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Heath, David C. (b. 1943 d. 2011)

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 · IdRef

Publications by Year

Citations contained in zbMATH Open

47 Publications have been cited 3,232 times in 2,958 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
527
1992
Coherent multiperiod risk adjusted values and Bellman’s principle. Zbl 1132.91484
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David; Ku, Hyejin
177
2007
A benchmark approach to quantitative finance. Zbl 1104.91041
Platen, Eckhard; Heath, David
84
2006
Martingales versus PDEs in finance: an equivalence result with examples. Zbl 0996.91069
Heath, David; Schweizer, Martin
51
2000
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
49
2001
Heavy tails and long range dependence in on/off processes and associated fluid models. Zbl 0981.60092
Heath, David; Resnick, Sidney; Samorodnitsky, Gennady
44
1998
Pareto equilibria with coherent measures of risk. Zbl 1090.91033
Heath, David; Ku, Hyejin
41
2004
Allocation of shared costs: A set of axioms yielding a unique procedure. Zbl 0509.90009
Billera, Louis J.; Heath, David C.
41
1982
On finitely additive priors, coherence, and extended admissibility. Zbl 0385.62005
Heath, David; Sudderth, William
39
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
Risk management: Value at risk and beyond. Zbl 1035.91036
31
2002
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
19
1997
On a theorem of de Finetti, oddsmaking, and game theory. Zbl 0256.90068
Heath, David C.; Sudderth, William D.
19
1972
Minimizing or maximizing the expected time to reach zero. Zbl 0613.93067
Heath, D.; Orey, S.; Pestien, V.; Sudderth, W.
18
1987
Almost sure convergence of uniform transport processes to Brownian motion. Zbl 0216.21405
Griego, R. J.; Heath, D.; Ruiz-Moncayo, A.
15
1971
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
14
1989
De Finetti’s theorem on exchangeable variables. Zbl 0352.60002
Heath, David; Sudderth, William
13
1976
Bandit problems with infinitely many arms. Zbl 0881.62083
Berry, Donald A.; Chen, Robert W.; Zame, Alan; Heath, David C.; Shepp, Larry A.
9
1997
Subfair red-and-black with a limit. Zbl 0262.90091
Heath, David C.; Pruitt, William E.; Sudderth, William D.
9
1972
Numerical comparison of local risk-minimisation and mean-variance hedging. Zbl 1004.91031
Heath, David; Platen, Eckhard; Schweizer, Martin
8
2001
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
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.
6
2000
Linear subdivision is strictly a polynomial phenomenon. Zbl 0587.68091
Goldman, R. N.; Heath, D. C.
5
1984
Discrete and continuous ratchets: From coin toss to molecular motor. Zbl 1009.35037
Heath, David; Kinderlehrer, David; Kowalczyk, Michał
5
2002
With respect to tail sigma fields, standard measures possess measurable disintegrations. Zbl 0522.28006
Dubins, Lester E.; Heath, David
5
1983
A variance reduction technique based on integral representations. Zbl 1405.91696
Heath, David; Platen, Eckhard
4
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
Red-and-black with unknown win probability. Zbl 0285.90085
Berry, Donald A.; Heath, David C.; Sudderth, William D.
4
1974
Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019
Heath, David; Platen, Eckhard
4
2004
Interpolation of martingales. Zbl 0375.60063
Heath, David
4
1977
Skorokhod stopping via potential theory. Zbl 0302.60050
Heath, David
3
1974
Local volatility function models under a benchmark approach. Zbl 1136.91439
Heath, David; Platen, Eckhard
3
2006
Consistent pricing and hedging for a modified constant elasticity of variance model. Zbl 1405.91556
Heath, David; Platen, Eckhard
2
2002
Continuous-time gambling problems. Zbl 0296.60052
Heath, David C.; Sudderth, William D.
2
1974
Introduction to mathematical finance. AMS, American Mathematical Society, short course, San Diego, CA, USA, January 6–7, 1997. Zbl 0937.00058
1
2000
Modelling the stochastic dynamics of volatility for equity indices. Zbl 1054.91037
Heath, David; Hurst, Simon; Platen, Eckhard
1
2001
On means with countably additive continuities. Zbl 0545.28006
Dubins, Lester E.; Heath, David
1
1984
Risk management: value at risk and beyond. Reprint of the 2002 hardback ed. Zbl 1213.91087
1
2011
On the adequacy of pseudy-random number generators (or: How big a period do we need?). Zbl 0606.65002
Heath, David
1
1986
Skorokhod stopping in discrete time. Zbl 0338.60025
Heath, David
1
1975
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
Risk management: value at risk and beyond. Reprint of the 2002 hardback ed. Zbl 1213.91087
1
2011
Coherent multiperiod risk adjusted values and Bellman’s principle. Zbl 1132.91484
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David; Ku, Hyejin
177
2007
A benchmark approach to quantitative finance. Zbl 1104.91041
Platen, Eckhard; Heath, David
84
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
41
2004
Understanding the implied volatility surface for options on a diversified index. Zbl 1075.91019
Heath, David; Platen, Eckhard
4
2004
Risk management: Value at risk and beyond. Zbl 1035.91036
31
2002
Perfect hedging of index derivatives under a minimal market model. Zbl 1107.91338
Heath, David; Platen, Eckhard
6
2002
Discrete and continuous ratchets: From coin toss to molecular motor. Zbl 1009.35037
Heath, David; Kinderlehrer, David; Kowalczyk, Michał
5
2002
A variance reduction technique based on integral representations. Zbl 1405.91696
Heath, David; Platen, Eckhard
4
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
Consistent pricing and hedging for a modified constant elasticity of variance model. Zbl 1405.91556
Heath, David; Platen, Eckhard
2
2002
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
49
2001
Numerical comparison of local risk-minimisation and mean-variance hedging. Zbl 1004.91031
Heath, David; Platen, Eckhard; Schweizer, Martin
8
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
51
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.
6
2000
Introduction to mathematical finance. AMS, American Mathematical Society, short course, San Diego, CA, USA, January 6–7, 1997. Zbl 0937.00058
1
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
44
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
19
1997
Bandit problems with infinitely many arms. Zbl 0881.62083
Berry, Donald A.; Chen, Robert W.; Zame, Alan; Heath, David C.; Shepp, Larry A.
9
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
527
1992
Coherent inference from improper priors and from finitely additive priors. Zbl 0687.62003
Heath, David; Sudderth, William
14
1989
Minimizing or maximizing the expected time to reach zero. Zbl 0613.93067
Heath, D.; Orey, S.; Pestien, V.; Sudderth, W.
18
1987
On the adequacy of pseudy-random number generators (or: How big a period do we need?). Zbl 0606.65002
Heath, David
1
1986
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
5
1983
Allocation of shared costs: A set of axioms yielding a unique procedure. Zbl 0509.90009
Billera, Louis J.; Heath, David C.
41
1982
On finitely additive priors, coherence, and extended admissibility. Zbl 0385.62005
Heath, David; Sudderth, William
39
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
13
1976
Skorokhod stopping in discrete time. Zbl 0338.60025
Heath, David
1
1975
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.
19
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.
15
1971
all top 5

Cited by 3,821 Authors

37 Madan, Dilip B.
32 Wang, Ruodu
31 Platen, Eckhard
30 Siu, Tak Kuen
24 Ruszczyński, Andrzej
23 Elliott, Robert James
23 Shapiro, Alexander
20 Hu, Yijun
19 Balbás, Alejandro
16 Benth, Fred Espen
16 Filipović, Damir
16 Pichler, Alois
16 Rudloff, Birgit
15 Boonen, Tim J.
15 Kupper, Michael
14 Balbás, Raquel
14 Chen, Zhiping
14 Mao, Tiantian
13 Fabozzi, Frank J.
13 Munari, Cosimo
13 Pflug, Georg Ch.
13 Rosazza Gianin, Emanuela
13 Schoutens, Wim
13 Tan, Ken Seng
12 Balbás, Beatriz
12 Jarrow, Robert Alan
12 Kouri, Drew P.
12 Peng, Shige
12 Tsanakas, Andreas
11 Biagini, Francesca
11 Chen, Yanhong
11 Chiarella, Carl
11 Delbaen, Freddy
11 Eberlein, Ernst W.
11 Embrechts, Paul
11 Heath, David C.
11 Li, Duan
11 Rigo, Pietro
11 Stupfler, Gilles
10 Berti, Patrizia
10 Cialenco, Igor
10 Cui, Xiangyu
10 Dentcheva, Darinka
10 Hu, Taizhong
10 Landsman, Zinoviy M.
10 Schmidt, Thorsten
10 Svindland, Gregor
10 Xu, Huifu
9 Bielecki, Tomasz R.
9 Feinstein, Zachary
9 Gotoh, Jun-ya
9 Resnick, Sidney Ira
9 Runggaldier, Wolfgang J.
9 Takahashi, Akihiko
9 Weber, Stefan
9 Zenios, Stavros Andrea
8 Assa, Hirbod
8 Chi, Yichun
8 Cossette, Hélène
8 Frittelli, Marco
8 Furman, Edward
8 Girard, Stéphane
8 Grechuk, Bogdan
8 Kirilyuk, Vitaly S.
8 Koch Medina, Pablo
8 Krokhmal, Pavlo A.
8 Marceau, Étienne
8 Marinacci, Massimo
8 Ogryczak, Włodzimierz
8 Rachev, Svetlozar T.
8 Rüschendorf, Ludger
8 Sun, Jie
8 Tappe, Stefan
8 Uryasev, Stan
8 Yang, Hailiang
8 Zabarankin, Michael
7 Acciaio, Beatrice
7 Drapeau, Samuel
7 El Karoui, Nicole
7 Fontana, Claudio
7 Haberman, Steven
7 Kim, Joseph Hyun Tae
7 Kountzakis, Christos E.
7 Liu, Haiyan
7 Maccheroni, Fabio
7 Mailhot, Mélina
7 Noyan, Nilay
7 Overbeck, Ludger
7 Pelsser, Antoon A. J.
7 Pistorius, Martijn R.
7 Protter, Philip Elliott
7 Samorodnitsky, Gennady Pinkhosovich
7 Schlögl, Erik
7 Schumacher, Johannes M.
7 Sordo, Miguel Ángel
7 Stadje, Mitja
7 Surowiec, Thomas
7 Takeda, Akiko
7 Uǧurlu, Kerem
7 Vanduffel, Steven
...and 3,721 more Authors
all top 5

Cited in 342 Serials

214 Insurance Mathematics & Economics
188 European Journal of Operational Research
157 Quantitative Finance
123 International Journal of Theoretical and Applied Finance
100 Mathematical Finance
94 Annals of Operations Research
70 Finance and Stochastics
56 Applied Mathematical Finance
48 The Annals of Applied Probability
46 ASTIN Bulletin
45 North American Actuarial Journal
44 Scandinavian Actuarial Journal
44 Mathematics and Financial Economics
40 Stochastic Processes and their Applications
40 Mathematical Programming. Series A. Series B
37 Operations Research Letters
33 Journal of Economic Dynamics & Control
30 Mathematical Methods of Operations Research
27 Statistics & Probability Letters
27 Asia-Pacific Financial Markets
27 Review of Derivatives Research
27 SIAM Journal on Financial Mathematics
26 Communications in Statistics. Theory and Methods
25 Journal of Mathematical Analysis and Applications
25 Computational Management Science
24 Annals of Finance
23 Journal of Applied Probability
23 Journal of Computational and Applied Mathematics
23 Journal of Mathematical Economics
22 Journal of Optimization Theory and Applications
21 Operations Research
21 Methodology and Computing in Applied Probability
20 Mathematics of Operations Research
20 Computers & Operations Research
20 European Actuarial Journal
19 Stochastic Analysis and Applications
19 International Journal of Approximate Reasoning
18 Journal of Econometrics
18 Optimization
18 Stochastics
18 Statistics & Risk Modeling
17 SIAM Journal on Optimization
17 Economic Theory
17 Decisions in Economics and Finance
16 Advances in Applied Probability
16 INFORMS Journal on Computing
15 Mathematical Problems in Engineering
14 Applied Mathematics and Computation
14 Computational Optimization and Applications
14 International Transactions in Operational Research
14 Journal of Industrial and Management Optimization
13 Physica A
13 The Annals of Statistics
13 Applied Mathematics and Optimization
13 Journal of Economic Theory
13 OR Spectrum
13 Probability, Uncertainty and Quantitative Risk
12 Journal of Multivariate Analysis
12 Computational Statistics and Data Analysis
12 Cybernetics and Systems Analysis
11 Mathematical Social Sciences
11 Journal of Global Optimization
11 Games and Economic Behavior
11 Bernoulli
10 CEJOR. Central European Journal of Operations Research
10 Stochastic Models
9 Dependence Modeling
8 Journal of Statistical Planning and Inference
8 Theory and Decision
8 Economics Letters
7 International Journal of Game Theory
7 Journal of the American Statistical Association
7 SIAM Journal on Control and Optimization
7 Communications in Statistics. Simulation and Computation
7 Extremes
7 Statistical Methods and Applications
6 Automatica
6 Mathematics and Computers in Simulation
6 Probability Theory and Related Fields
6 Neural Computation
6 Computational Economics
6 Applied Mathematics. Series B (English Edition)
6 Econometric Theory
6 Optimization and Engineering
6 Electronic Journal of Statistics
6 Science China. Mathematics
6 Journal of the Operations Research Society of China
6 Frontiers of Mathematical Finance
5 Artificial Intelligence
5 Metrika
5 Fuzzy Sets and Systems
5 Transactions of the American Mathematical Society
5 Acta Mathematicae Applicatae Sinica. English Series
5 Journal of Theoretical Probability
5 Queueing Systems
5 Computational Statistics
5 International Journal of Computer Mathematics
5 Statistical Papers
5 Top
5 Journal of Convex Analysis
...and 242 more Serials
all top 5

Cited in 44 Fields

2,276 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
800 Probability theory and stochastic processes (60-XX)
619 Operations research, mathematical programming (90-XX)
611 Statistics (62-XX)
135 Systems theory; control (93-XX)
109 Numerical analysis (65-XX)
76 Calculus of variations and optimal control; optimization (49-XX)
60 Computer science (68-XX)
57 Functional analysis (46-XX)
50 Partial differential equations (35-XX)
32 Measure and integration (28-XX)
18 Real functions (26-XX)
13 Potential theory (31-XX)
13 Ordinary differential equations (34-XX)
12 Dynamical systems and ergodic theory (37-XX)
12 Operator theory (47-XX)
12 Statistical mechanics, structure of matter (82-XX)
11 Mathematical logic and foundations (03-XX)
8 Biology and other natural sciences (92-XX)
7 Convex and discrete geometry (52-XX)
6 Approximations and expansions (41-XX)
6 Information and communication theory, circuits (94-XX)
5 General and overarching topics; collections (00-XX)
5 Combinatorics (05-XX)
5 Integral equations (45-XX)
4 Difference and functional equations (39-XX)
4 Global analysis, analysis on manifolds (58-XX)
4 Quantum theory (81-XX)
4 Geophysics (86-XX)
3 History and biography (01-XX)
3 Order, lattices, ordered algebraic structures (06-XX)
3 Functions of a complex variable (30-XX)
3 Harmonic analysis on Euclidean spaces (42-XX)
3 Abstract harmonic analysis (43-XX)
2 Integral transforms, operational calculus (44-XX)
2 Differential geometry (53-XX)
2 Mechanics of particles and systems (70-XX)
2 Fluid mechanics (76-XX)
1 Number theory (11-XX)
1 Commutative algebra (13-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Mechanics of deformable solids (74-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Mathematics education (97-XX)

Citations by Year

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