Javier F. Navas : Citation Profile

Universidad Pablo de Olavide

3

H index

1

i10 index

73

Citations

RESEARCH PRODUCTION:

9

Articles

3

Papers

RESEARCH ACTIVITY:

   21 years (2001 - 2022). See details.
   Cites by year: 3
   Journals where Javier F. Navas has often published
   Relations with other researchers
   Recent citing documents: 9.    Total self citations: 3 (3.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pna163
   Updated: 2026-01-17    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Moreno, Manuel (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Javier F. Navas.

Is cited by:

Renneboog, Luc (4)

Stentoft, Lars (4)

Vaello-Sebastià, Antoni (3)

Dhaene, Jan (2)

Schumacher, Johannes (2)

Brown, Christine (2)

Li, Minqiang (2)

CARMONA, JULIO (2)

Shackleton, Mark (1)

Rodrigues, Artur (1)

Cartea, Álvaro (1)

Cites to:

Sandmann, Klaus (10)

merton, robert (8)

Vorst, Ton (7)

Jarrow, Robert (6)

Longstaff, Francis (5)

Moreno, Manuel (5)

Pelsser, Antoon (4)

Santa-Clara, Pedro (4)

Galluccio, Stefano (4)

Milevsky, Moshe (3)

Svensson, Lars (3)

Main data

Where Javier F. Navas has published?

Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications3
Quantitative Finance2

Recent works citing Javier F. Navas (2025 and 2024)

YearTitle of citing document
2025Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2025). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166.

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2025Assessing swaption portfolios for prepayment risk mitigation. A parametric perspective. (2025). Perrotta, Adamaria ; Monaco, Andrea ; Sgarabottolo, Alessandro. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:729.

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2024A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options. (2024). Stentoft, Lars ; Zhu, Xiaotian ; Reesor, Mark R. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004094.

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2024Coping with longevity via hedging: Fair dynamic valuation of variable annuities. (2024). Chen, ZE ; Yang, Tianyu ; Feng, Runhuan ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:154-169.

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2024Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility. (2024). Almeida, Thiago Ramos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001302.

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2024Pricing levered warrants under the CEV diffusion model. (2024). Dias, Jose Carlos ; Gloria, Carlos Miguel ; Cruz, Aricson. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:1:d:10.1007_s11147-023-09199-1.

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2024The interaction between equity-based compensation and debt in managerial risk choices. (2024). Vidal, Joo Pedro ; Ruas, Joo Pedro ; Dias, Jose Carlos ; Gloria, Carlos Miguel. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:3:d:10.1007_s11147-024-09205-0.

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2025Swing option-implied volatility. (2025). Auer, Benjamin R ; Mhlichen, Hermann ; Kohrs, Hendrik. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09214-7.

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2024Black-scholes approximation of warrant prices: slight return in a low interest rate environment. (2024). Bertrand, Philippe. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04622-6.

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Works by Javier F. Navas:

YearTitleTypeCited
2003Australian Asian Options In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Stochastic string models with continuous semimartingales In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article3
2016The stochastic string model as a unifying theory of the term structure of interest rates In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article2
2020Valuation of caps and swaptions under a stochastic string model In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article2
2009Valuing the option to purchase an asset at a proportional discount: A correction In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article0
2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives In: Review of Derivatives Research.
[Full Text][Citation analysis]		article52
2001On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2008Australian Options In: Australian Journal of Management.
[Full Text][Citation analysis]		article3
2013Pricing levered warrants with dilution using observable variables In: Quantitative Finance.
[Full Text][Citation analysis]		article8
2022Bond market completeness under stochastic strings with distribution-valued strategies In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2003Australian Asian options In: Economics Working Papers.
[Full Text][Citation analysis]		paper1
2021Secured Debt, Agency Problems, and the Classic Model of the Firm In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team