Fang Fang : Citation Profile

Are you Fang Fang?

3

H index

3

i10 index

236

Citations

RESEARCH PRODUCTION:

4

Papers

RESEARCH ACTIVITY:

   1 years (2007 - 2008). See details.
   Cites by year: 236
   Journals where Fang Fang has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 3 (1.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa141
   Updated: 2024-11-04    RAS profile: 2020-06-07    
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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 Fang Fang.

Is cited by:

Oosterlee, Cornelis (22)

Grzelak, Lech (7)

Germano, Guido (6)

Pascucci, Andrea (5)

Ballotta, Laura (4)

Itkin, Andrey (4)

Boyarchenko, Svetlana (4)

Leippold, Markus (3)

Hurn, Stan (3)

Kang, Boda (3)

Corsi, Fulvio (2)

Cites to:

Oosterlee, Cornelis (5)

Singleton, Kenneth (4)

pan, jun (3)

Duffie, Darrell (3)

Lewis, Alan (2)

Lord, Roger (2)

Pelsser, Antoon (1)

Kahl, Christian (1)

merton, robert (1)

Geske, Robert (1)

Main data

Where Fang Fang has published?

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany4

Recent works citing Fang Fang (2024 and 2023)

YearTitle of citing document
2023Pricing Bermudan options using regression trees/random forests. (2021). Lelong, J'Erome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Papers. RePEc:arx:papers:2201.02587.

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2023Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196.

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2023A new self-exciting jump-diffusion process for option pricing. (2022). Oosterlee, Cornelis ; Cirillo, Pasquale ; Souto, Luis A. In: Papers. RePEc:arx:papers:2205.13321.

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2023Fast Barrier Option Pricing by the COS BEM Method in Heston Model. (2023). Sanfelici, S ; Ortiz-Gracia, L ; Guardasoni, C ; Aimi, A. In: Papers. RePEc:arx:papers:2301.00648.

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2023Machine learning for option pricing: an empirical investigation of network architectures. (2023). Papazoglou-Hennig, Jonas ; Papapantoleon, Antonis ; van Mieghem, Laurens. In: Papers. RePEc:arx:papers:2307.07657.

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2024iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2024Fourier Neural Network Approximation of Transition Densities in Finance. (2023). Dang, Duy-Minh ; Du, Rong. In: Papers. RePEc:arx:papers:2309.03966.

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2023A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. (2023). Dang, Duy-Minh ; Zhang, Hanwen. In: Papers. RePEc:arx:papers:2309.05977.

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2023The ATM implied skew in the ADO-Heston model. (2023). Itkin, Andrey. In: Papers. RePEc:arx:papers:2309.15044.

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2023A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate. (2023). Dang, Duy-Minh ; Lu, Yaowen. In: Papers. RePEc:arx:papers:2310.00606.

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2024Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. (2024). Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2403.02832.

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2023Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation. (2023). Zhang, Zhimin ; Teng, YE. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:452:y:2023:i:c:s0096300323002436.

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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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2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

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2023On a time-changed Lévy risk model with capital injections and periodic observation. (2023). Zhang, Zhimin ; Teng, YE. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:214:y:2023:i:c:p:290-314.

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2024A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models. (2024). Dang, Duy-Minh ; Zhang, Hanwen. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:112-140.

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2024A Stochastically Correlated Bivariate Square-Root Model. (2024). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan. In: IJFS. RePEc:gam:jijfss:v:12:y:2024:i:2:p:31-:d:1363241.

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2023Pricing Bermudan options using regression trees/random forests. (2023). Lelong, Jerome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Post-Print. RePEc:hal:journl:hal-03436046.

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2023Pricing a Specific Equity Index Annuity in a Regime-Switching Lévy Model with Jump. (2023). Wang, Yayun. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:3:d:10.1007_s10614-022-10238-6.

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2023Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models. (2023). Cui, Zhenyu ; Ding, Kailin ; Liu, Yanchu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:12:p:1750-1769.

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Works by Fang Fang:

YearTitleTypeCited
2007A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes In: MPRA Paper.
[Full Text][Citation analysis]		paper47
2008A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS In: MPRA Paper.
[Full Text][Citation analysis]		paper169
2008A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 169		paper
2008Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions In: MPRA Paper.
[Full Text][Citation analysis]		paper20

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