Fang Fang : Citation Profile

Are you Fang Fang?

3

H index

3

i10 index

238

Citations

RESEARCH PRODUCTION:

4

Papers

RESEARCH ACTIVITY:

   1 years (2007 - 2008). See details.
   Cites by year: 238
   Journals where Fang Fang has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 3 (1.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa141
   Updated: 2024-12-03    RAS profile: 2020-06-07    
   Missing citations? Add them    Incorrect content? Let us know

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)

Boyarchenko, Svetlana (4)

Itkin, Andrey (4)

Ballotta, Laura (4)

Leippold, Markus (3)

Hurn, Stan (3)

Kang, Boda (3)

Laeven, Roger (2)

Cites to:

Oosterlee, Cornelis (5)

Singleton, Kenneth (4)

pan, jun (3)

Duffie, Darrell (3)

Lord, Roger (2)

Lewis, Alan (2)

Kahl, Christian (1)

merton, robert (1)

Pelsser, Antoon (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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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]		paper171
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: 171		paper
2008Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions In: MPRA Paper.
[Full Text][Citation analysis]		paper20

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team