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Chesney, Marc

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Author ID: chesney.marc Recent zbMATH articles by "Chesney, Marc"
Published as: Chesney, M.; Chesney, Marc
Documents Indexed: 18 Publications since 1993, including 2 Books

Publications by Year

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
198
2009
Brownian excursions and Parisian barrier options. Zbl 0882.60042
Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc
77
1997
Analytical solutions for the pricing of American bond and yield options. Zbl 0884.90019
Chesney, Marc; Elliott, Robert J.; Gibson, Rajna
13
1993
The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing. Zbl 1372.91079
Chesney, Marc; Taschini, Luca
10
2012
American Parisian options. Zbl 1126.91025
Chesney, Marc; Gauthier, Laurent
9
2006
Pricing American currency options in an exponential Lévy model. Zbl 1066.91038
Chesney, Marc; Jeanblanc, M.
5
2004
Some combinations of Asian, Parisian and barrier options. Zbl 0911.90036
Yor, M.; Chesney, M.; Geman, H.; Jeanblanc-Picqué, M.
4
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
4
1993
Estimating the instantaneous volatility and covariance of risky assets. Zbl 0821.62047
Chesney, Marc; Elliott, Robert J.
3
1995
Long-term risk management of nuclear waste: A real options approach. Zbl 1009.91040
Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc
2
2002
An experimental study on real-options strategies. Zbl 1279.91179
Wang, Mei; Bernstein, Abraham; Chesney, Marc
1
2012
The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing. Zbl 1372.91079
Chesney, Marc; Taschini, Luca
10
2012
An experimental study on real-options strategies. Zbl 1279.91179
Wang, Mei; Bernstein, Abraham; Chesney, Marc
1
2012
Mathematical methods for financial markets. Zbl 1205.91003
Jeanblanc, Monique; Yor, Marc; Chesney, Marc
198
2009
American Parisian options. Zbl 1126.91025
Chesney, Marc; Gauthier, Laurent
9
2006
Pricing American currency options in an exponential Lévy model. Zbl 1066.91038
Chesney, Marc; Jeanblanc, M.
5
2004
Long-term risk management of nuclear waste: A real options approach. Zbl 1009.91040
Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc
2
2002
Brownian excursions and Parisian barrier options. Zbl 0882.60042
Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc
77
1997
Some combinations of Asian, Parisian and barrier options. Zbl 0911.90036
Yor, M.; Chesney, M.; Geman, H.; Jeanblanc-Picqué, M.
4
1997
Estimating the instantaneous volatility and covariance of risky assets. Zbl 0821.62047
Chesney, Marc; Elliott, Robert J.
3
1995
Analytical solutions for the pricing of American bond and yield options. Zbl 0884.90019
Chesney, Marc; Elliott, Robert J.; Gibson, Rajna
13
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
4
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
all top 5

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

Citations by Year