Compute Distance To:
 Documents Indexed: 126 Publications since 1982, including 2 Books 2 Contributions as Editor Biographic References: 1 Publication Co-Authors: 40 Co-Authors with 100 Joint Publications 973 Co-Co-Authors
all top 5

### Co-Authors

 27 single-authored 21 Schoutens, Wim 20 Yor, Marc 13 Carr, Peter Paul 12 Wang, King-Hang 11 Geman, Hélyette 10 Eberlein, Ernst W. 9 Elliott, Robert James 8 Pistorius, Martijn R. 5 Jarrow, Robert Alan 3 Buchmann, Boris 3 Lu, Kevin W. 3 Milne, Frank 3 Seneta, Eugene 3 Siu, Tak Kuen 2 Bakshi, Gurdip 2 Jin, Xing 2 Reyners, Sofie 2 Roynette, Bernard 2 Unal, Haluk 2 Yang, Hailiang 1 Atlan, Marc 1 Chang, Eric Chung-Hui 1 Chesney, Marc 1 Cohen, Samuel N. 1 de Jong, Piet 1 De Spiegeleer, Jan 1 Greig, Malcolm 1 Heidari, Massoud 1 Hirsa, Ali 1 Khanna, Ajay 1 Konikov, Mikhail 1 Lahaie, Charles H. 1 Melamed, Michael 1 Panayotov, George 1 Pliska, Stanley R. 1 Robinson, Robert W. 1 Sharaiha, Yazid M. 1 Stadje, Mitja 1 Vorst, Ton C. F. 1 Xiao, Yue
all top 5

### Serials

 20 Quantitative Finance 13 Mathematical Finance 13 International Journal of Theoretical and Applied Finance 11 Annals of Finance 6 Applied Mathematical Finance 5 Mathematics and Financial Economics 5 Probability, Uncertainty and Quantitative Risk 4 Finance and Stochastics 4 Methodology and Computing in Applied Probability 3 Review of Derivatives Research 3 Frontiers of Mathematical Finance 2 Insurance Mathematics & Economics 2 Economics Letters 2 Stochastic Processes and their Applications 2 Bernoulli 2 European Finance Review 2 Asia-Pacific Financial Markets 2 SIAM Journal on Financial Mathematics 1 International Statistical Review 1 Journal of the American Statistical Association 1 Journal of Economic Theory 1 Management Science 1 Sankhyā. Series B. Methodological 1 Journal of Economics 1 Journal of the Australian Mathematical Society. Series A 1 Electronic Communications in Probability 1 The Journal of Computational Finance 1 Journal of Business and Economic Statistics 1 Advances in Statistics, Probability and Actuarial Science 1 Springer Finance
all top 5

### Fields

 114 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 42 Probability theory and stochastic processes (60-XX) 25 Statistics (62-XX) 3 Numerical analysis (65-XX) 2 General and overarching topics; collections (00-XX) 1 History and biography (01-XX) 1 Mathematical logic and foundations (03-XX) 1 Measure and integration (28-XX) 1 Difference and functional equations (39-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) 1 Systems theory; control (93-XX)

### Citations contained in zbMATH Open

93 Publications have been cited 1,780 times in 1,197 Documents Cited by Year
The variance gamma process and option pricing. Zbl 0937.91052
Madan, Dilip B.; Carr, Peter P.; Chang, Eric C.
1998
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2003
Option pricing with V. G. martingale components. Zbl 0900.90105
1991
Pricing the risks of default. Zbl 1274.91426
1998
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2007
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2001
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
2010
Making Markov martingales meet marginals: With explicit constructions. Zbl 1009.60037
2002
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2005
Option pricing using variance gamma Markov chains. Zbl 1064.91044
2002
Towards a theory of volatility trading. Zbl 0990.91037
2001
Contingent claims valid and hedged by pricing and investing in a basis. Zbl 0884.90042
1994
Saddlepoint methods for option pricing. Zbl 1178.91192
2009
Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns. Zbl 0866.90018
1995
Sato processes and the valuation of structured products. Zbl 1171.91327
2009
A discrete time equivalent martingale measure. Zbl 0910.60033
Elliott, Robert J.; Madan, Dilip B.
1998
Ito’s integrated formula for strict local martingales. Zbl 1133.60025
2006
Asset pricing theory for two price economies. Zbl 1311.91107
2015
Optimal investment in derivative securities. Zbl 0977.60056
Carr, Peter; Jin, Xing; Madan, Dilip B.
2001
Applied conic finance. Zbl 1350.91005
2016
A two price theory of financial equilibrium with risk management implications. Zbl 1298.91205
2012
Simulation of estimates using the empirical characteristic function. Zbl 0616.62033
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
2014
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. Zbl 1406.91439
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim
2018
Stochastic volatility, jumps and hidden time changes. Zbl 1006.60026
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2002
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
2014
Estimating parametric models of probability distributions. Zbl 1373.62526
2015
Structured products equilibria in conic two price markets. Zbl 1264.91148
2012
Asset prices are Brownian motion: Only in business time. Zbl 1134.91019
Geman, Helyette; Madan, Dilip B.; Yor, Marc
2001
The second fundamental theorem of asset pricing. Zbl 0991.91035
Jarrow, Robert A.; Jin, Xing; Madan, Dilip B.
1999
Purely discontinuous asset price processes. Zbl 1005.91047
2001
Tenor specific pricing. Zbl 1262.91142
2012
A theory of volatility spreads. Zbl 1232.91715
2006
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions. Zbl 1442.60051
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
2019
Measuring and monitoring the efficiency of markets. Zbl 1395.91459
Madan, Dilip B.; Schoutens, Wim; Wang, King
2017
Unbounded liabilities, capital reserve requirements and the taxpayer put option. Zbl 1278.91159
2012
Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450
2011
2010
Hedging contingent claims on semimartingales. Zbl 0926.60035
1999
Equilibrium asset pricing: with non-Gaussian factors and exponential utilities. Zbl 1134.91448
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
2008
Instantaneous portfolio theory. Zbl 1400.91557
2018
From local volatility to local Lévy models. Zbl 1405.91600
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2004
Benchmarking in two price financial markets. Zbl 1398.91279
2016
Hedge fund performance: sources and measures. Zbl 1180.91313
2009
Self-similarity in long-horizon returns. Zbl 07326787
2020
Is mean-variance analysis vacuous: or was beta still born? Zbl 1029.91515
Jarrow, Robert A.; Madan, Dilip B.
1997
Pricing and hedging basket options to prespecified levels of acceptability. Zbl 1192.91183
2010
A characterization of complete security markets on a Brownian filtration. Zbl 0900.90048
Jarrow, Robert A.; Madan, Dilip B.
1991
Conic portfolio theory. Zbl 1403.91318
2016
Capital requirements, acceptable risks and profits. Zbl 1181.91101
2009
Short positions, rally fears and option markets. Zbl 1229.91303
2010
The S&P 500 index as a Sato process travelling at the speed of the VIX. Zbl 1239.91186
2011
Conic finance and the corporate balance sheet. Zbl 1282.91370
2011
Simple processes and the pricing and hedging of cliquets. Zbl 1282.91340
2013
The valuation of structured products using Markov chain models. Zbl 1280.91172
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2013
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
1993
Correlation and the pricing of risks. Zbl 1233.91320
Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2007
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
2016
Self-decomposability of weak variance generalised gamma convolutions. Zbl 1471.60128
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
2020
Equilibrium asset returns in financial markets. Zbl 1411.91520
2019
Calibration for weak variance-alpha-gamma processes. Zbl 1447.60075
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
2019
Multivariate distributions for financial returns. Zbl 1457.91384
2020
Additive processes with bilateral gamma marginals. Zbl 1457.91385
2020
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
2013
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
2019
On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets. Zbl 1348.91272
2016
Hedging insurance books. Zbl 1371.91175
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim
2016
Dynamic conic hedging for competitiveness. Zbl 1404.91141
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2016
2016
A tale of two volatilities. Zbl 1188.91228
2009
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2017
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
2009
Probing option prices for information. Zbl 1157.60067
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2007
Filtering derivative security valuations from market prices. Zbl 0914.90018
Elliott, Robert J.; Lahaie, Charles H.; Madan, Dilip B.
1997
Risk premia in option markets. Zbl 1398.91607
2016
Option implied VIX, skew and kurtosis term structures. Zbl 1471.91581
2021
Zero covariation returns. Zbl 1432.91106
2018
Pricing options on mean reverting underliers. Zbl 1402.91803
2017
Maximally acceptable portfolios. Zbl 1418.91466
2014
Measures of risk aversion with many commodities. Zbl 1273.91240
1983
Systemic risk tradeoffs and option prices. Zbl 1284.91552
2013
Financial equilibrium with non-linear valuations. Zbl 1397.91228
2018
Option overlay strategies. Zbl 1398.91537
Madan, Dilip B.; Sharaiha, Yazid M.
2015
Testing for random pairing. Zbl 0554.62045
de Jong, Piet; Greig, Malcolm; Madan, Dilip
1983
Options on realized variance and convex orders. Zbl 1277.91164
Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc
2011
Monotone and 1-1 sets. Zbl 0513.03018
Madan, D. B.; Robinson, R. W.
1982
Two processes for two prices. Zbl 1295.91092
2014
Risk measurement in semimartingale models with multiple consumption goods. Zbl 0639.90015
1988
Momentum and reversion in risk neutral martingale probabilities. Zbl 1308.91167
2014
Utility correlations in probabilistic choice modelling. Zbl 1328.91085
1986
Moments of Wiener integrals for subordinators. Zbl 1329.60165
2012
Stationary increments reverting to a tempered fractional Lévy process (TFLP). Zbl 07562216
2022
Stationary increments reverting to a tempered fractional Lévy process (TFLP). Zbl 07562216
2022
Option implied VIX, skew and kurtosis term structures. Zbl 1471.91581
2021
Self-similarity in long-horizon returns. Zbl 07326787
2020
Self-decomposability of weak variance generalised gamma convolutions. Zbl 1471.60128
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
2020
Multivariate distributions for financial returns. Zbl 1457.91384
2020
Additive processes with bilateral gamma marginals. Zbl 1457.91385
2020
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions. Zbl 1442.60051
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
2019
Equilibrium asset returns in financial markets. Zbl 1411.91520
2019
Calibration for weak variance-alpha-gamma processes. Zbl 1447.60075
Buchmann, Boris; Lu, Kevin W.; Madan, Dilip B.
2019
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
2019
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. Zbl 1406.91439
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim
2018
Instantaneous portfolio theory. Zbl 1400.91557
2018
Zero covariation returns. Zbl 1432.91106
2018
Financial equilibrium with non-linear valuations. Zbl 1397.91228
2018
Measuring and monitoring the efficiency of markets. Zbl 1395.91459
Madan, Dilip B.; Schoutens, Wim; Wang, King
2017
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2017
Pricing options on mean reverting underliers. Zbl 1402.91803
2017
Applied conic finance. Zbl 1350.91005
2016
Benchmarking in two price financial markets. Zbl 1398.91279
2016
Conic portfolio theory. Zbl 1403.91318
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
2016
On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets. Zbl 1348.91272
2016
Hedging insurance books. Zbl 1371.91175
Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim
2016
Dynamic conic hedging for competitiveness. Zbl 1404.91141
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2016
2016
Risk premia in option markets. Zbl 1398.91607
2016
Asset pricing theory for two price economies. Zbl 1311.91107
2015
Estimating parametric models of probability distributions. Zbl 1373.62526
2015
Option overlay strategies. Zbl 1398.91537
Madan, Dilip B.; Sharaiha, Yazid M.
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
2014
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
2014
Maximally acceptable portfolios. Zbl 1418.91466
2014
Two processes for two prices. Zbl 1295.91092
2014
Momentum and reversion in risk neutral martingale probabilities. Zbl 1308.91167
2014
Simple processes and the pricing and hedging of cliquets. Zbl 1282.91340
2013
The valuation of structured products using Markov chain models. Zbl 1280.91172
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2013
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
2013
Systemic risk tradeoffs and option prices. Zbl 1284.91552
2013
A two price theory of financial equilibrium with risk management implications. Zbl 1298.91205
2012
Structured products equilibria in conic two price markets. Zbl 1264.91148
2012
Tenor specific pricing. Zbl 1262.91142
2012
Unbounded liabilities, capital reserve requirements and the taxpayer put option. Zbl 1278.91159
2012
Moments of Wiener integrals for subordinators. Zbl 1329.60165
2012
Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450
2011
The S&P 500 index as a Sato process travelling at the speed of the VIX. Zbl 1239.91186
2011
Conic finance and the corporate balance sheet. Zbl 1282.91370
2011
Options on realized variance and convex orders. Zbl 1277.91164
Carr, Peter; Geman, Helyette; Madan, Dilip B.; Yor, Marc
2011
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
2010
2010
Pricing and hedging basket options to prespecified levels of acceptability. Zbl 1192.91183
2010
Short positions, rally fears and option markets. Zbl 1229.91303
2010
Saddlepoint methods for option pricing. Zbl 1178.91192
2009
Sato processes and the valuation of structured products. Zbl 1171.91327
2009
Hedge fund performance: sources and measures. Zbl 1180.91313
2009
Capital requirements, acceptable risks and profits. Zbl 1181.91101
2009
A tale of two volatilities. Zbl 1188.91228
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
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
2008
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2007
Correlation and the pricing of risks. Zbl 1233.91320
Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2007
Probing option prices for information. Zbl 1157.60067
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2007
Ito’s integrated formula for strict local martingales. Zbl 1133.60025
2006
A theory of volatility spreads. Zbl 1232.91715
2006
Equilibrium asset pricing: with non-Gaussian factors and exponential utilities. Zbl 1134.91448
2006
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2005
From local volatility to local Lévy models. Zbl 1405.91600
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2004
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2003
Making Markov martingales meet marginals: With explicit constructions. Zbl 1009.60037
2002
Option pricing using variance gamma Markov chains. Zbl 1064.91044
2002
Stochastic volatility, jumps and hidden time changes. Zbl 1006.60026
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2002
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2001
Towards a theory of volatility trading. Zbl 0990.91037
2001
Optimal investment in derivative securities. Zbl 0977.60056
Carr, Peter; Jin, Xing; Madan, Dilip B.
2001
Asset prices are Brownian motion: Only in business time. Zbl 1134.91019
Geman, Helyette; Madan, Dilip B.; Yor, Marc
2001
Purely discontinuous asset price processes. Zbl 1005.91047
2001
The second fundamental theorem of asset pricing. Zbl 0991.91035
Jarrow, Robert A.; Jin, Xing; Madan, Dilip B.
1999
Hedging contingent claims on semimartingales. Zbl 0926.60035
1999
The variance gamma process and option pricing. Zbl 0937.91052
Madan, Dilip B.; Carr, Peter P.; Chang, Eric C.
1998
Pricing the risks of default. Zbl 1274.91426
1998
A discrete time equivalent martingale measure. Zbl 0910.60033
Elliott, Robert J.; Madan, Dilip B.
1998
Is mean-variance analysis vacuous: or was beta still born? Zbl 1029.91515
Jarrow, Robert A.; Madan, Dilip B.
1997
Filtering derivative security valuations from market prices. Zbl 0914.90018
Elliott, Robert J.; Lahaie, Charles H.; Madan, Dilip B.
1997
Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns. Zbl 0866.90018
1995
Contingent claims valid and hedged by pricing and investing in a basis. Zbl 0884.90042
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
1993
Option pricing with V. G. martingale components. Zbl 0900.90105
1991
A characterization of complete security markets on a Brownian filtration. Zbl 0900.90048
Jarrow, Robert A.; Madan, Dilip B.
1991
Risk measurement in semimartingale models with multiple consumption goods. Zbl 0639.90015
1988
Simulation of estimates using the empirical characteristic function. Zbl 0616.62033
1987
Utility correlations in probabilistic choice modelling. Zbl 1328.91085
1986
Measures of risk aversion with many commodities. Zbl 1273.91240
1983
Testing for random pairing. Zbl 0554.62045
de Jong, Piet; Greig, Malcolm; Madan, Dilip
1983
Monotone and 1-1 sets. Zbl 0513.03018
Madan, D. B.; Robinson, R. W.
1982
all top 5

### Cited by 1,522 Authors

 74 Madan, Dilip B. 32 Schoutens, Wim 18 Carr, Peter Paul 17 Levendorskiĭ, Sergeĭ Zakharovich 17 Yor, Marc 16 Elliott, Robert James 14 Eberlein, Ernst W. 14 Pistorius, Martijn R. 14 Siu, Tak Kuen 13 Figueroa-López, José E. 11 Ivanov, Roman V. 11 Wang, King-Hang 10 Kallsen, Jan 9 Linetsky, Vadim 8 Guillaume, Florence 8 Hughston, Lane P. 8 Leonenko, Nikolai N. 8 Li, Lingfei 8 Mendoza-Arriaga, Rafael 8 Mijatović, Aleksandar 8 Protter, Philip Elliott 8 Todorov, Viktor 8 Touzi, Nizar 8 Yamazaki, Akira 7 Cui, Zhenyu 7 He, Xinjiang 7 Kawai, Reiichiro 7 Meerschaert, Mark Marvin 6 Brody, Dorje C. 6 Li, Shenghong 6 Nicolato, Elisa 6 Oosterlee, Cornelis Willebrordus 6 Seneta, Eugene 6 Tankov, Peter 5 Aït-Sahalia, Yacine 5 Ballotta, Laura 5 Beiglböck, Mathias 5 Boyarchenko, Svetlana I. 5 Cialenco, Igor 5 Company, Rafael 5 Forde, Martin 5 Geman, Hélyette 5 Henry-Labordère, Pierre 5 Jacquier, Antoine 5 Jódar Sanchez, Lucas Antonio 5 Kudryavtsev, Oleg 5 Küchler, Uwe 5 Linders, Daniël 5 Lu, Kevin W. 5 Mercuri, Lorenzo 5 Muhle-Karbe, Johannes 5 Platen, Eckhard 5 Rroji, Edit 5 Rüschendorf, Ludger 5 Semeraro, Patrizia 5 Sgarra, Carlo 5 Tappe, Stefan 5 Tassinari, Gian Luca 5 Tauchen, George E. 4 Albanese, Claudio 4 Badescu, Alexandru M. 4 Barndorff-Nielsen, Ole Eiler 4 Bielecki, Tomasz R. 4 Buchmann, Boris 4 Buckley, Winston S. 4 Chen, Wenting 4 Das, Sanjiv Ranjan 4 Dong, Yinghui 4 Drimus, Gabriel G. 4 Fabozzi, Frank J. 4 Gaunt, Robert Edward 4 Gerhold, Stefan 4 Guasoni, Paolo 4 Hamza, Kais 4 Kim, Jeong-Hoon 4 Klebaner, Fima C. 4 Korolev, Viktor Yur’evich 4 Kozubowski, Tomasz J. 4 Kyriakou, Ioannis 4 Lin, Sha 4 Lorig, Matthew J. 4 Macrina, Andrea 4 Mancini, Cecilia 4 Obloj, Jan K. 4 Pelsser, Antoon A. J. 4 Schachermayer, Walter 4 Scherer, Matthias 4 Schwab, Christoph 4 Tehranchi, Michael R. 4 Vanduffel, Steven 4 Wang, Anjiao 4 Yamada, Yuji 4 Zanette, Antonino 4 Zhang, Jin E. 4 Zheng, Harry H. 3 Agliardi, Rossella 3 Aguilar, Jean-Philippe 3 Ahlip, Rehez 3 Albrecher, Hansjörg 3 Andersen, Torben G. ...and 1,422 more Authors
all top 5

### Cited in 187 Serials

 142 Quantitative Finance 87 International Journal of Theoretical and Applied Finance 50 Finance and Stochastics 45 Applied Mathematical Finance 43 Mathematical Finance 39 Stochastic Processes and their Applications 35 Review of Derivatives Research 32 Journal of Econometrics 29 Insurance Mathematics & Economics 26 Journal of Computational and Applied Mathematics 25 European Journal of Operational Research 23 Statistics & Probability Letters 23 Journal of Economic Dynamics & Control 22 The Annals of Applied Probability 22 Annals of Finance 16 Asia-Pacific Financial Markets 16 SIAM Journal on Financial Mathematics 15 Methodology and Computing in Applied Probability 14 Mathematics and Financial Economics 12 Physica A 12 Communications in Statistics. Theory and Methods 11 Stochastics 10 Advances in Applied Probability 10 Journal of Applied Probability 10 Probability, Uncertainty and Quantitative Risk 9 Applied Mathematics and Computation 9 Scandinavian Actuarial Journal 8 Journal of Mathematical Analysis and Applications 8 Annals of Operations Research 8 Bernoulli 8 Abstract and Applied Analysis 8 Discrete Dynamics in Nature and Society 8 Decisions in Economics and Finance 7 Computers & Mathematics with Applications 7 Journal of Mathematical Economics 7 Journal of Multivariate Analysis 7 Stochastic Analysis and Applications 7 Applied Mathematics. Series B (English Edition) 6 Computational Statistics and Data Analysis 6 North American Actuarial Journal 5 Lithuanian Mathematical Journal 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 Journal of Applied Mathematics 5 Frontiers of Mathematical Finance 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 International Journal of Computer Mathematics 4 Journal of Statistical Computation and Simulation 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 4 East Asian Journal on Applied Mathematics 3 Scandinavian Journal of Statistics 3 The Annals of Probability 3 Journal of Economic Theory 3 Mathematics of Operations Research 3 Proceedings of the American Mathematical Society 3 Applied Mathematics Letters 3 Communications in Statistics. Simulation and Computation 3 SIAM Journal on Scientific Computing 3 Journal of Mathematical Sciences (New York) 3 Journal of Applied Statistics 3 Probability in the Engineering and Informational Sciences 3 Econometric Theory 3 Applied Stochastic Models in Business and Industry 3 The ANZIAM Journal 3 Stochastic Models 3 ASTIN Bulletin 3 Journal of Industrial and Management Optimization 3 European Actuarial Journal 2 The Canadian Journal of Statistics 2 Journal of Mathematical Physics 2 Chaos, Solitons and Fractals 2 International Statistical Review 2 Journal of Functional Analysis 2 Kybernetika 2 Mathematics and Computers in Simulation 2 Publications of the Research Institute for Mathematical Sciences, Kyoto University 2 Transactions of the American Mathematical Society 2 Operations Research Letters 2 Applied Numerical Mathematics 2 Statistics 2 Optimization 2 Econometric Reviews 2 Economics Letters 2 Applications of Mathematics 2 Numerical Algorithms 2 Automation and Remote Control 2 Expositiones Mathematicae 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Potential Analysis 2 Fractals 2 Monte Carlo Methods and Applications ...and 87 more Serials
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### Cited in 35 Fields

 949 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 660 Probability theory and stochastic processes (60-XX) 259 Statistics (62-XX) 136 Numerical analysis (65-XX) 63 Partial differential equations (35-XX) 31 Systems theory; control (93-XX) 22 Operations research, mathematical programming (90-XX) 19 Calculus of variations and optimal control; optimization (49-XX) 15 Integral transforms, operational calculus (44-XX) 15 Integral equations (45-XX) 12 Special functions (33-XX) 12 Computer science (68-XX) 11 Real functions (26-XX) 11 Operator theory (47-XX) 10 Ordinary differential equations (34-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 8 Measure and integration (28-XX) 7 Approximations and expansions (41-XX) 6 Statistical mechanics, structure of matter (82-XX) 4 Functional analysis (46-XX) 2 Mathematical logic and foundations (03-XX) 2 Number theory (11-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Several complex variables and analytic spaces (32-XX) 2 Quantum theory (81-XX) 2 Geophysics (86-XX) 1 Functions of a complex variable (30-XX) 1 Difference and functional equations (39-XX) 1 Sequences, series, summability (40-XX) 1 Convex and discrete geometry (52-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Fluid mechanics (76-XX) 1 Relativity and gravitational theory (83-XX) 1 Biology and other natural sciences (92-XX) 1 Mathematics education (97-XX)