3
H index
2
i10 index
388
Citations
Alan Lewis : Citation Profile
| RESEARCH PRODUCTION: 1 Articles 6 Papers 1 Books 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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40 years (1980 - 2020). 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 Lewis. | Is cited by:
| Cites to:
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Main data
Where Alan Lewis has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 4 |
Recent works citing Alan Lewis (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Explicit 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. Full description at Econpapers || Download paper |
| 2023 | Dynamic and static fund separations and their stability for long-term optimal investments. (2022). Yeo, Heejun ; Park, Hyungbin. In: Papers. RePEc:arx:papers:2212.00391. Full description at Econpapers || Download paper |
| 2023 | Simulation schemes for the Heston model with Poisson conditioning. (2023). Kwok, Yue Kuen ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2301.02800. Full description at Econpapers || Download paper |
| 2023 | From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper |
| 2023 | Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547. Full description at Econpapers || Download paper |
| 2023 | Applying Deep Learning to Calibrate Stochastic Volatility Models. (2023). Bilokon, Paul ; Sridi, Abir. In: Papers. RePEc:arx:papers:2309.07843. Full description at Econpapers || Download paper |
| 2023 | The ATM implied skew in the ADO-Heston model. (2023). Itkin, Andrey. In: Papers. RePEc:arx:papers:2309.15044. Full description at Econpapers || Download paper |
| 2024 | A generalization of the rational rough Heston approximation. (2023). Radoivci, Radovs ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2310.09181. Full description at Econpapers || Download paper |
| 2024 | Learning parameter dependence for Fourier-based option pricing with tensor networks. (2024). Miyamoto, Koichi ; Takahashi, Haruto ; Sakurai, Rihito. In: Papers. RePEc:arx:papers:2405.00701. Full description at Econpapers || Download paper |
| 2023 | Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2024 | Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376. Full description at Econpapers || Download paper |
| 2023 | Robust optimal asset-liability management with mispricing and stochastic factor market dynamics. (2023). Zhang, Yumo ; Wang, Ning. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:251-273. Full description at Econpapers || Download paper |
| 2023 | Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach. (2023). Zhang, Yumo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00374-x. Full description at Econpapers || Download paper |
| 2023 | Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models. (2023). Zhang, Yumo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-10007-4. Full description at Econpapers || Download paper |
Works by Alan Lewis:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | A First Option Calibration of the GARCH Diffusion Model by a PDE Method In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2020 | Option-based Equity Risk Premiums In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | US Equity Risk Premiums during the COVID-19 Pandemic In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 1991 | INTERTEMPORALLY DEPENDENT PREFERENCE ORDERINGS IN AN EXPECTED UTILITY SETTING: GOLDEN RULE STRATEGIES FOR EDUCATIONAL ENDOWMENTS. In: California Irvine - School of Social Sciences. [Citation analysis] | paper | 0 |
| 1980 | The Ibbotson-Singuefield Simultation Made Easy. In: The Journal of Business. [Full Text][Citation analysis] | article | 1 |
| 2000 | Introduction and Summary of Results (Excerpt) In: Option Valuation under Stochastic Volatility. [Citation analysis] | chapter | 0 |
| 2000 | The Fundamental Transform (Excerpt) In: Option Valuation under Stochastic Volatility. [Citation analysis] | chapter | 0 |
| 2000 | The Term Structure of Implied Volatility In: Option Valuation under Stochastic Volatility. [Citation analysis] | chapter | 0 |
| 2001 | A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes In: Related articles. [Citation analysis] | paper | 80 |
| 2000 | Option Valuation under Stochastic Volatility In: Option Valuation under Stochastic Volatility. [Citation analysis] | book | 302 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team