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Heath, David C.

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Author ID: heath.david-c Recent zbMATH articles by "Heath, David C."
Published as: Heath, David; Heath, David C.; Heath, D.; Heath, D. C.
External Links: MGP · Wikidata
Documents Indexed: 52 Publications since 1971, including 2 Books

Publications by Year

Citations contained in zbMATH Open

41 Publications have been cited 2,623 times in 2,416 Documents Cited by Year
Coherent measures of risk. Zbl 0980.91042
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David
1999
Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Zbl 0751.90009
Heath, David; Jarrow, Robert; Morton, Andrew
470
1992
Coherent multiperiod risk adjusted values and Bellman’s principle. Zbl 1132.91484
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David; Ku, Hyejin
142
2007
A benchmark approach to quantitative finance. Zbl 1104.91041
Platen, Eckhard; Heath, David
61
2006
Martingales versus PDEs in finance: an equivalence result with examples. Zbl 0996.91069
Heath, David; Schweizer, Martin
46
2000
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
43
2001
Heavy tails and long range dependence in on/off processes and associated fluid models. Zbl 0981.60092
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
41
1998
Allocation of shared costs: A set of axioms yielding a unique procedure. Zbl 0509.90009
Billera, Louis J.; Heath, David C.
39
1982
Pareto equilibria with coherent measures of risk. Zbl 1090.91033
Heath, David; Ku, Hyejin
34
2004
On finitely additive priors, coherence, and extended admissibility. Zbl 0385.62005
Heath, David; Sudderth, William
33
1978
Internal telephone billing rates – a novel application of non-atomic game theory. Zbl 0417.90059
Billera, Louis J.; Heath, David C.; Raanan, Joseph
33
1978
Patterns of buffer overflow in a class of queues with long memory in the input stream. Zbl 0905.60070
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
17
1997
Minimizing or maximizing the expected time to reach zero. Zbl 0613.93067
Heath, D.; Orey, S.; Pestien, V.; Sudderth, W.
17
1987
On a theorem of de Finetti, oddsmaking, and game theory. Zbl 0256.90068
Heath, David C.; Sudderth, William D.
17
1972
Functions possessing restricted mean value properties. Zbl 0251.31004
Heath, David
15
1973
Coherent inference from improper priors and from finitely additive priors. Zbl 0687.62003
Heath, David; Sudderth, William
13
1989
De Finetti’s theorem on exchangeable variables. Zbl 0352.60002
Heath, David; Sudderth, William
12
1976
Almost sure convergence of uniform transport processes to Brownian motion. Zbl 0216.21405
Griego, R. J.; Heath, D.; Ruiz-Moncayo, A.
10
1971
Subfair red-and-black with a limit. Zbl 0262.90091
Heath, David C.; Pruitt, William E.; Sudderth, William D.
9
1972
Searching for a particle on the real line. Zbl 0277.90047
Fristedt, Bert; Heath, David
8
1974
How system performance is affected by the interplay of averages in a fluid queue with long range dependence induced by heavy tails. Zbl 1059.60505
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
7
1999
Numerical comparison of local risk-minimisation and mean-variance hedging. Zbl 1004.91031
Heath, David; Platen, Eckhard; Schweizer, Martin
7
2001
Approximate completeness with multiple martingale measures. Zbl 0872.60032
Artzner, Philippe; Heath, David
6
1995
Perfect hedging of index derivatives under a minimal market model. Zbl 1107.91338
Heath, David; Platen, Eckhard
6
2002
Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Zbl 1065.91510
Heath, David; Jarrow, Robert; Morton, Andrew J.
5
2000
Linear subdivision is strictly a polynomial phenomenon. Zbl 0587.68091
Goldman, R. N.; Heath, D. C.
5
1984
Red-and-black with unknown win probability. Zbl 0285.90085
Berry, Donald A.; Heath, David C.; Sudderth, William D.
4
1974
Bandit problems with infinitely many arms. Zbl 0881.62083
Berry, Donald A.; Chen, Robert W.; Zame, Alan; Heath, David C.; Shepp, Larry A.
4
1997
Interpolation of martingales. Zbl 0375.60063
Heath, David
4
1977
Pricing and hedging of index derivatives under an alternative asset price model with endogenous stochastic volatility. Zbl 1023.91025
Heath, David; Platen, Eckhard
4
2002
Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019
Heath, David; Platen, Eckhard
4
2004
Skorokhod stopping via potential theory. Zbl 0302.60050
Heath, David
3
1974
With respect to tail sigma fields, standard measures possess measurable disintegrations. Zbl 0522.28006
Dubins, Lester E.; Heath, David
3
1983
Local volatility function models under a benchmark approach. Zbl 1136.91439
Heath, David; Platen, Eckhard
3
2006
Continuous-time gambling problems. Zbl 0296.60052
Heath, David C.; Sudderth, William D.
2
1974
Discrete and continuous ratchets: From coin toss to molecular motor. Zbl 1009.35037
Heath, David; Kinderlehrer, David; Kowalczyk, Michał
2
2002
A variance reduction technique based on integral representations. Zbl 1405.91696
Heath, David; Platen, Eckhard
1
2002
Modelling the stochastic dynamics of volatility for equity indices. Zbl 1054.91037
Heath, David; Hurst, Simon; Platen, Eckhard
1
2001
Currency derivatives under a minimal market model with random scaling. Zbl 1101.91039
Heath, David; Platen, Eckhard
1
2005
Valuation of FX barrier options under stochastic volatility. Zbl 1153.91506
Heath, David; Platen, Eckhard
1
1994
On means with countably additive continuities. Zbl 0545.28006
Dubins, Lester E.; Heath, David
1
1984
Coherent multiperiod risk adjusted values and Bellman’s principle. Zbl 1132.91484
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David; Ku, Hyejin
142
2007
A benchmark approach to quantitative finance. Zbl 1104.91041
Platen, Eckhard; Heath, David
61
2006
Local volatility function models under a benchmark approach. Zbl 1136.91439
Heath, David; Platen, Eckhard
3
2006
Currency derivatives under a minimal market model with random scaling. Zbl 1101.91039
Heath, David; Platen, Eckhard
1
2005
Pareto equilibria with coherent measures of risk. Zbl 1090.91033
Heath, David; Ku, Hyejin
34
2004
Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019
Heath, David; Platen, Eckhard
4
2004
Perfect hedging of index derivatives under a minimal market model. Zbl 1107.91338
Heath, David; Platen, Eckhard
6
2002
Pricing and hedging of index derivatives under an alternative asset price model with endogenous stochastic volatility. Zbl 1023.91025
Heath, David; Platen, Eckhard
4
2002
Discrete and continuous ratchets: From coin toss to molecular motor. Zbl 1009.35037
Heath, David; Kinderlehrer, David; Kowalczyk, Michał
2
2002
A variance reduction technique based on integral representations. Zbl 1405.91696
Heath, David; Platen, Eckhard
1
2002
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
43
2001
Numerical comparison of local risk-minimisation and mean-variance hedging. Zbl 1004.91031
Heath, David; Platen, Eckhard; Schweizer, Martin
7
2001
Modelling the stochastic dynamics of volatility for equity indices. Zbl 1054.91037
Heath, David; Hurst, Simon; Platen, Eckhard
1
2001
Martingales versus PDEs in finance: an equivalence result with examples. Zbl 0996.91069
Heath, David; Schweizer, Martin
46
2000
Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Zbl 1065.91510
Heath, David; Jarrow, Robert; Morton, Andrew J.
5
2000
Coherent measures of risk. Zbl 0980.91042
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David
1999
How system performance is affected by the interplay of averages in a fluid queue with long range dependence induced by heavy tails. Zbl 1059.60505
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
7
1999
Heavy tails and long range dependence in on/off processes and associated fluid models. Zbl 0981.60092
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
41
1998
Patterns of buffer overflow in a class of queues with long memory in the input stream. Zbl 0905.60070
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
17
1997
Bandit problems with infinitely many arms. Zbl 0881.62083
Berry, Donald A.; Chen, Robert W.; Zame, Alan; Heath, David C.; Shepp, Larry A.
4
1997
Approximate completeness with multiple martingale measures. Zbl 0872.60032
Artzner, Philippe; Heath, David
6
1995
Valuation of FX barrier options under stochastic volatility. Zbl 1153.91506
Heath, David; Platen, Eckhard
1
1994
Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Zbl 0751.90009
Heath, David; Jarrow, Robert; Morton, Andrew
470
1992
Coherent inference from improper priors and from finitely additive priors. Zbl 0687.62003
Heath, David; Sudderth, William
13
1989
Minimizing or maximizing the expected time to reach zero. Zbl 0613.93067
Heath, D.; Orey, S.; Pestien, V.; Sudderth, W.
17
1987
Linear subdivision is strictly a polynomial phenomenon. Zbl 0587.68091
Goldman, R. N.; Heath, D. C.
5
1984
On means with countably additive continuities. Zbl 0545.28006
Dubins, Lester E.; Heath, David
1
1984
With respect to tail sigma fields, standard measures possess measurable disintegrations. Zbl 0522.28006
Dubins, Lester E.; Heath, David
3
1983
Allocation of shared costs: A set of axioms yielding a unique procedure. Zbl 0509.90009
Billera, Louis J.; Heath, David C.
39
1982
On finitely additive priors, coherence, and extended admissibility. Zbl 0385.62005
Heath, David; Sudderth, William
33
1978
Internal telephone billing rates – a novel application of non-atomic game theory. Zbl 0417.90059
Billera, Louis J.; Heath, David C.; Raanan, Joseph
33
1978
Interpolation of martingales. Zbl 0375.60063
Heath, David
4
1977
De Finetti’s theorem on exchangeable variables. Zbl 0352.60002
Heath, David; Sudderth, William
12
1976
Searching for a particle on the real line. Zbl 0277.90047
Fristedt, Bert; Heath, David
8
1974
Red-and-black with unknown win probability. Zbl 0285.90085
Berry, Donald A.; Heath, David C.; Sudderth, William D.
4
1974
Skorokhod stopping via potential theory. Zbl 0302.60050
Heath, David
3
1974
Continuous-time gambling problems. Zbl 0296.60052
Heath, David C.; Sudderth, William D.
2
1974
Functions possessing restricted mean value properties. Zbl 0251.31004
Heath, David
15
1973
On a theorem of de Finetti, oddsmaking, and game theory. Zbl 0256.90068
Heath, David C.; Sudderth, William D.
17
1972
Subfair red-and-black with a limit. Zbl 0262.90091
Heath, David C.; Pruitt, William E.; Sudderth, William D.
9
1972
Almost sure convergence of uniform transport processes to Brownian motion. Zbl 0216.21405
Griego, R. J.; Heath, D.; Ruiz-Moncayo, A.
10
1971
all top 5

Cited by 3,105 Authors

31 Madan, Dilip B.
28 Platen, Eckhard
27 Siu, Tak Kuen
19 Elliott, Robert James
18 Ruszczyński, Andrzej
18 Shapiro, Alexander
18 Wang, Ruodu
15 Balbás, Alejandro
15 Benth, Fred Espen
15 Filipović, Damir
14 Chen, Zhiping
14 Kupper, Michael
13 Hu, Yijun
13 Pflug, Georg Ch.
13 Rudloff, Birgit
12 Fabozzi, Frank J.
12 Pichler, Alois
12 Schoutens, Wim
12 Tan, Ken Seng
11 Balbás, Raquel
11 Chiarella, Carl
11 Heath, David C.
11 Rosazza Gianin, Emanuela
10 Eberlein, Ernst W.
10 Jarrow, Robert Alan
10 Landsman, Zinoviy M.
10 Mao, Tiantian
10 Munari, Cosimo
10 Peng, Shige
10 Rigo, Pietro
10 Svindland, Gregor
10 Tsanakas, Andreas
9 Balbás, Beatriz
9 Berti, Patrizia
9 Biagini, Francesca
9 Boonen, Tim J.
9 Embrechts, Paul
9 Gotoh, Jun-ya
9 Li, Duan
9 Resnick, Sidney Ira
9 Takahashi, Akihiko
8 Bielecki, Tomasz R.
8 Cialenco, Igor
8 Delbaen, Freddy
8 Dentcheva, Darinka
8 Koch Medina, Pablo
8 Kouri, Drew P.
8 Marinacci, Massimo
8 Ogryczak, Włodzimierz
8 Weber, Stefan
8 Yang, Hailiang
8 Zabarankin, Michael
8 Zenios, Stavros Andrea
7 Assa, Hirbod
7 Cai, Jun
7 Chen, Yanhong
7 Chi, Yichun
7 Cossette, Hélène
7 Grechuk, Bogdan
7 Haberman, Steven
7 Hu, Taizhong
7 Krokhmal, Pavlo A.
7 Marceau, Étienne
7 Pistorius, Martijn R.
7 Rachev, Svetlozar T.
7 Runggaldier, Wolfgang J.
7 Rüschendorf, Ludger
7 Samorodnitsky, Gennady Pinkhosovich
7 Schlögl, Erik
7 Schmidt, Thorsten
7 Stadje, Mitja
7 Takeda, Akiko
7 Uryasev, Stan
7 Zabczyk, Jerzy
6 Acciaio, Beatrice
6 Baviera, Roberto
6 Cretarola, Alessandra
6 Cui, Xiangyu
6 de Cooman, Gert
6 Devolder, Pierre
6 Dhaene, Jan
6 Di Bernardino, Elena
6 Feinstein, Zachary
6 Frittelli, Marco
6 Goovaerts, Marc J.
6 Hu, Feng
6 Hughston, Lane P.
6 Kim, Joseph Hyun Tae
6 Kirilyuk, Vitaly S.
6 Leitner, Johannes
6 Maccheroni, Fabio
6 Mailhot, Mélina
6 Moulin, Hervé C.
6 Nikitopoulos Sklibosios, Christina
6 Ortobelli, Sergio
6 Overbeck, Ludger
6 Protter, Philip Elliott
6 Rockafellar, Ralph Tyrrell
6 Schumacher, Johannes M.
6 Sherris, Michael
...and 3,005 more Authors
all top 5

Cited in 292 Serials

187 Insurance Mathematics & Economics
166 European Journal of Operational Research
136 Quantitative Finance
114 International Journal of Theoretical and Applied Finance
85 Mathematical Finance
82 Annals of Operations Research
61 Finance and Stochastics
55 Applied Mathematical Finance
46 The Annals of Applied Probability
41 ASTIN Bulletin
38 Mathematics and Financial Economics
35 Scandinavian Actuarial Journal
34 Stochastic Processes and their Applications
33 Mathematical Programming. Series A. Series B
32 Journal of Economic Dynamics & Control
32 North American Actuarial Journal
31 Operations Research Letters
27 Mathematical Methods of Operations Research
25 Review of Derivatives Research
24 Statistics & Probability Letters
24 Asia-Pacific Financial Markets
22 Journal of Mathematical Analysis and Applications
22 Annals of Finance
21 Journal of Applied Probability
21 SIAM Journal on Financial Mathematics
20 Journal of Computational and Applied Mathematics
20 Journal of Mathematical Economics
19 Journal of Optimization Theory and Applications
19 Methodology and Computing in Applied Probability
18 Stochastic Analysis and Applications
18 Computational Management Science
17 Journal of Econometrics
17 Computers & Operations Research
16 International Journal of Approximate Reasoning
15 Mathematics of Operations Research
14 Operations Research
14 Optimization
14 SIAM Journal on Optimization
14 Computational Optimization and Applications
13 Mathematical Problems in Engineering
13 Decisions in Economics and Finance
13 European Actuarial Journal
12 Advances in Applied Probability
12 Computational Statistics and Data Analysis
12 Economic Theory
12 Statistics & Risk Modeling
11 Applied Mathematics and Computation
11 Applied Mathematics and Optimization
11 Journal of Economic Theory
11 Mathematical Social Sciences
11 Games and Economic Behavior
11 Communications in Statistics. Theory and Methods
11 OR Spectrum
10 The Annals of Statistics
10 Cybernetics and Systems Analysis
10 Bernoulli
10 INFORMS Journal on Computing
10 Stochastics
9 Journal of Multivariate Analysis
9 Stochastic Models
9 Dependence Modeling
8 Economics Letters
8 Journal of Global Optimization
8 Journal of Industrial and Management Optimization
7 Journal of Statistical Planning and Inference
7 Theory and Decision
6 International Journal of Game Theory
6 Neural Computation
6 Computational Economics
6 Applied Mathematics. Series B (English Edition)
6 Extremes
6 CEJOR. Central European Journal of Operations Research
6 Science China. Mathematics
6 Probability, Uncertainty and Quantitative Risk
5 Automatica
5 Journal of the American Statistical Association
5 SIAM Journal on Control and Optimization
5 Transactions of the American Mathematical Society
5 Acta Mathematicae Applicatae Sinica. English Series
5 Probability Theory and Related Fields
5 Journal of Theoretical Probability
5 Top
5 Abstract and Applied Analysis
5 Positivity
5 Acta Mathematica Sinica. English Series
5 Econometric Theory
5 Optimization and Engineering
5 Applied Stochastic Models in Business and Industry
5 Electronic Journal of Statistics
5 Journal of the Operations Research Society of China
4 Metrika
4 Physica A
4 The Annals of Probability
4 Fuzzy Sets and Systems
4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
4 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
4 Science in China. Series A
4 Applied Mathematical Modelling
4 Communications in Statistics. Simulation and Computation
4 Journal of Computer and Systems Sciences International
...and 192 more Serials
all top 5

Cited in 40 Fields

1,904 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
670 Probability theory and stochastic processes (60-XX)
485 Operations research, mathematical programming (90-XX)
482 Statistics (62-XX)
99 Systems theory; control (93-XX)
93 Numerical analysis (65-XX)
63 Calculus of variations and optimal control; optimization (49-XX)
55 Functional analysis (46-XX)
43 Computer science (68-XX)
40 Partial differential equations (35-XX)
28 Measure and integration (28-XX)
16 Real functions (26-XX)
13 Potential theory (31-XX)
9 Mathematical logic and foundations (03-XX)
9 Ordinary differential equations (34-XX)
9 Operator theory (47-XX)
7 Convex and discrete geometry (52-XX)
6 Dynamical systems and ergodic theory (37-XX)
6 Biology and other natural sciences (92-XX)
5 General and overarching topics; collections (00-XX)
5 Approximations and expansions (41-XX)
5 Statistical mechanics, structure of matter (82-XX)
4 Combinatorics (05-XX)
4 Difference and functional equations (39-XX)
4 Information and communication theory, circuits (94-XX)
3 Functions of a complex variable (30-XX)
3 Harmonic analysis on Euclidean spaces (42-XX)
3 Abstract harmonic analysis (43-XX)
3 Global analysis, analysis on manifolds (58-XX)
2 History and biography (01-XX)
2 Integral transforms, operational calculus (44-XX)
2 Differential geometry (53-XX)
2 Quantum theory (81-XX)
2 Geophysics (86-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Integral equations (45-XX)
1 Fluid mechanics (76-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Relativity and gravitational theory (83-XX)

Citations by Year

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