# zbMATH — the first resource for mathematics

## Chesney, Marc

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 Author ID: chesney.marc Published as: Chesney, M.; Chesney, Marc
 Documents Indexed: 18 Publications since 1993, including 2 Books
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#### Co-Authors

 0 single-authored 4 Jeanblanc, Monique 3 Elliott, Robert James 3 Yor, Marc 2 Gibson, Rajna 2 Taschini, Luca 1 Bernstein, Abraham 1 Coculescu, Delia 1 Gauthier, Laurent 1 Geman, Hélyette 1 Gheyssens, Jonathan 1 Gökay, Selim 1 Hazari, Bharat R. 1 Kempf, Alexander 1 Lasserre, Pierre 1 Loubergé, Henri 1 Madan, Dilip B. 1 Troja, Bruno 1 Vasiljević, Nikola 1 Villeneuve, Stéphane 1 Wang, Mei 1 Yang, Hailiang
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#### Serials

 2 Applied Mathematical Finance 2 Mathematical Finance 2 Quantitative Finance 2 Review of Derivatives Research 1 Advances in Applied Probability 1 Journal of Mathematical Economics 1 Applied Stochastic Models and Data Analysis 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 Finance and Stochastics 1 Decisions in Economics and Finance 1 Springer Texts in Business and Economics 1 Springer Finance

#### Fields

 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Probability theory and stochastic processes (60-XX) 3 Statistics (62-XX)

#### Citations contained in zbMATH

11 Publications have been cited 326 times in 314 Documents Cited by Year
Mathematical methods for financial markets. Zbl 1205.91003
Jeanblanc, Monique; Yor, Marc; Chesney, Marc
2009
Brownian excursions and Parisian barrier options. Zbl 0882.60042
Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc
1997
Analytical solutions for the pricing of American bond and yield options. Zbl 0884.90019
Chesney, Marc; Elliott, Robert J.; Gibson, Rajna
1993
The endogenous price dynamics of emission allowances and an application to CO$$_2$$ option pricing. Zbl 1372.91079
Chesney, Marc; Taschini, Luca
2012
American Parisian options. Zbl 1126.91025
Chesney, Marc; Gauthier, Laurent
2006
Pricing American currency options in an exponential Lévy model. Zbl 1066.91038
Chesney, Marc; Jeanblanc, M.
2004
Some combinations of Asian, Parisian and barrier options. Zbl 0911.90036
Yor, M.; Chesney, M.; Geman, H.; Jeanblanc-Picqué, M.
1997
Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying. Zbl 0884.90018
Chesney, Marc; Elliott, Robert J.; Madan, Dilip; Yang, Hailiang
1993
Estimating the instantaneous volatility and covariance of risky assets. Zbl 0821.62047
Chesney, Marc; Elliott, Robert J.
1995
Long-term risk management of nuclear waste: A real options approach. Zbl 1009.91040
Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc
2002
An experimental study on real-options strategies. Zbl 1279.91179
Wang, Mei; Bernstein, Abraham; Chesney, Marc
2012
The endogenous price dynamics of emission allowances and an application to CO$$_2$$ option pricing. Zbl 1372.91079
Chesney, Marc; Taschini, Luca
2012
An experimental study on real-options strategies. Zbl 1279.91179
Wang, Mei; Bernstein, Abraham; Chesney, Marc
2012
Mathematical methods for financial markets. Zbl 1205.91003
Jeanblanc, Monique; Yor, Marc; Chesney, Marc
2009
American Parisian options. Zbl 1126.91025
Chesney, Marc; Gauthier, Laurent
2006
Pricing American currency options in an exponential Lévy model. Zbl 1066.91038
Chesney, Marc; Jeanblanc, M.
2004
Long-term risk management of nuclear waste: A real options approach. Zbl 1009.91040
Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc
2002
Brownian excursions and Parisian barrier options. Zbl 0882.60042
Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc
1997
Some combinations of Asian, Parisian and barrier options. Zbl 0911.90036
Yor, M.; Chesney, M.; Geman, H.; Jeanblanc-Picqué, M.
1997
Estimating the instantaneous volatility and covariance of risky assets. Zbl 0821.62047
Chesney, Marc; Elliott, Robert J.
1995
Analytical solutions for the pricing of American bond and yield options. Zbl 0884.90019
Chesney, Marc; Elliott, Robert J.; Gibson, Rajna
1993
Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying. Zbl 0884.90018
Chesney, Marc; Elliott, Robert J.; Madan, Dilip; Yang, Hailiang
1993
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#### Cited by 488 Authors

 9 Czarna, Irmina 9 Ferrari, Giorgio 9 Palmowski, Zbigniew 9 Rutkowski, Marek 8 Jeanblanc, Monique 6 Cui, Zhenyu 6 Dassios, Angelos 6 Fontana, Claudio 6 Jacquier, Antoine 5 Shen, Yang 4 Bernard, Carole 4 Linetsky, Vadim 4 Lorig, Matthew J. 4 Renaud, Jean-François 4 Xiong, Dewen 4 Yor, Marc 3 Ahlip, Rehez 3 Aksamit, Anna 3 Baldeaux, Jan 3 Brigo, Damiano 3 Chen, An 3 Chesney, Marc 3 De Angelis, Tiziano 3 Dębicki, Krzysztof 3 Gutierrez-Sanchez, Ramon 3 Heß, Markus 3 Hillairet, Caroline 3 Jakubowski, Jacek 3 Kohlmann, Michael 3 Le, Nhat-Tan 3 Li, Libo 3 Lu, Xiaoping 3 Mendoza-Arriaga, Rafael 3 Moriarty, John 3 Nafidi, Ahmed 3 Pagliarani, Stefano 3 Pascucci, Andrea 3 Platen, Eckhard 3 Pontier, Monique 3 Quenez, Marie-Claire 3 Siu, Tak Kuen 3 Sulem, Agnès 3 Surya, Budhi Arta 3 Wiśniewolski, Maciej 3 Wong, Jeff T. Y. 3 Wu, Shanle 3 Zeng, Yan 3 Zhang, Hongzhong 3 Zhao, Hui 3 Zheng, Wendong 3 Zhu, Songping 2 Acciaio, Beatrice 2 Armerin, Fredrik 2 Barczy, Mátyás 2 Barrieu, Pauline M. 2 Bielecki, Tomasz R. 2 Blanchet-Scalliet, Christophette 2 Callegaro, Giorgia 2 Campi, Luciano 2 Çetin, Umut 2 Chau, Huy N. 2 Chen, Wenting 2 Cheung, Eric C. K. 2 Chiarella, Carl 2 Coutin, Laure 2 Cuchiero, Christa 2 De Marco, Stefano 2 Deng, Guohe 2 Deschatre, Thomas 2 Dong, Yuchao 2 Döring, Leif 2 Dumitrescu, Roxana 2 Fernández Martínez, Manuel 2 Fujita, Takahiko 2 Hashorva, Enkelejd 2 Horvath, Blanka 2 Hwang, Ya-Wen 2 Hyndman, Cody Blaine 2 Jarrow, Robert Alan 2 Ji, Lanpeng 2 Jiao, Ying 2 Kardaras, Constantinos 2 Kawanishi, Yasuhiro 2 Keller-Ressel, Martin 2 Kwok, Yue-Kuen 2 Landriault, David 2 Lars Kirkby, J. 2 le Courtois, Olivier 2 Lejay, Antoine 2 Lelong, Jérôme 2 Li, Yanhong 2 Liang, Xiaoqing 2 Lim, Jia Wei 2 Loeffen, Ronnie L. 2 Ma, Jingtang 2 Martini, Claude 2 Pallavicini, Andrea 2 Pap, Gyula 2 Papin, Timothee 2 Pérez Garmendia, Jose Luis ...and 388 more Authors
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#### Cited in 94 Serials

 24 International Journal of Theoretical and Applied Finance 15 Journal of Applied Probability 14 Stochastic Processes and their Applications 14 Finance and Stochastics 13 Insurance Mathematics & Economics 11 Applied Mathematical Finance 10 The Annals of Applied Probability 8 European Journal of Operational Research 8 SIAM Journal on Financial Mathematics 7 SIAM Journal on Control and Optimization 7 Statistics & Probability Letters 7 Quantitative Finance 7 Asia-Pacific Financial Markets 6 Mathematical Finance 6 Methodology and Computing in Applied Probability 6 Mathematics and Financial Economics 5 Advances in Applied Probability 5 Stochastic Analysis and Applications 5 Annals of Operations Research 4 Journal of Mathematical Analysis and Applications 4 Physica A 4 Journal of Computational and Applied Mathematics 4 Journal of Optimization Theory and Applications 4 Scandinavian Actuarial Journal 4 Review of Derivatives Research 4 Stochastics 3 Applied Mathematics and Computation 3 Applied Mathematics and Optimization 3 Operations Research Letters 3 Applied Numerical Mathematics 3 Bernoulli 3 Science China. Mathematics 3 Modern Stochastics. Theory and Applications 2 Journal of Multivariate Analysis 2 Mathematics and Computers in Simulation 2 Operations Research 2 Proceedings of the American Mathematical Society 2 Statistics 2 European Journal of Applied Mathematics 2 International Journal of Computer Mathematics 2 Abstract and Applied Analysis 2 Communications in Nonlinear Science and Numerical Simulation 2 Decisions in Economics and Finance 2 Stochastic Models 2 ASTIN Bulletin 2 North American Actuarial Journal 2 Journal of Industrial and Management Optimization 2 Financial Engineering and the Japanese Markets 2 Annals of Finance 2 Dependence Modeling 2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 2 Probability, Uncertainty and Quantitative Risk 1 Computers & Mathematics with Applications 1 Journal of Statistical Physics 1 Lithuanian Mathematical Journal 1 Theory of Probability and its Applications 1 Advances in Mathematics 1 Journal of Differential Equations 1 Journal of Environmental Economics and Management 1 Journal of Mathematical Economics 1 Quarterly of Applied Mathematics 1 Topology and its Applications 1 Probability and Mathematical Statistics 1 Chinese Annals of Mathematics. Series B 1 Acta Mathematicae Applicatae Sinica. English Series 1 Journal of Economic Dynamics & Control 1 Journal of Theoretical Probability 1 Applied Mathematics Letters 1 Journal of Scientific Computing 1 SIAM Journal on Applied Mathematics 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational Statistics and Data Analysis 1 Journal of Mathematical Sciences (New York) 1 Electronic Journal of Probability 1 Electronic Communications in Probability 1 Nonlinear Dynamics 1 Journal of Applied Mathematics and Decision Sciences 1 Discrete Dynamics in Nature and Society 1 Extremes 1 Probability in the Engineering and Informational Sciences 1 Econometric Theory 1 SIAM Journal on Applied Dynamical Systems 1 Mathematical Biosciences and Engineering 1 Frontiers of Mathematics in China 1 Optimization Letters 1 International Journal of Stochastic Analysis 1 European Actuarial Journal 1 Journal of the Operations Research Society of China 1 Mathematical Sciences 1 JSIAM Letters 1 Journal of Dynamics and Games 1 Pacific Journal of Mathematics for Industry 1 International Journal of Applied and Computational Mathematics 1 Results in Applied Mathematics
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#### Cited in 22 Fields

 250 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 215 Probability theory and stochastic processes (60-XX) 36 Systems theory; control (93-XX) 35 Statistics (62-XX) 18 Numerical analysis (65-XX) 12 Partial differential equations (35-XX) 11 Calculus of variations and optimal control; optimization (49-XX) 7 Operations research, mathematical programming (90-XX) 5 Integral transforms, operational calculus (44-XX) 4 Ordinary differential equations (34-XX) 3 Measure and integration (28-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Biology and other natural sciences (92-XX) 2 Approximations and expansions (41-XX) 2 Mechanics of particles and systems (70-XX) 1 Nonassociative rings and algebras (17-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 General topology (54-XX) 1 Computer science (68-XX) 1 Mechanics of deformable solids (74-XX) 1 Statistical mechanics, structure of matter (82-XX)