..(1995) In: Review of Financial Studies.
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This paper has nother version. Agregated cites: 23
article
1994American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods In: CIRANO Working Papers.
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paper152
1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods..(1996) In: Review of Financial Studies.
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This paper has nother version. Agregated cites: 152
article
1995Asset and Commodity Prices with Multiattribute Durable Goods In: CIRANO Working Papers.
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paper12
1996Asset and commodity prices with multi-attribute durable goods.(1996) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 12
article
1996American Options on Dividend-Paying Assets In: CIRANO Working Papers.
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paper0
1996Recent Advances in Numerical Methods for Pricing Derivative Securities In: CIRANO Working Papers.
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paper1
1996Nonparametric Estimation of American Options Exercise Boundaries and Call Prices In: CIRANO Working Papers.
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paper18
2000Nonparametric estimation of American options exercise boundaries and call prices.(2000) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
article
1996American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation In: CIRANO Working Papers.
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paper41
2000American options with stochastic dividends and volatility: A nonparametric investigation.(2000) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 41
article
1997Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets In: CIRANO Working Papers.
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paper10
1998Aggregation, efficiency and mutual fund separation in incomplete markets.(1998) In: Economic Theory.
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This paper has nother version. Agregated cites: 10
article
1997Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints In: CIRANO Working Papers.
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paper70
1997Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints..(1997) In: Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 70
article
1998Dynamic Equilibrium with Liquidity Constraints In: CIRANO Working Papers.
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paper32
2003Dynamic Equilibrium with Liquidity Constraints.(2003) In: Review of Financial Studies.
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This paper has nother version. Agregated cites: 32
article
1999Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach In: CIRANO Working Papers.
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paper65
1999Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach..(1999) In: Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 65
article
1999The Valuation of Volatility Options In: CIRANO Working Papers.
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paper59
2000The Valuation of Volatility Options.(2000) In: Review of Finance.
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This paper has nother version. Agregated cites: 59
article
1999American Options: Symmetry Properties In: CIRANO Working Papers.
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paper1
1990The relevance of financial policy In: LIDAM Discussion Papers CORE.
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paper4
1995The relevance of financial policy.(1995) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 4
paper
1995The relevance of financial policy.(1995) In: European Economic Review.
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This paper has nother version. Agregated cites: 4
article
1989THE RELEVANCE OF FINANCIAL POLICY..(1989) In: Columbia - Graduate School of Business.
[Citation analysis]
This paper has nother version. Agregated cites: 4
paper
1991Asset Prices in an Exchange Economy with Habit Formation. In: Econometrica.
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article86
2007Monte Carlo methods for derivatives of options with discontinuous payoffs In: Computational Statistics & Data Analysis.
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article1
2022Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation In: Journal of Economic Dynamics and Control.
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article0
1991Further results on asset pricing with incomplete information In: Journal of Economic Dynamics and Control.
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article25
2004Optimal consumption-portfolio choices and retirement planning In: Journal of Economic Dynamics and Control.
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article53
2009American chooser options In: Journal of Economic Dynamics and Control.
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article6
2020American step options In: European Journal of Operational Research.
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article5
2020American Step Options.(2020) In: Post-Print.
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This paper has nother version. Agregated cites: 5
paper
2022Optimal technology adoption for power generation In: Energy Economics.
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article1
2020The value of green energy under regulation uncertainty In: Energy Economics.
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article14
2008Dynamic asset liability management with tolerance for limited shortfalls In: Insurance: Mathematics and Economics.
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article15
1990Option listing and stock returns : An empirical analysis In: Journal of Banking & Finance.
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article55
2005Intertemporal asset allocation: A comparison of methods In: Journal of Banking & Finance.
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article15
2003Non-addictive habits: optimal consumption-portfolio policies In: Journal of Economic Theory.
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article17
1994Intertemporal Asset Pricing with Heterogeneous Beliefs In: Journal of Economic Theory.
[Full Text][Citation analysis]
article91
2018Asset pricing with beliefs-dependent risk aversion and learning In: Journal of Financial Economics.
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article9
2002Asset pricing in an intertemporal partially-revealing rational expectations equilibrium In: Journal of Mathematical Economics.
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article7
1993Bounds and Approximations for American Option Values. In: Columbia - Graduate School of Business.
[Citation analysis]
paper0
1989FINANCIAL INNOVATION, VALUES AND VOLATILITIES WHEN MARKETS ARE INCOMPLETE. In: Columbia - Graduate School of Business.
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paper2
1989OPTION LISTING AND STOCK RETURNS. In: Columbia - Graduate School of Business.
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paper8
1989BOUD COVENANTS AND THE VALUATION OF RISK DEBT: A NEW APPROACH. In: Columbia - Graduate School of Business.
[Citation analysis]
paper0
1989OPTIMAL CONSUMPTION-PORTFOLIO POLICIES WITH HABIT FORMATION. In: Columbia - Graduate School of Business.
[Citation analysis]
paper1
2021Optimal Power Investment and Pandemics: A Micro-Economic Analysis In: Energies.
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article1
2018Optimal Investment under Cost Uncertainty In: Risks.
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article1
1998Generalized optimal stopping problems and financial markets, by Dennis Wong In: International Journal of Stochastic Analysis.
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article0
1991A General Equilibrium Analysis of Option and Stock Market Interactions. In: International Economic Review.
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article81
2002The Valuation of American Options for a Class of Diffusion Processes In: Management Science.
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article39
2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications In: Management Science.
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article71
2005Asymptotic Properties of Monte Carlo Estimators of Derivatives In: Management Science.
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article9
2002Book Reviews In: Journal of Economics.
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article0
2010Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications In: Review of Financial Studies.
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article23
2013A Structural Model of Dynamic Market Timing In: Review of Financial Studies.
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article0
2020The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage In: Review of Financial Studies.
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article3
1990Financial Innovation, Values and Volatilities when Markets Are Incomplete* In: The Geneva Risk and Insurance Review.
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article4
1987Acquisition d’information dans un modèle intertemporel en temps continu In: L'Actualité Economique.
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article5
1993Demande de portefeuille et politique de couverture de risque sous information incomplète In: L'Actualité Economique.
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article0
2005Wealth-Robust Intertemporal Incentive Contracts In: Computing in Economics and Finance 2005.
[Citation analysis]
paper0
2012An optimal stopping problem with a reward constraint In: Finance and Stochastics.
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article3
2005Representation formulas for Malliavin derivatives of diffusion processes In: Finance and Stochastics.
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article11
2014Portfolio Selection: A Review In: Journal of Optimization Theory and Applications.
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article13
2021Callable barrier reverse convertible securities In: Quantitative Finance.
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article0
2020Dynamic Noisy Rational Expectations Equilibrium With Insider Information In: Econometrica.
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article4
1988Hedging with futures in an intertemporal portfolio context In: Journal of Futures Markets.
[Full Text][Citation analysis]
article5
2022Asset Prices and Pandemics: The Effects of Lockdowns In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article1

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