Alan White : Citation Profile

8

H index

8

i10 index

1552

Citations

RESEARCH PRODUCTION:

18

Articles

4

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 51
   Journals where Alan White has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 1 (0.06 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwh61
   Updated: 2025-06-21    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)

Norden, Lars (9)

HASAN, IFTEKHAR (9)

Mayordomo, Sergio (9)

Moreno, Manuel (9)

LINTON, OLIVER (8)

Platen, Eckhard (8)

Dionne, Georges (7)

Diebold, Francis (6)

luciano, elisa (6)

Cites to:

White, Alan (4)

Chen, Zhiwu (4)

Cao, Charles (4)

Alexander, Carol (3)

Houweling, Patrick (3)

Vorst, Ton (3)

Campbell, John (2)

merton, robert (2)

Scholes, Myron (2)

Richardson, James (2)

Bardsley, Peter (2)

Main data

Where Alan White has published?

Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis3
Journal of Banking & Finance3
American Journal of Public Health3
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 (2025 and 2024)

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

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

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

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2024Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2024). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

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

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2024No-Arbitrage Deep Calibration for Volatility Smile and Skewness. (2024). Barucca, Paolo ; Hoshisashi, Kentaro ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:2310.16703.

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2024Analytic Pricing of SOFR Futures Contracts with Smile and Skew. (2024). Turfus, Colin ; Romero-Berm, Aurelio. In: Papers. RePEc:arx:papers:2401.15728.

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2025A Unifying Approach for the Pricing of Debt Securities. (2025). Vachon, Marie-Claude ; MacKay, Anne. 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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2024Measuring Name Concentrations through Deep Learning. (2024). Sester, Julian ; Lutkebohmert, Eva. In: Papers. RePEc:arx:papers:2403.16525.

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

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2024Construction and Hedging of Equity Index Options Portfolios. (2024). Ślepaczuk, Robert ; Wysocki, Maciej. In: Papers. RePEc:arx:papers:2407.13908.

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2024On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment. (2024). Villarino, Joel P ; 'Alvaro Leitao, . In: Papers. RePEc:arx:papers:2407.16435.

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2024Enhancing Black-Scholes Delta Hedging via Deep Learning. (2024). Wan, Xiangwei ; Qiao, Chunhui. In: Papers. RePEc:arx:papers:2407.19367.

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2024MLP, XGBoost, KAN, TDNN, and LSTM-GRU Hybrid RNN with Attention for SPX and NDX European Call Option Pricing. (2024). Beigi, Homayoon ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2409.06724.

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2024Time evaluation of portfolio for asymmetrically informed traders. (2024). Escudero, Carlos ; D'Auria, Bernardo. In: Papers. RePEc:arx:papers:2410.16010.

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2024Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty. (2024). Oosterlee, Cornelis W ; Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2410.21110.

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2024Multi-asset and generalised Local Volatility. An efficient implementation. (2024). Roth, Louis ; Deloire, Olivier. In: Papers. RePEc:arx:papers:2411.05425.

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2024A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging. (2024). Wu, YI ; Xiao, BO ; Zhou, Xiang ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2411.09659.

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2025Perpetual Demand Lending Pools. (2025). Chitra, Tarun ; Yusubov, Kamil ; Sterle, Luke ; Sheng, Nathan ; Diamandis, Theo. In: Papers. RePEc:arx:papers:2502.06028.

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2025Causal Portfolio Optimization: Principles and Sensitivity-Based Solutions. (2025). Dominguez, Alejandro Rodriguez. In: Papers. RePEc:arx:papers:2504.05743.

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2025A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields. (2025). Jha, Amit Kumar. In: Papers. RePEc:arx:papers:2506.06317.

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2024Capital requirements in Pillar 1 or Pillar 2: does it matter for market discipline?. (2024). Witte, Niklas. In: Working Paper Series. RePEc:ecb:ecbwps:20242988.

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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). Wang, Xingchun ; Cai, Chengyou ; Yu, Baimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494.

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2024Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model. (2024). Lee, Jin Young ; Kim, Jeongsim ; Yoon, Hyungkuk. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001645.

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2024The impact of carbon risk on the cost of debt in the listed firms in G7 economies: The role of the Paris agreement. (2024). Gözgör, Giray ; Mousavi, Mohammad Mahdi ; Owolabi, Ayotola ; Li, Jing ; Gozgor, Giray. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006339.

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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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2024Does the impact of credit rating downgrade on bond returns vary by region: Empirical evidence from China. (2024). Zhang, Lin ; Liu, Guanhua ; Shan, Junhui. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013941.

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

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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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2025Unspanned stochastic volatility in the linear-rational square-root model: Evidence from the Treasury market. (2025). Hansen, Jorge Wolfgang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002681.

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2024Basel III countercyclical bank capital buffer estimation and its relation to monetary policy. (2024). Perote, Javier ; Cortés, Lina ; Cortes, Lina M ; Rendon, Juan F. In: Journal of Economics and Business. RePEc:eee:jebusi:v:130:y:2024:i:c:s0148619524000158.

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

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2024Option pricing under jump diffusion model. (2024). Li, Qian ; Wang, LI. In: Statistics & Probability Letters. RePEc:eee:stapro:v:211:y:2024:i:c:s0167715224001068.

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2025Macroeconomic Determinants of the Interest Rate Term Structure: A Svensson Model Analysis. (2025). Benetti, Cristiane ; Varanda, Jos Monteiro ; Mori, Rogrio. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:4:p:108-:d:1634862.

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2024Revolutionizing Hedge Fund Risk Management: The Power of Deep Learning and LSTM in Hedging Illiquid Assets. (2024). Zhao, Yueshu ; Wang, Yige ; Tong, Leyao. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:224-:d:1402377.

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2024Sovereign Credit Risk in Saudi Arabia, Morocco and Egypt. (2024). Abid, Fathi. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:7:p:283-:d:1429286.

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2024Pricing of a Binary Option Under a Mixed Exponential Jump Diffusion Model. (2024). Song, Ruili ; Lu, Yichen. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:20:p:3233-:d:1499426.

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2024An ETD Method for Vulnerable American Options. (2024). Egorova, Vera N ; Company, Rafael ; Jodar, Lucas. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:4:p:602-:d:1340635.

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2025Interest Rate Sensitivity of Callable Bonds and Higher-Order Approximations. (2025). Dow, Scott S ; Orfanos, Stefanos C. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:4:p:69-:d:1625778.

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2024Portfolio Management Using the Complex Wishart Distribution. (2024). Bahadursingh, Roman. In: Thesis Commons. RePEc:osf:thesis:ma2hx_v1.

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2025The predictive effect of heterogeneous investor behavior on commodity pricing. (2025). Li, Zhou ; Shao, Hang. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04795-y.

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2024Under-utilisation of noncommunicable disease screening and healthy lifestyle promotion centres: A cross-sectional study from Sri Lanka. (2024). Herath, Thilini ; Kasturiratne, Anuradhani ; Perera, Manuja. In: PLOS ONE. RePEc:plo:pone00:0301510.

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2024Seasonal volatility in agricultural markets: modelling and empirical investigations. (2024). Schneider, L ; Tavin, B. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04241-7.

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2024Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models. (2024). Moreno, Manuel ; Len-Prez, Beln. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05904-x.

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2024Analyzing Short-Rate Models for Efficient Bond Option Pricing: A Review. (2024). Rani, Indu ; Verma, Chandan Kumar. In: SN Operations Research Forum. RePEc:spr:snopef:v:5:y:2024:i:3:d:10.1007_s43069-024-00351-7.

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2024SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates. (2024). Schlogl, Erik ; Gellert, Karol ; Brace, Alan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:6:p:936-985.

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2024Lever up! An analysis of options trading in leveraged ETFs. (2024). Wang, Kainan ; Teterin, Pavel ; Gilstrap, Collin ; Petkevich, Alex. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:6:p:986-1002.

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2025Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion. (2025). Guo, Fenglong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:47-76.

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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]		article87
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]		article107
2004The relationship between credit default swap spreads, bond yields, and credit rating announcements In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article440
2017Optimal delta hedging for options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article34
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]		article8
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]		article658
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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