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Author ID: heston.steven-l Recent zbMATH articles by "Heston, Steven L."
Published as: Heston, Steven L.; Heston, Steve; Heston, Steven
Homepage: http://scholar.rhsmith.umd.edu/sheston/home
External Links: Wikidata · dblp · GND · IdRef
Documents Indexed: 6 Publications since 1993
Co-Authors: 3 Co-Authors with 3 Joint Publications
25 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

6 Publications have been cited 1,897 times in 1,789 Documents Cited by Year
A closed-form solution for options with stochastic volatility with applications to bond and currency options. Zbl 1384.35131
Heston, Steven L.
1993
The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well. Zbl 1232.91718
Christoffersen, Peter; Heston, Steven; Jacobs, Kris
107
2009
On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041
Heston, Steve; Zhou, Guofu
63
2000
A closed-form solution for options with stochastic volatility with applications to bond and currency options. Zbl 1126.91368
Heston, Steven L.
29
2005
Option valuation with conditional skewness. Zbl 1337.62321
Christoffersen, Peter; Heston, Steve; Jacobs, Kris
27
2006
A model of discontinuous interest rate behavior, yield curves, and volatility. Zbl 1151.91668
Heston, Steven L.
1
2007
The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well. Zbl 1232.91718
Christoffersen, Peter; Heston, Steven; Jacobs, Kris
107
2009
A model of discontinuous interest rate behavior, yield curves, and volatility. Zbl 1151.91668
Heston, Steven L.
1
2007
Option valuation with conditional skewness. Zbl 1337.62321
Christoffersen, Peter; Heston, Steve; Jacobs, Kris
27
2006
A closed-form solution for options with stochastic volatility with applications to bond and currency options. Zbl 1126.91368
Heston, Steven L.
29
2005
On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041
Heston, Steve; Zhou, Guofu
63
2000
A closed-form solution for options with stochastic volatility with applications to bond and currency options. Zbl 1384.35131
Heston, Steven L.
1993
all top 5

Cited by 2,471 Authors

30 Zhu, Songping
22 Oosterlee, Cornelis Willebrordus
20 Kim, Jeong-Hoon
17 Cui, Zhenyu
17 He, Xinjiang
16 Wong, Hoi Ying
15 Escobar, Marcos
15 Jacquier, Antoine
15 Madan, Dilip B.
13 Grasselli, Martino
12 Mishura, Yuliya Stepanivna
11 Grzelak, Lech A.
11 Lorig, Matthew J.
10 Pascucci, Andrea
9 Chen, Wenting
9 Elliott, Robert James
9 Feehan, Paul M. N.
9 Li, Shenghong
9 Lian, Guanghua
9 Mehrdoust, Farshid
9 Recchioni, Maria Cristina
9 Zagst, Rudi
8 Carr, Peter Paul
8 Da Fonseca, José
8 Fouque, Jean-Pierre
8 Gulisashvili, Archil
8 in ’t Hout, Karel J.
8 Marazzina, Daniele
8 Pagliarani, Stefano
8 Siu, Tak Kuen
8 Zhang, Jin E.
8 Ziveyi, Jonathan
7 Ahlip, Rehez
7 Aït-Sahalia, Yacine
7 Bormetti, Giacomo
7 Company, Rafael
7 Ewald, Christian-Oliver
7 Huang, Nan-Jing
7 Jódar Sanchez, Lucas Antonio
7 Kallsen, Jan
7 Keller-Ressel, Martin
7 Korn, Ralf
7 Lee, Min-Ku
7 Levendorskiĭ, Sergeĭ Zakharovich
7 Lin, Sha
7 Pospíšil, Jan
7 Renault, Eric
7 Rosenbaum, Mathieu
7 Sanfelici, Simona
7 Sgarra, Carlo
6 Alfonsi, Aurélien
6 Ballestra, Luca Vincenzo
6 Barczy, Mátyás
6 Cao, Jiling
6 Chiarella, Carl
6 Dang, Duy Minh
6 Düring, Bertram
6 Filipović, Damir
6 Forsyth, Peter A.
6 Friz, Peter Karl
6 Funahashi, Hideharu
6 Kraft, Holger
6 Li, Jiangcheng
6 Liu, Shican
6 Lu, Xiaoping
6 Mariani, Maria Cristina
6 Pagès, Gilles
6 Pap, Gyula
6 Pop, Camelia Alexandra
6 Schoutens, Wim
6 Sircar, Ronnie
6 Tangman, Désiré Yannick
6 Vetzal, Kenneth R.
6 Wang, Xingchun
6 Yor, Marc
6 Zanette, Antonino
6 Zhang, Sumei
6 Zhao, Hui
5 Alòs, Elisa
5 Badescu, Alexandru M.
5 Chiu, Mei Choi
5 Coleman, Thomas F.
5 Deng, Guohe
5 Drimus, Gabriel G.
5 Fakharany, M.
5 Gatheral, Jim
5 Geman, Hélyette
5 Glau, Kathrin
5 Goard, Joanna M.
5 Goudenège, Ludovic
5 Guo, Meihui
5 Jerbi, Yacin
5 Kang, Boda
5 Kim, Kyoung-Kuk
5 Kouritzin, Michael A.
5 Leach, Peter Gavin Lawrence
5 Li, Chenxu
5 Li, Danping
5 Li, Shuang
5 Lyuu, Yuh-Dauh
...and 2,371 more Authors
all top 5

Cited in 239 Serials

200 Quantitative Finance
120 International Journal of Theoretical and Applied Finance
79 Journal of Econometrics
59 Journal of Computational and Applied Mathematics
56 Review of Derivatives Research
55 Applied Mathematical Finance
45 Physica A
44 European Journal of Operational Research
44 Mathematical Finance
40 Insurance Mathematics & Economics
37 Journal of Economic Dynamics & Control
36 Applied Mathematics and Computation
36 Finance and Stochastics
36 SIAM Journal on Financial Mathematics
31 International Journal of Computer Mathematics
26 Stochastic Processes and their Applications
25 Computers & Mathematics with Applications
25 Decisions in Economics and Finance
21 Annals of Finance
19 The Annals of Applied Probability
18 Chaos, Solitons and Fractals
17 Statistics & Probability Letters
17 Communications in Statistics. Theory and Methods
17 Asia-Pacific Financial Markets
16 Annals of Operations Research
15 Journal of Mathematical Analysis and Applications
14 Mathematics and Computers in Simulation
14 Methodology and Computing in Applied Probability
13 Computational Statistics and Data Analysis
12 Computational Management Science
11 Journal of Applied Probability
11 Stochastic Analysis and Applications
11 Applied Numerical Mathematics
11 Mathematical Problems in Engineering
11 Mathematics and Financial Economics
10 The ANZIAM Journal
10 Journal of Industrial and Management Optimization
10 Stochastics
9 Advances in Applied Probability
9 Applied Mathematics Letters
8 Journal of Statistical Computation and Simulation
8 Computational and Applied Mathematics
8 Monte Carlo Methods and Applications
8 Communications in Nonlinear Science and Numerical Simulation
8 Econometric Theory
8 North American Actuarial Journal
7 Economics Letters
7 Discrete Dynamics in Nature and Society
7 Journal of Statistical Mechanics: Theory and Experiment
6 SIAM Journal on Scientific Computing
6 Abstract and Applied Analysis
6 Soft Computing
6 The Econometrics Journal
5 Journal of Statistical Physics
5 Automatica
5 Journal of Differential Equations
5 Journal of Optimization Theory and Applications
5 SIAM Journal on Numerical Analysis
5 Econometric Reviews
5 Japan Journal of Industrial and Applied Mathematics
5 Theory of Probability and Mathematical Statistics
5 Bernoulli
5 Applied Stochastic Models in Business and Industry
5 Scandinavian Actuarial Journal
5 Journal of Applied Mathematics
5 ASTIN Bulletin
5 Modern Stochastics. Theory and Applications
4 Scandinavian Journal of Statistics
4 Applied Mathematics and Optimization
4 Calcolo
4 Journal of Statistical Planning and Inference
4 Transactions of the American Mathematical Society
4 Operations Research Letters
4 Optimization
4 Mathematical and Computer Modelling
4 Journal of Scientific Computing
4 Automation and Remote Control
4 Computational Optimization and Applications
4 Applied Mathematics. Series B (English Edition)
4 Mathematical Methods of Operations Research
4 Journal of Systems Science and Complexity
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 The European Physical Journal B. Condensed Matter and Complex Systems
4 International Journal of Stochastic Analysis
4 Journal of Probability and Statistics
3 Journal of Mathematical Physics
3 Theory of Probability and its Applications
3 Journal of Economic Theory
3 Mathematics of Operations Research
3 Acta Mathematicae Applicatae Sinica. English Series
3 Communications in Statistics. Simulation and Computation
3 Journal of Mathematical Sciences (New York)
3 Complexity
3 Studies in Nonlinear Dynamics and Econometrics
3 Probability in the Engineering and Informational Sciences
3 Nonlinear Analysis. Real World Applications
3 Discrete and Continuous Dynamical Systems. Series B
3 Stochastic Models
3 AStA. Advances in Statistical Analysis
3 Discrete and Continuous Dynamical Systems. Series S
...and 139 more Serials
all top 5

Cited in 38 Fields

1,539 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
728 Probability theory and stochastic processes (60-XX)
367 Statistics (62-XX)
321 Numerical analysis (65-XX)
145 Partial differential equations (35-XX)
88 Systems theory; control (93-XX)
57 Operations research, mathematical programming (90-XX)
37 Statistical mechanics, structure of matter (82-XX)
25 Approximations and expansions (41-XX)
25 Calculus of variations and optimal control; optimization (49-XX)
18 Integral equations (45-XX)
16 Ordinary differential equations (34-XX)
15 Computer science (68-XX)
14 Harmonic analysis on Euclidean spaces (42-XX)
11 Integral transforms, operational calculus (44-XX)
9 Dynamical systems and ergodic theory (37-XX)
7 Real functions (26-XX)
7 Operator theory (47-XX)
4 Mechanics of deformable solids (74-XX)
3 Special functions (33-XX)
3 Functional analysis (46-XX)
3 Quantum theory (81-XX)
3 Biology and other natural sciences (92-XX)
3 Information and communication theory, circuits (94-XX)
2 Mathematical logic and foundations (03-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Functions of a complex variable (30-XX)
2 Difference and functional equations (39-XX)
2 Differential geometry (53-XX)
1 General and overarching topics; collections (00-XX)
1 History and biography (01-XX)
1 Combinatorics (05-XX)
1 Number theory (11-XX)
1 Measure and integration (28-XX)
1 Abstract harmonic analysis (43-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Fluid mechanics (76-XX)
1 Relativity and gravitational theory (83-XX)

Citations by Year

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