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Madan, Dilip B.

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Author ID: madan.dilip-b Recent zbMATH articles by "Madan, Dilip B."
Published as: Madan, Dilip B.; Madan, Dilip; Madan, D. B.
Documents Indexed: 115 Publications since 1982, including 3 Books
Biographic References: 1 Publication

Publications by Year

Citations contained in zbMATH Open

84 Publications have been cited 1,564 times in 1,074 Documents Cited by Year
The variance gamma process and option pricing. Zbl 0937.91052
Madan, Dilip B.; Carr, Peter P.; Chang, Eric C.
406
1998
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
218
2003
Option pricing with V. G. martingale components. Zbl 0900.90105
Madan, Dilip B.; Milne, Frank
103
1991
Pricing the risks of default. Zbl 1274.91426
Madan, Dilip B.; Unal, Haluk
59
1998
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
54
2001
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
53
2007
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
Madan, Dilip B.; Cherny, Alexander
48
2010
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
43
2005
Making Markov martingales meet marginals: With explicit constructions. Zbl 1009.60037
Madan, Dilip B.; Yor, Marc
43
2002
Option pricing using variance gamma Markov chains. Zbl 1064.91044
Konikov, Mikhail; Madan, Dilip B.
32
2002
Contingent claims valid and hedged by pricing and investing in a basis. Zbl 0884.90042
Madan, Dilip B.; Milne, Frank
24
1994
Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns. Zbl 0866.90018
Jarrow, Robert; Madan, Dilip
22
1995
Towards a theory of volatility trading. Zbl 0990.91037
Carr, Peter; Madan, Dilip
22
2001
Saddlepoint methods for option pricing. Zbl 1178.91192
Carr, Peter; Madan, Dilip
20
2009
Asset pricing theory for two price economies. Zbl 1311.91107
Madan, Dilip B.
18
2015
Sato processes and the valuation of structured products. Zbl 1171.91327
Eberlein, Ernst; Madan, Dilip B.
18
2009
A discrete time equivalent martingale measure. Zbl 0910.60033
Elliott, Robert J.; Madan, Dilip B.
17
1998
Optimal investment in derivative securities. Zbl 0977.60056
Carr, Peter; Jin, Xing; Madan, Dilip B.
17
2001
Ito’s integrated formula for strict local martingales. Zbl 1133.60025
Madan, Dilip B.; Yor, Marc
17
2006
A two price theory of financial equilibrium with risk management implications. Zbl 1298.91205
Madan, Dilip B.
14
2012
Applied conic finance. Zbl 1350.91005
Madan, Dilip; Schoutens, Wim
13
2016
Simulation of estimates using the empirical characteristic function. Zbl 0616.62033
Madan, D. B.; Seneta, E.
13
1987
Bid and ask prices as non-linear continuous time G-expectations based on distortions. Zbl 1307.91086
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc
12
2014
Stochastic volatility, jumps and hidden time changes. Zbl 1006.60026
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
12
2002
Structured products equilibria in conic two price markets. Zbl 1264.91148
Madan, Dilip B.; Schoutens, Wim
12
2012
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
11
2014
The second fundamental theorem of asset pricing. Zbl 0991.91035
Jarrow, Robert A.; Jin, Xing; Madan, Dilip B.
11
1999
Purely discontinuous asset price processes. Zbl 1005.91047
Madan, Dilip B.
11
2001
A theory of volatility spreads. Zbl 1232.91715
Bakshi, Gurdip; Madan, Dilip
11
2006
Tenor specific pricing. Zbl 1262.91142
Madan, Dilip B.; Schoutens, Wim
11
2012
Unbounded liabilities, capital reserve requirements and the taxpayer put option. Zbl 1278.91159
Eberlein, Ernst; Madan, Dilip B.
10
2012
Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450
Madan, Dilip B.; Schoutens, Wim
10
2011
Asset prices are Brownian motion: Only in business time. Zbl 1134.91019
Geman, Helyette; Madan, Dilip B.; Yor, Marc
9
2001
Local volatility enhanced by a jump to default. Zbl 1197.91183
Carr, Peter; Madan, Dilip B.
9
2010
Equilibrium asset pricing: with non-Gaussian factors and exponential utilities. Zbl 1134.91448
Madan, Dilip B.
8
2006
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Zbl 1163.91414
Madan, Dilip B.; Roynette, Bernard; Yor, Marc
8
2008
Hedging contingent claims on semimartingales. Zbl 0926.60035
Jarrow, Robert; Madan, Dilip B.
7
1999
From local volatility to local Lévy models. Zbl 1405.91600
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
7
2004
Estimating parametric models of probability distributions. Zbl 1373.62526
Madan, Dilip B.
7
2015
Benchmarking in two price financial markets. Zbl 1398.91279
Madan, Dilip B.
6
2016
A characterization of complete security markets on a Brownian filtration. Zbl 0900.90048
Jarrow, Robert A.; Madan, Dilip B.
6
1991
Pricing and hedging basket options to prespecified levels of acceptability. Zbl 1192.91183
Madan, Dilip B.
6
2010
Conic portfolio theory. Zbl 1403.91318
Madan, Dilip B.
5
2016
Instantaneous portfolio theory. Zbl 1400.91557
Madan, Dilip B.
5
2018
The S&P 500 index as a Sato process travelling at the speed of the VIX. Zbl 1239.91186
Madan, Dilip B.; Yor, Marc
5
2011
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions. Zbl 1442.60051
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
5
2019
Hedge fund performance: sources and measures. Zbl 1180.91313
Eberlein, Ernst; Madan, Dilip B.
5
2009
Capital requirements, acceptable risks and profits. Zbl 1181.91101
Madan, Dilip B.
5
2009
Short positions, rally fears and option markets. Zbl 1229.91303
Eberlein, Ernst; Madan, Dilip B.
5
2010
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
Conic finance and the corporate balance sheet. Zbl 1282.91370
Madan, Dilip B.; Schoutens, Wim
4
2011
Is mean-variance analysis vacuous: or was beta still born? Zbl 1029.91515
Jarrow, Robert A.; Madan, Dilip B.
4
1997
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. Zbl 1406.91439
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim
4
2018
Simple processes and the pricing and hedging of cliquets. Zbl 1282.91340
Madan, Dilip B.; Schoutens, Wim
4
2013
The valuation of structured products using Markov chain models. Zbl 1280.91172
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
3
2013
Measuring and monitoring the efficiency of markets. Zbl 1395.91459
Madan, Dilip B.; Schoutens, Wim; Wang, King
3
2017
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver. Zbl 1335.60132
Madan, Dilip; Pistorius, Martijn; Stadje, Mitja
3
2016
On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets. Zbl 1348.91272
Madan, Dilip B.; Yor, Marc
3
2016
Correlation and the pricing of risks. Zbl 1233.91320
Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
3
2007
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
Madan, Dilip B.; Schoutens, Wim
3
2019
Conic trading in a Markovian steady state. Zbl 1390.91304
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2017
Risk premia in option markets. Zbl 1398.91607
Madan, Dilip B.
2
2016
Dynamic conic hedging for competitiveness. Zbl 1404.91141
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2016
Hedging insurance books. Zbl 1371.91175
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim
2
2016
Probing option prices for information. Zbl 1157.60067
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2
2007
Filtering derivative security valuations from market prices. Zbl 0914.90018
Elliott, Robert J.; Lahaie, Charles H.; Madan, Dilip B.
2
1997
A tale of two volatilities. Zbl 1188.91228
Madan, Dilip B.
2
2009
Put option prices as joint distribution functions in strike and maturity: the Black-Scholes case. Zbl 1183.91179
Madan, Dilip B.; Roynette, Bernard; Yor, Marc
2
2009
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
2
2013
Systemic risk tradeoffs and option prices. Zbl 1284.91552
Madan, Dilip B.; Schoutens, Wim
1
2013
Two processes for two prices. Zbl 1295.91092
Madan, Dilip B.; Schoutens, Wim
1
2014
Momentum and reversion in risk neutral martingale probabilities. Zbl 1308.91167
Madan, Dilip B.
1
2014
Moments of Wiener integrals for subordinators. Zbl 1329.60165
Madan, Dilip; Yor, Marc
1
2012
Utility correlations in probabilistic choice modelling. Zbl 1328.91085
Madan, Dilip B.
1
1986
Adapted hedging. Zbl 1398.91608
Madan, Dilip B.
1
2016
Risk measurement in semimartingale models with multiple consumption goods. Zbl 0639.90015
Madan, Dilip B.
1
1988
Monotone and 1-1 sets. Zbl 0513.03018
Madan, D. B.; Robinson, R. W.
1
1982
Measures of risk aversion with many commodities. Zbl 1273.91240
Madan, Dilip B.
1
1983
Options on realized variance and convex orders. Zbl 1277.91164
Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc
1
2011
Self-decomposability of weak variance generalised gamma convolutions. Zbl 07157650
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
1
2020
Equilibrium asset returns in financial markets. Zbl 1411.91520
Madan, Dilip B.; Schoutens, Wim
1
2019
Testing for random pairing. Zbl 0554.62045
de Jong, Piet; Greig, Malcolm; Madan, Dilip
1
1983
Financial equilibrium with non-linear valuations. Zbl 1397.91228
Madan, Dilip B.
1
2018
Option overlay strategies. Zbl 1398.91537
Madan, Dilip B.; Sharaiha, Yazid M.
1
2015
Self-decomposability of weak variance generalised gamma convolutions. Zbl 07157650
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
1
2020
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions. Zbl 1442.60051
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
5
2019
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
Madan, Dilip B.; Schoutens, Wim
3
2019
Equilibrium asset returns in financial markets. Zbl 1411.91520
Madan, Dilip B.; Schoutens, Wim
1
2019
Instantaneous portfolio theory. Zbl 1400.91557
Madan, Dilip B.
5
2018
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. Zbl 1406.91439
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim
4
2018
Financial equilibrium with non-linear valuations. Zbl 1397.91228
Madan, Dilip B.
1
2018
Measuring and monitoring the efficiency of markets. Zbl 1395.91459
Madan, Dilip B.; Schoutens, Wim; Wang, King
3
2017
Conic trading in a Markovian steady state. Zbl 1390.91304
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2017
Applied conic finance. Zbl 1350.91005
Madan, Dilip; Schoutens, Wim
13
2016
Benchmarking in two price financial markets. Zbl 1398.91279
Madan, Dilip B.
6
2016
Conic portfolio theory. Zbl 1403.91318
Madan, Dilip B.
5
2016
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver. Zbl 1335.60132
Madan, Dilip; Pistorius, Martijn; Stadje, Mitja
3
2016
On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets. Zbl 1348.91272
Madan, Dilip B.; Yor, Marc
3
2016
Risk premia in option markets. Zbl 1398.91607
Madan, Dilip B.
2
2016
Dynamic conic hedging for competitiveness. Zbl 1404.91141
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2016
Hedging insurance books. Zbl 1371.91175
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim
2
2016
Adapted hedging. Zbl 1398.91608
Madan, Dilip B.
1
2016
Asset pricing theory for two price economies. Zbl 1311.91107
Madan, Dilip B.
18
2015
Estimating parametric models of probability distributions. Zbl 1373.62526
Madan, Dilip B.
7
2015
Option overlay strategies. Zbl 1398.91537
Madan, Dilip B.; Sharaiha, Yazid M.
1
2015
Bid and ask prices as non-linear continuous time G-expectations based on distortions. Zbl 1307.91086
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc
12
2014
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
11
2014
Two processes for two prices. Zbl 1295.91092
Madan, Dilip B.; Schoutens, Wim
1
2014
Momentum and reversion in risk neutral martingale probabilities. Zbl 1308.91167
Madan, Dilip B.
1
2014
Simple processes and the pricing and hedging of cliquets. Zbl 1282.91340
Madan, Dilip B.; Schoutens, Wim
4
2013
The valuation of structured products using Markov chain models. Zbl 1280.91172
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
3
2013
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
2
2013
Systemic risk tradeoffs and option prices. Zbl 1284.91552
Madan, Dilip B.; Schoutens, Wim
1
2013
A two price theory of financial equilibrium with risk management implications. Zbl 1298.91205
Madan, Dilip B.
14
2012
Structured products equilibria in conic two price markets. Zbl 1264.91148
Madan, Dilip B.; Schoutens, Wim
12
2012
Tenor specific pricing. Zbl 1262.91142
Madan, Dilip B.; Schoutens, Wim
11
2012
Unbounded liabilities, capital reserve requirements and the taxpayer put option. Zbl 1278.91159
Eberlein, Ernst; Madan, Dilip B.
10
2012
Moments of Wiener integrals for subordinators. Zbl 1329.60165
Madan, Dilip; Yor, Marc
1
2012
Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450
Madan, Dilip B.; Schoutens, Wim
10
2011
The S&P 500 index as a Sato process travelling at the speed of the VIX. Zbl 1239.91186
Madan, Dilip B.; Yor, Marc
5
2011
Conic finance and the corporate balance sheet. Zbl 1282.91370
Madan, Dilip B.; Schoutens, Wim
4
2011
Options on realized variance and convex orders. Zbl 1277.91164
Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc
1
2011
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
Madan, Dilip B.; Cherny, Alexander
48
2010
Local volatility enhanced by a jump to default. Zbl 1197.91183
Carr, Peter; Madan, Dilip B.
9
2010
Pricing and hedging basket options to prespecified levels of acceptability. Zbl 1192.91183
Madan, Dilip B.
6
2010
Short positions, rally fears and option markets. Zbl 1229.91303
Eberlein, Ernst; Madan, Dilip B.
5
2010
Saddlepoint methods for option pricing. Zbl 1178.91192
Carr, Peter; Madan, Dilip
20
2009
Sato processes and the valuation of structured products. Zbl 1171.91327
Eberlein, Ernst; Madan, Dilip B.
18
2009
Hedge fund performance: sources and measures. Zbl 1180.91313
Eberlein, Ernst; Madan, Dilip B.
5
2009
Capital requirements, acceptable risks and profits. Zbl 1181.91101
Madan, Dilip B.
5
2009
A tale of two volatilities. Zbl 1188.91228
Madan, Dilip B.
2
2009
Put option prices as joint distribution functions in strike and maturity: the Black-Scholes case. Zbl 1183.91179
Madan, Dilip B.; Roynette, Bernard; Yor, Marc
2
2009
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon. Zbl 1163.91414
Madan, Dilip B.; Roynette, Bernard; Yor, Marc
8
2008
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
53
2007
Correlation and the pricing of risks. Zbl 1233.91320
Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
3
2007
Probing option prices for information. Zbl 1157.60067
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2
2007
Ito’s integrated formula for strict local martingales. Zbl 1133.60025
Madan, Dilip B.; Yor, Marc
17
2006
A theory of volatility spreads. Zbl 1232.91715
Bakshi, Gurdip; Madan, Dilip
11
2006
Equilibrium asset pricing: with non-Gaussian factors and exponential utilities. Zbl 1134.91448
Madan, Dilip B.
8
2006
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
43
2005
From local volatility to local Lévy models. Zbl 1405.91600
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
7
2004
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
218
2003
Making Markov martingales meet marginals: With explicit constructions. Zbl 1009.60037
Madan, Dilip B.; Yor, Marc
43
2002
Option pricing using variance gamma Markov chains. Zbl 1064.91044
Konikov, Mikhail; Madan, Dilip B.
32
2002
Stochastic volatility, jumps and hidden time changes. Zbl 1006.60026
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
12
2002
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
54
2001
Towards a theory of volatility trading. Zbl 0990.91037
Carr, Peter; Madan, Dilip
22
2001
Optimal investment in derivative securities. Zbl 0977.60056
Carr, Peter; Jin, Xing; Madan, Dilip B.
17
2001
Purely discontinuous asset price processes. Zbl 1005.91047
Madan, Dilip B.
11
2001
Asset prices are Brownian motion: Only in business time. Zbl 1134.91019
Geman, Helyette; Madan, Dilip B.; Yor, Marc
9
2001
The second fundamental theorem of asset pricing. Zbl 0991.91035
Jarrow, Robert A.; Jin, Xing; Madan, Dilip B.
11
1999
Hedging contingent claims on semimartingales. Zbl 0926.60035
Jarrow, Robert; Madan, Dilip B.
7
1999
The variance gamma process and option pricing. Zbl 0937.91052
Madan, Dilip B.; Carr, Peter P.; Chang, Eric C.
406
1998
Pricing the risks of default. Zbl 1274.91426
Madan, Dilip B.; Unal, Haluk
59
1998
A discrete time equivalent martingale measure. Zbl 0910.60033
Elliott, Robert J.; Madan, Dilip B.
17
1998
Is mean-variance analysis vacuous: or was beta still born? Zbl 1029.91515
Jarrow, Robert A.; Madan, Dilip B.
4
1997
Filtering derivative security valuations from market prices. Zbl 0914.90018
Elliott, Robert J.; Lahaie, Charles H.; Madan, Dilip B.
2
1997
Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns. Zbl 0866.90018
Jarrow, Robert; Madan, Dilip
22
1995
Contingent claims valid and hedged by pricing and investing in a basis. Zbl 0884.90042
Madan, Dilip B.; Milne, Frank
24
1994
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
Option pricing with V. G. martingale components. Zbl 0900.90105
Madan, Dilip B.; Milne, Frank
103
1991
A characterization of complete security markets on a Brownian filtration. Zbl 0900.90048
Jarrow, Robert A.; Madan, Dilip B.
6
1991
Risk measurement in semimartingale models with multiple consumption goods. Zbl 0639.90015
Madan, Dilip B.
1
1988
Simulation of estimates using the empirical characteristic function. Zbl 0616.62033
Madan, D. B.; Seneta, E.
13
1987
Utility correlations in probabilistic choice modelling. Zbl 1328.91085
Madan, Dilip B.
1
1986
Measures of risk aversion with many commodities. Zbl 1273.91240
Madan, Dilip B.
1
1983
Testing for random pairing. Zbl 0554.62045
de Jong, Piet; Greig, Malcolm; Madan, Dilip
1
1983
Monotone and 1-1 sets. Zbl 0513.03018
Madan, D. B.; Robinson, R. W.
1
1982
all top 5

Cited by 1,378 Authors

64 Madan, Dilip B.
32 Schoutens, Wim
17 Yor, Marc
16 Carr, Peter P.
16 Levendorskiĭ, Sergeĭ Zakharovich
14 Eberlein, Ernst W.
14 Pistorius, Martijn R.
13 Figueroa-López, José E.
10 Ivanov, Roman V.
10 Kallsen, Jan
10 Siu, Tak Kuen
9 Elliott, Robert James
9 Linetsky, Vadim
8 Guillaume, Florence
8 Hughston, Lane P.
8 Leonenko, Nikolai N.
8 Mendoza-Arriaga, Rafael
8 Todorov, Viktor
8 Touzi, Nizar
8 Yamazaki, Akira
7 Kawai, Reiichiro
7 Li, Lingfei
7 Meerschaert, Mark Marvin
7 Mijatović, Aleksandar
7 Protter, Philip Elliott
6 Brody, Dorje C.
6 Nicolato, Elisa
6 Oosterlee, Cornelis Willebrordus
6 Seneta, Eugene
6 Tankov, Peter
5 Aït-Sahalia, Yacine
5 Company, Rafael
5 Geman, Hélyette
5 He, Xinjiang
5 Henry-Labordère, Pierre
5 Jacquier, Antoine
5 Jódar Sanchez, Lucas Antonio
5 Kudryavtsev, Oleg
5 Küchler, Uwe
5 Li, Shenghong
5 Linders, Daniël
5 Muhle-Karbe, Johannes
5 Platen, Eckhard
5 Rüschendorf, Ludger
5 Sgarra, Carlo
5 Tappe, Stefan
5 Tauchen, George E.
4 Albanese, Claudio
4 Badescu, Alexandru M.
4 Ballotta, Laura
4 Barndorff-Nielsen, Ole Eiler
4 Bielecki, Tomasz R.
4 Boyarchenko, Svetlana I.
4 Buckley, Winston S.
4 Cialenco, Igor
4 Cui, Zhenyu
4 Das, Sanjiv Ranjan
4 Drimus, Gabriel G.
4 Forde, Martin
4 Gerhold, Stefan
4 Guasoni, Paolo
4 Kim, Jeong-Hoon
4 Korolev, Viktor Yur’evich
4 Kozubowski, Tomasz J.
4 Kyriakou, Ioannis
4 Lorig, Matthew J.
4 Macrina, Andrea
4 Mancini, Cecilia
4 Mercuri, Lorenzo
4 Obloj, Jan K.
4 Pelsser, Antoon A. J.
4 Rroji, Edit
4 Scherer, Matthias
4 Schwab, Christoph
4 Semeraro, Patrizia
4 Tassinari, Gian Luca
4 Tehranchi, Michael R.
4 Vanduffel, Steven
4 Wang, Anjiao
4 Zhang, Jin E.
3 Agliardi, Rossella
3 Ahlip, Rehez
3 Albrecher, Hansjörg
3 Andersen, Torben G.
3 Anh, Vo V.
3 Ano, Katsunori
3 Ballestra, Luca Vincenzo
3 Beiglböck, Mathias
3 Benth, Fred Espen
3 Bingham, Nicholas Hugh
3 Bogso, Antoine-Marie
3 Boyarchenko, Mitya
3 Buchmann, Boris
3 Campi, Luciano
3 Černý, Aleš
3 Chan, Ron Tat Lung
3 Chen, Wenting
3 Chiarella, Carl
3 Cont, Rama
3 Crosby, John
...and 1,278 more Authors
all top 5

Cited in 178 Serials

126 Quantitative Finance
83 International Journal of Theoretical and Applied Finance
45 Finance and Stochastics
43 Mathematical Finance
41 Applied Mathematical Finance
36 Stochastic Processes and their Applications
34 Review of Derivatives Research
32 Journal of Econometrics
28 Insurance Mathematics & Economics
24 Journal of Computational and Applied Mathematics
23 Statistics & Probability Letters
22 The Annals of Applied Probability
21 Journal of Economic Dynamics & Control
21 European Journal of Operational Research
21 Annals of Finance
16 Asia-Pacific Financial Markets
14 Methodology and Computing in Applied Probability
13 Mathematics and Financial Economics
12 SIAM Journal on Financial Mathematics
10 Advances in Applied Probability
9 Journal of Applied Probability
9 Stochastics
8 Physica A
8 Applied Mathematics and Computation
8 Bernoulli
8 Abstract and Applied Analysis
8 Discrete Dynamics in Nature and Society
8 Scandinavian Actuarial Journal
7 Journal of Mathematical Economics
7 Stochastic Analysis and Applications
7 Applied Mathematics. Series B (English Edition)
7 Probability, Uncertainty and Quantitative Risk
6 Computers & Mathematics with Applications
6 Journal of Mathematical Analysis and Applications
6 Journal of Multivariate Analysis
6 Computational Statistics and Data Analysis
6 Decisions in Economics and Finance
5 The Annals of Statistics
5 Journal of Statistical Planning and Inference
5 Journal of Scientific Computing
5 Journal of Applied Mathematics and Stochastic Analysis
5 Annals of Operations Research
5 Communications in Statistics. Theory and Methods
5 Journal of Applied Mathematics
4 Lithuanian Mathematical Journal
4 Numerische Mathematik
4 Operations Research
4 Probability Theory and Related Fields
4 Journal of Theoretical Probability
4 Mathematical and Computer Modelling
4 Japan Journal of Industrial and Applied Mathematics
4 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
4 Journal of the Korean Statistical Society
4 International Journal of Stochastic Analysis
3 Scandinavian Journal of Statistics
3 Journal of Economic Theory
3 Mathematics of Operations Research
3 Proceedings of the American Mathematical Society
3 Applied Mathematics Letters
3 Journal of Statistical Computation and Simulation
3 SIAM Journal on Scientific Computing
3 Journal of Mathematical Sciences (New York)
3 Econometric Theory
3 Applied Stochastic Models in Business and Industry
3 Stochastic Models
3 ASTIN Bulletin
3 North American Actuarial Journal
3 European Actuarial Journal
3 East Asian Journal on Applied Mathematics
2 The Canadian Journal of Statistics
2 Journal of Mathematical Physics
2 Chaos, Solitons and Fractals
2 The Annals of Probability
2 International Statistical Review
2 Kybernetika
2 Publications of the Research Institute for Mathematical Sciences, Kyoto University
2 Transactions of the American Mathematical Society
2 Applied Numerical Mathematics
2 Statistics
2 Optimization
2 Economics Letters
2 Automation and Remote Control
2 Communications in Statistics. Simulation and Computation
2 Expositiones Mathematicae
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Potential Analysis
2 Monte Carlo Methods and Applications
2 Mathematical Methods of Operations Research
2 Fractional Calculus & Applied Analysis
2 The Econometrics Journal
2 Extremes
2 Communications in Nonlinear Science and Numerical Simulation
2 Probability in the Engineering and Informational Sciences
2 Stochastics and Dynamics
2 Statistical Methods and Applications
2 Advances in Difference Equations
2 Journal of Industrial and Management Optimization
2 The European Physical Journal B. Condensed Matter and Complex Systems
2 Electronic Journal of Statistics
2 Probability Surveys
...and 78 more Serials

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