Jerome Detemple : Citation Profile

Boston University

21

H index

35

i10 index

1700

Citations

RESEARCH PRODUCTION:

60

Articles

33

Papers

RESEARCH ACTIVITY:

   39 years (1986 - 2025). See details.
   Cites by year: 43
   Journals where Jerome Detemple has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 36 (2.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pde1414
   Updated: 2025-04-19    RAS profile: 2025-03-14    
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Relations with other researchers

Works with:

Rindisbacher, Marcel (3)

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 (46)

Castaneda, Pablo (24)

Pavlova, Anna (22)

Scaillet, Olivier (22)

Uppal, Raman (16)

De Donno, Marzia (15)

Guidolin, Massimo (13)

Miao, Jianjun (13)

Chernov, Mikhail (12)

Kubler, Felix (12)

Rigobon, Roberto (12)

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)

Fleten, Stein-Erik (13)

Grossman, Sanford (12)

Constantinides, George (12)

Main data

Production by document typearticlepaper198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024202502.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 21Most cited documents12345678910111213141516171819202122230100200Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Jerome Detemple has published?

Journals with more than one article published# docs
The Review of Financial Studies8
Journal of Economic Dynamics and Control6
Mathematical Finance5
Energy Economics3
Journal of Finance3
Finance and Stochastics2
Journal of Econometrics2
Annual Review of Financial Economics2
L'Actualit� Economique2
Journal of Economic Theory2
Journal of Banking & Finance2

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Beating the curse of dimensionality in options pricing and optimal stopping. (2018). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227.

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2024The Black-Scholes-Merton dual equation. (2019). Liu, Qiang ; Guo, Shuxin . In: Papers. RePEc:arx:papers:1912.10380.

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2024The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502.

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2024Optimal 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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2024A mean field game approach to equilibrium consumption under external habit formation. (2022). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2206.13341.

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2024Optimal consumption under a drawdown constraint over a finite horizon. (2022). Yu, Xiang ; Yi, Fahuai ; Li, Xun ; Chen, Xiaoshan. In: Papers. RePEc:arx:papers:2207.07848.

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2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2023). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2024Optimal stopping of Gauss-Markov bridges. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835.

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2024Equilibrium with Heterogeneous Information Flows. (2023). Robertson, Scott. In: Papers. RePEc:arx:papers:2304.01272.

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2025Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2023). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.00266.

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2024Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates. (2024). Meissner, Gunter A ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2411.16617.

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2024Isogeometric Analysis for the Pricing of Financial Derivatives with Nonlinear Models: Convertible Bonds and Options. (2024). Kazbek, Rakhymzhan ; Erlangga, Yogi ; Amanbek, Yerlan ; Wei, Dongming. In: Papers. RePEc:arx:papers:2412.08987.

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2025VIX options in the SABR model. (2025). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:2501.06398.

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2025Asset Pricing Model in Markets of Imperfect Information and Subjective Views. (2025). Bellalah, Makram ; ben Amar, Amine ; Lalioui, Hafid. In: Papers. RePEc:arx:papers:2501.11983.

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2025Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty. (2025). Agarwal, Ankush ; Zou, Yihan ; Ewald, Christian. In: Papers. RePEc:arx:papers:2502.05340.

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2025Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation. (2025). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:2502.13678.

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2025Pricing time-capped American options using Least Squares Monte Carlo method. (2025). Palmowski, Zbigniew ; Stcepniak, Pawel. In: Papers. RePEc:arx:papers:2503.01040.

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2024Interest Rate Skewness and Biased Beliefs. (2024). Chernov, Mikhail ; Bauer, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:173-217.

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2024The Dark Side of Circuit Breakers. (2024). Wang, Jiang ; Petukhov, Anton ; Chen, Hui ; Xing, Hao. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:1405-1455.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2024On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?. (2024). Sola, Martin ; Kenc, Turalay ; Caravello, Tomas E ; Driffill, John. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001118.

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2024Optimal early retirement with target wealth. (2024). Tian, Weidong ; Ivanov, Katerina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001180.

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2024When and how should an incumbent respond to a potentially disruptive event?. (2024). Chevalier-Roignant, Benot. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001660.

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2024Valuing American options using multi-step rebate options. (2024). Lee, Minha ; Ha, Hongjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001529.

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2024An efficient and provable sequential quadratic programming method for American and swing option pricing. (2024). Ma, Jingtang ; Huang, Weizhang ; Shen, Jinye. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:19-35.

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2025The demand for hedging of oil producers: A tale of risk and regret. (2025). Six, Pierre ; Ouzan, Samuel. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:330-343.

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2024Time-varying relative risk aversion: Theoretical mechanism and empirical evidence. (2024). Liu, Haiyong ; Cai, Zongwu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000707.

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2024Back to the funding ratio! Addressing the duration puzzle and retirement income risk of defined contribution pension plans. (2024). Martinez-Carrasco, Miguel ; Garcia-Huitron, Manuel E ; Martellini, Lionel ; Mantilla-Garcia, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002479.

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2025Robustness and dynamic sentiment. (2025). Xing, Hao ; Vedolin, Andrea ; Maenhout, Pascal J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:163:y:2025:i:c:s0304405x24001764.

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2024The valuation of American options with the stochastic liquidity risk and jump risk. (2024). Guo, Xunxiang ; Huang, Shoude ; Wang, KE ; Zhang, Hongyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124004205.

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2024Term structure of equity risk premia in rough terrain: 150 years of the French stock market. (2024). Prat, Georges ; le Bris, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s106297692400084x.

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2024Asset pricing tests for pandemic risk. (2024). Ho, Young ; Kang, Yong Joo ; Park, Dojoon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1314-1334.

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2024Strategic asset allocation with distorted beliefs. (2024). Wei, Tzu-Wen ; Hung, Mao-Wei ; Chung, San-Lin ; Yeh, Chung-Ying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:804-831.

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2024Optimal stopping of an Ornstein–Uhlenbeck bridge. (2024). Garcia-Portugues, E ; Dauria, B ; Azze, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:172:y:2024:i:c:s0304414924000486.

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2024A mean field game approach to equilibrium consumption under external habit formation. (2024). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:178:y:2024:i:c:s0304414924001674.

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2024.

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2024.

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2024Liability-driven investment for pension funds: stochastic optimization with real assets. (2024). Owadally, Iqbal ; Clare, Andrew ; Jang, Chul. In: Risk Management. RePEc:pal:risman:v:26:y:2024:i:3:d:10.1057_s41283-024-00141-9.

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2024Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data. (2024). Lleo, Sebastien ; Davis, Mark. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05130-3.

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2024Bridging socioeconomic pathways of $$\textrm{CO}_2$$ CO 2 emission and credit risk. (2024). Bourgey, Florian ; Jiao, Ying ; Gobet, Emmanuel. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05135-y.

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2024Optimal liquidation policies of redeemable shares. (2024). Battauz, Anna ; Rotondi, Francesco. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:2:d:10.1007_s10287-024-00526-x.

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2024Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting. (2024). Siu, Tak Kuen ; Wang, Yike ; Liu, Jingzhen. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:1:d:10.1007_s00780-023-00510-4.

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2024.

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2024.

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Works by Jerome Detemple:

Year  ↓Title  ↓Type  ↓Cited  ↓
2009Life-Cycle Finance and the Design of Pension Plans In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article25
2014Optimal Exercise for Derivative Securities In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article6
2017On American VIX options under the generalized 3/2 and 1/2 models In: Papers.
[Full Text][Citation analysis]		paper8
2018On American VIX options under the generalized 3/2 and 1/2 models.(2018) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2017American Options with Discontinuous Two-Level Caps In: Papers.
[Full Text][Citation analysis]		paper0
2024Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility In: Papers.
[Full Text][Citation analysis]		paper1
2025Dynamic equilibrium with insider information and general uninformed agent utility.(2025) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
1986 Asset Pricing in a Production Economy with Incomplete Information. In: Journal of Finance.
[Full Text][Citation analysis]		article137
1988 On the Optimal Hedge of a Nontraded Cash Position. In: Journal of Finance.
[Full Text][Citation analysis]		article21
2003A Monte Carlo Method for Optimal Portfolios In: Journal of Finance.
[Full Text][Citation analysis]		article123
2000A Monte-Carlo Method for Optimal Portfolios.(2000) In: CIRANO Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		article20
1992Optimal Consumption‐Portfolio Policies With Habit Formation1 In: Mathematical Finance.
[Full Text][Citation analysis]		article34
1997The Valuation of American Options on Multiple Assets In: Mathematical Finance.
[Full Text][Citation analysis]		article57
1994The Valuation of American Options on Multiple Assets.(1994) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2013Asset Pricing with Regime-Dependent Preferences and Learning In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper11
2023Volatility during the COVID-19 Pandemic In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2003Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes In: CIRANO Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
1994American Capped Call Options on Dividend Paying Assets In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper27
1993American Capped Call Options on Dividend Paying Assets..(1993) In: Columbia - Graduate School of Business.
[Citation analysis]
This paper has nother version. Agregated cites: 27		paper
1995American Capped Call Options on Dividend-Paying Assets..(1995) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
1994American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper161
1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods..(1996) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 161		article
1995Asset and Commodity Prices with Multiattribute Durable Goods In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper12
1996Asset and commodity prices with multi-attribute durable goods.(1996) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
1996American Options on Dividend-Paying Assets In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper0
1996Recent Advances in Numerical Methods for Pricing Derivative Securities In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
1996Nonparametric Estimation of American Options Exercise Boundaries and Call Prices In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper19
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: 19		article
1996American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper42
2000American options with stochastic dividends and volatility: A nonparametric investigation.(2000) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		article
1997Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper14
1998Aggregation, efficiency and mutual fund separation in incomplete markets.(1998) In: Economic Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
1997Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper69
1997Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints..(1997) In: The Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 69		article
1998Dynamic Equilibrium with Liquidity Constraints In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper32
2003Dynamic Equilibrium with Liquidity Constraints.(2003) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		article
1999Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper65
1999Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach..(1999) In: The Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 65		article
1999The Valuation of Volatility Options In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper62
2000The Valuation of Volatility Options.(2000) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		article
1999American Options: Symmetry Properties In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
1990The relevance of financial policy In: LIDAM Discussion Papers CORE.
[Citation analysis]		paper4
1995The relevance of financial policy.(1995) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
1995The relevance of financial policy.(1995) In: European Economic Review.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		article99
2007Monte Carlo methods for derivatives of options with discontinuous payoffs In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2022Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
1991Further results on asset pricing with incomplete information In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article25
2004Optimal consumption-portfolio choices and retirement planning In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article58
2009American chooser options In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article7
2020American step options In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2020American Step Options.(2020) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2022Optimal technology adoption for power generation In: Energy Economics.
[Full Text][Citation analysis]		article1
2024Renewable energy investment under stochastic interest rate with regime-switching volatility In: Energy Economics.
[Full Text][Citation analysis]		article0
2020The value of green energy under regulation uncertainty In: Energy Economics.
[Full Text][Citation analysis]		article15
2008Dynamic asset liability management with tolerance for limited shortfalls In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article19
1990Option listing and stock returns : An empirical analysis In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article55
2005Intertemporal asset allocation: A comparison of methods In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2003Non-addictive habits: optimal consumption-portfolio policies In: Journal of Economic Theory.
[Full Text][Citation analysis]		article18
1994Intertemporal Asset Pricing with Heterogeneous Beliefs In: Journal of Economic Theory.
[Full Text][Citation analysis]		article95
2018Asset pricing with beliefs-dependent risk aversion and learning In: Journal of Financial Economics.
[Full Text][Citation analysis]		article12
2002Asset pricing in an intertemporal partially-revealing rational expectations equilibrium In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		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.
[Citation analysis]		paper2
1989OPTION LISTING AND STOCK RETURNS. In: Columbia - Graduate School of Business.
[Citation analysis]		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.
[Full Text][Citation analysis]		article1
2018Optimal Investment under Cost Uncertainty In: Risks.
[Full Text][Citation analysis]		article1
1998Generalized optimal stopping problems and financial markets, by Dennis Wong In: International Journal of Stochastic Analysis.
[Full Text][Citation analysis]		article0
1991A General Equilibrium Analysis of Option and Stock Market Interactions. In: International Economic Review.
[Full Text][Citation analysis]		article81
2002The Valuation of American Options for a Class of Diffusion Processes In: Management Science.
[Full Text][Citation analysis]		article43
2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications In: Management Science.
[Full Text][Citation analysis]		article72
2005Asymptotic Properties of Monte Carlo Estimators of Derivatives In: Management Science.
[Full Text][Citation analysis]		article9
2002Book Reviews In: Journal of Economics.
[Full Text][Citation analysis]		article0
2010Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications In: The Review of Financial Studies.
[Full Text][Citation analysis]		article24
2013A Structural Model of Dynamic Market Timing In: The Review of Financial Studies.
[Full Text][Citation analysis]		article0
2020The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage In: The Review of Financial Studies.
[Full Text][Citation analysis]		article4
1990Financial Innovation, Values and Volatilities when Markets Are Incomplete* In: The Geneva Risk and Insurance Review.
[Full Text][Citation analysis]		article5
1987Acquisition d’information dans un modèle intertemporel en temps continu In: L'Actualité Economique.
[Full Text][Citation analysis]		article5
1993Demande de portefeuille et politique de couverture de risque sous information incomplète In: L'Actualité Economique.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article3
2005Representation formulas for Malliavin derivatives of diffusion processes In: Finance and Stochastics.
[Full Text][Citation analysis]		article12
2014Portfolio Selection: A Review In: Journal of Optimization Theory and Applications.
[Full Text][Citation analysis]		article13
2021Callable barrier reverse convertible securities In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2020Dynamic Noisy Rational Expectations Equilibrium With Insider Information In: Econometrica.
[Full Text][Citation analysis]		article5
1988Hedging with futures in an intertemporal portfolio context In: Journal of Futures Markets.
[Full Text][Citation analysis]		article6
2022Asset Prices and Pandemics: The Effects of Lockdowns In: Quarterly Journal of Finance (QJF).
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