Alan Lewis : Citation Profile

4

H index

3

i10 index

430

Citations

RESEARCH PRODUCTION:

3

Articles

7

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   42 years (1980 - 2022). See details.
   Cites by year: 10
   Journals where Alan Lewis has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 3 (0.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple8
   Updated: 2026-01-17    RAS profile: 2025-03-15    
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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 Lewis.

Is cited by:

Platen, Eckhard (16)

Itkin, Andrey (9)

Li, Minqiang (9)

Jacquier, Antoine (8)

Germano, Guido (7)

Gnoatto, Alessandro (7)

Oosterlee, Cornelis (7)

Mele, Antonio (6)

Baldeaux, Jan (6)

Scaillet, Olivier (5)

Düring, Bertram (4)

Cites to:

Fengler, Matthias (1)

Rossi, Peter (1)

merton, robert (1)

Bollerslev, Tim (1)

Main data

Where Alan Lewis has published?

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5

Recent works citing Alan Lewis (2025 and 2024)

YearTitle of citing document
2025Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework. (2025). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542.

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2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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2024A generalization of the rational rough Heston approximation. (2024). Radoivci, Radovs ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2310.09181.

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2025Signature volatility models: pricing and hedging with Fourier. (2024). , Louis-Amand ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2402.01820.

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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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2025Learning parameter dependence for Fourier-based option pricing with tensor trains. (2025). Sakurai, Rihito ; Miyamoto, Koichi ; Takahashi, Haruto. In: Papers. RePEc:arx:papers:2405.00701.

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2024Pricing VIX options under the Heston-Hawkes stochastic volatility model. (2024). Font, Oriol Zamora. In: Papers. RePEc:arx:papers:2406.13508.

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2024Benchmark-Neutral Pricing. (2024). Platen, Eckhard. In: Papers. RePEc:arx:papers:2407.01542.

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2024Short-maturity asymptotics for VIX and European options in local-stochastic volatility models. (2024). Wang, Xiaoyu ; Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2407.16813.

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2024The mean-variance portfolio selection based on the average and current profitability of the risky asset. (2024). Li, YU ; Wu, Yuhan ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2408.07969.

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2024Correct implied volatility shapes and reliable pricing in the rough Heston model. (2024). Boyarchenko, Svetlana ; Levendorskivi, Sergei. In: Papers. RePEc:arx:papers:2412.16067.

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2025Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration. (2025). Sotnikov, Dimitri ; de Carvalho, Nathan ; Bruneau, Soukaina ; Jaber, Eduardo Abi ; Tur, Laurent. In: Papers. RePEc:arx:papers:2501.05975.

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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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2025A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai. In: Papers. RePEc:arx:papers:2504.03445.

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2025Climate Physical Risk Assessment in Asset Management. (2025). Viola, Lorenzo ; Stocco, Davide ; Ghesini, Matteo ; Azzone, Michele. In: Papers. RePEc:arx:papers:2504.19307.

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2025Pricing under the Benchmark Approach. (2025). Platen, Eckhard. In: Papers. RePEc:arx:papers:2506.16264.

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2025American options valuation in time-dependent jump-diffusion models via integral equations and characteristic functions. (2025). Itkin, Andrey. In: Papers. RePEc:arx:papers:2506.18210.

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2025Joint deep calibration of the 4-factor PDV model. (2025). Baschetti, Fabio ; Bormetti, Giacomo ; Rossi, Pietro. In: Papers. RePEc:arx:papers:2507.09412.

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2025Quadratic Volatility from the P\oschl-Teller Potential and Hyperbolic Geometry. (2025). Saucedo, Joel. In: Papers. RePEc:arx:papers:2507.12501.

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2025Fast and explicit European option pricing under tempered stable processes. (2025). Agazzotti, Gaetano ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2510.01211.

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2024Pricing VIX options based on mean-reverting models driven by information. (2024). Zheng, Zun-Xin ; Yin, Ya-Hua ; Zhu, Fu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001281.

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2024Simulation 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.

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2025A general valuation framework for rough stochastic local volatility models and applications. (2025). Ma, Jingtang ; Yang, Wensheng ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:307-324.

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2025Implied local volatility models. (2025). Li, Chenxu ; Xu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001014.

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2025Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option. (2025). Syaifudin, Wawan Hafid ; Surya, Budhi Arta. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000642.

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2025Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility. (2025). Wang, Ning ; Zhang, Yumo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000721.

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2025Explicit multiscale numerical method for super-linear slow–fast stochastic differential equations. (2025). Mao, Xuerong ; Li, Xiaoyue ; Cui, Yuanping. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:187:y:2025:i:c:s0304414925000948.

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2025Learning Parameter Dependence for Fourier-Based Option Pricing with Tensor Trains. (2025). Sakurai, Rihito ; Takahashi, Haruto ; Miyamoto, Koichi. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:11:p:1828-:d:1668322.

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2025Signature volatility models: pricing and hedging with Fourier. (2025). Grard, Louis-Amand ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-04435238.

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2025Option pricing in a sentiment-biased stochastic volatility model. (2025). Patacca, Marco ; Fig-Talamanca, Gianna ; Cretarola, Alessandra. In: Annals of Finance. RePEc:kap:annfin:v:21:y:2025:i:1:d:10.1007_s10436-024-00448-3.

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2025Stochastic volatility for factor Heath–Jarrow–Morton framework. (2025). Sepp, Artur ; Rakhmonov, Parviz. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09217-4.

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2025A Stochastic Volatility Approximation for a Tick-By-Tick Price Model with Mean-Field Interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai. In: CEIS Research Paper. RePEc:rtv:ceisrp:596.

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2024Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility. (2024). Zhang, Yumo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:1:d:10.1007_s11009-024-10072-3.

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2024Rough Volatility: Fact or Artefact?. (2024). Cont, Rama ; Das, Purba. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:86:y:2024:i:1:d:10.1007_s13571-024-00322-2.

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2025Appraising Model Complexity in Option Pricing. (2025). Esposito, Francesco ; Cummins, Mark. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:5:p:455-472.

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Works by Alan Lewis:

YearTitleTypeCited
2018A First Option Calibration of the GARCH Diffusion Model by a PDE Method In: Papers.
[Full Text][Citation analysis]		paper0
2019Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution In: Papers.
[Full Text][Citation analysis]		paper6
2020Option-based Equity Risk Premiums In: Papers.
[Full Text][Citation analysis]		paper0
2020US Equity Risk Premiums during the COVID-19 Pandemic In: Papers.
[Full Text][Citation analysis]		paper1
2021Proof of non-convergence of the short-maturity expansion for the SABR model In: Papers.
[Full Text][Citation analysis]		paper1
2022Proof of non-convergence of the short-maturity expansion for the SABR model.(2022) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
1998Applications of Eigenfunction Expansions in Continuous‐Time Finance In: Mathematical Finance.
[Full Text][Citation analysis]		article15
1991INTERTEMPORALLY DEPENDENT PREFERENCE ORDERINGS IN AN EXPECTED UTILITY SETTING: GOLDEN RULE STRATEGIES FOR EDUCATIONAL ENDOWMENTS. In: California Irvine - School of Social Sciences.
[Citation analysis]		paper0
1980The Ibbotson-Singuefield Simultation Made Easy. In: The Journal of Business.
[Full Text][Citation analysis]		article1
2000Introduction and Summary of Results (Excerpt) In: Option Valuation under Stochastic Volatility.
[Citation analysis]		chapter0
2000The Fundamental Transform (Excerpt) In: Option Valuation under Stochastic Volatility.
[Citation analysis]		chapter0
2000The Term Structure of Implied Volatility In: Option Valuation under Stochastic Volatility.
[Citation analysis]		chapter0
2001A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes In: Related articles.
[Citation analysis]		paper87
2000Option Valuation under Stochastic Volatility In: Option Valuation under Stochastic Volatility.
[Citation analysis]		book319

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