Edit Profile (opens in new tab) Hobson, David Graham Compute Distance To: Compute Author ID: hobson.david-g Published as: Hobson, David; Hobson, David G.; Hobson, D. G. more...less Homepage: https://warwick.ac.uk/fac/sci/statistics/staff/academic-research/hobson/ External Links: MGP Documents Indexed: 78 Publications since 1991 Co-Authors: 38 Co-Authors with 62 Joint Publications 917 Co-Co-Authors all top 5 Co-Authors 16 single-authored 19 Henderson, Vicky 6 Cox, Alexander Matthew Gordon 5 Rogers, L. C. G. 4 Klimmek, Martin 4 Norgilas, Dominykas 4 Tse, Alex S. L. 3 Feng, Han 3 Zeng, Matthew 3 Zhu, Yeqi 2 Brown, Haydyn 2 Ekström, Erik 2 Herdegen, Martin 2 Jerome, Joseph W. 2 Kluge, Tino 2 Laurence, Peter 2 Neuberger, Anthony 2 Obloj, Jan K. 2 Wang, Tai-Ho 1 Ankirchner, Stefan 1 Beiglböck, Mathias 1 Chaumont, Loïc 1 Davis, Mark Herbert Ainsworth 1 DeBlassie, Richard Dante 1 Evans, Jonathan David 1 Housworth, Elizabeth Ann 1 Howison, Samuel Dexter 1 Janson, Svante 1 Kentwell, Glenn 1 Pedersen, Jesper Lund 1 Penn, Jeremy 1 Shaw, William T. 1 Strack, Philipp 1 Toby, Ellen H. 1 Tysk, Johan 1 Werner, Wendelin 1 Wojakowski, Rafał 1 Wood, Andrew T. A. 1 Yor, Marc all top 5 Serials 11 Finance and Stochastics 9 Mathematical Finance 8 The Annals of Applied Probability 4 Probability Theory and Related Fields 4 Stochastic Processes and their Applications 4 International Journal of Theoretical and Applied Finance 3 Bernoulli 3 Quantitative Finance 2 Journal of Economic Theory 2 Statistics & Probability Letters 2 Stochastics and Stochastics Reports 2 Electronic Journal of Probability 2 Electronic Communications in Probability 2 Decisions in Economics and Finance 2 Stochastics 1 Mathematical Proceedings of the Cambridge Philosophical Society 1 The Annals of Probability 1 Bulletin of the London Mathematical Society 1 Journal of Applied Probability 1 Operations Research 1 Insurance Mathematics & Economics 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Applied Mathematical Finance 1 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 1 Review of Derivatives Research 1 SIAM Journal on Financial Mathematics all top 5 Fields 59 Probability theory and stochastic processes (60-XX) 53 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Systems theory; control (93-XX) 3 Operations research, mathematical programming (90-XX) 2 Statistics (62-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 69 Publications have been cited 1,271 times in 780 Documents Cited by ▼ Year ▼ Robust hedging of the lookback option. Zbl 0907.90023Hobson, David G. 111 1998 Complete models with stochastic volatility. Zbl 0908.90012Hobson, David G.; Rogers, L. C. G. 91 1998 Local martingales, bubbles and option prices. Zbl 1092.91023Cox, Alexander M. G.; Hobson, David G. 89 2005 The Skorokhod embedding problem and model-independent bounds for option prices. Zbl 1214.91113Hobson, David 73 2011 The range of traded option prices. Zbl 1278.91158Davis, Mark H. A.; Hobson, David G. 66 2007 Robust hedging of barrier options. Zbl 1047.91024Brown, Haydyn; Hobson, David; Rogers, L. C. G. 64 2001 Robust bounds for forward start options. Zbl 1278.91162Hobson, David; Neuberger, Anthony 59 2012 Utility indifference pricing: an overview. Zbl 1158.91379Henderson, Vicky; Hobson, David 58 2009 Volatility misspecification, option pricing and superreplication via coupling. Zbl 0933.91012Hobson, David G. 52 1998 Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425Hobson, David; Laurence, Peter; Wang, Tai-Ho 44 2005 Real options with constant relative risk aversion. Zbl 1027.91039Henderson, Vicky; Hobson, David G. 39 2002 Stochastic volatility models, correlation, and the \(q\)-optimal measure. Zbl 1169.60317Hobson, David 34 2004 Robust price bounds for the forward starting straddle. Zbl 1396.91735Hobson, David; Klimmek, Martin 33 2015 Horizon-unbiased utility functions. Zbl 1131.60030Henderson, Vicky; Hobson, David 30 2007 Model-independent hedging strategies for variance swaps. Zbl 1262.91134Hobson, David; Klimmek, Martin 29 2012 Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping. Zbl 1165.60020Cox, A. M. G.; Hobson, David; Obłój, Jan 29 2008 Static-arbitrage optimal subreplicating strategies for basket options. Zbl 1129.62424Hobson, David; Laurence, Peter; Wang, Tai-Ho 26 2005 Skorokhod embeddings, minimality and non-centred target distributions. Zbl 1099.60031Cox, A. M. G.; Hobson, D. G. 21 2006 The minimum maximum of a continuous martingale with given initial and terminal laws. Zbl 1016.60047Hobson, David G.; Pedersen, J. L. 19 2002 Recurrence and transience of reflecting Brownian motion in the quadrant. Zbl 0776.60100Hobson, D. G.; Rogers, L. C. G. 18 1993 Comparison results for stochastic volatility models via coupling. Zbl 1224.91193Hobson, David 17 2010 The maximum maximum of a martingale constrained by an intermediate law. Zbl 0980.60048Brown, Haydyn; Hobson, David; Rogers, L. C. G. 16 2001 Optimal timing for an indivisible asset sale. Zbl 1214.91112Evans, Jonathan; Henderson, Vicky; Hobson, David 14 2008 A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino 14 2005 An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021Henderson, Vicky; Hobson, David 13 2008 The maximum maximum of a martingale. Zbl 0935.60028Hobson, David G. 12 1998 Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078Henderson, Vicky; Hobson, David 12 2002 Non-colliding Brownian motions on the circle. Zbl 0853.60060Hobson, David G.; Werner, Wendelin 11 1996 Local time, coupling and the passport option. Zbl 0944.60046Henderson, Vicky; Hobson, David 11 2000 Optimal stopping of the maximum process: a converse to the results of Peskir. Zbl 1128.60029Hobson, David 10 2007 Passport options with stochastic volatility. Zbl 1013.91046Henderson, Vicky; Hobson, David 8 2001 Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165Henderson, Vicky; Hobson, David 8 2013 Finite, integrable and bounded time embeddings for diffusions. Zbl 1328.60101Ankirchner, Stefan; Hobson, David; Strack, Philipp 8 2015 Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes. Zbl 0982.60020Chaumont, L.; Hobson, D. G.; Yor, M. 8 2001 Recovering a time-homogeneous stock price process from perpetual option prices. Zbl 1228.91068Ekström, Erik; Hobson, David 7 2011 An optimal Skorokhod embedding for diffusions. Zbl 1070.60070Cox, A. M. G.; Hobson, D. G. 7 2004 Can time-homogeneous diffusions produce any distribution? Zbl 1276.60085Ekström, Erik; Hobson, David; Janson, Svante; Tysk, Johan 7 2013 Mimicking martingales. Zbl 1352.60061Hobson, David 7 2016 Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178Henderson, Vicky; Hobson, David; Tse, Alex S. L. 6 2017 Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps. Zbl 1278.60078Hobson, David; Klimmek, Martin 5 2013 Optimal liquidation of derivative portfolios. Zbl 1215.91073Henderson, Vicky; Hobson, David 5 2011 A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings. Zbl 1148.60063Cox, A. M. G.; Hobson, D. G. 5 2007 Bounds for the utility-indifference prices of non-traded assets in incomplete markets. Zbl 1125.91346Hobson, D. G. 5 2005 A survey of mathematical finance. Zbl 1168.91386Hobson, David 5 2004 Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal 5 2007 Model uncertainty and the pricing of American options. Zbl 1380.91131Hobson, David; Neuberger, Anthony 5 2017 Gambling in contests with random initial law. Zbl 1335.60058Feng, Han; Hobson, David 5 2016 Gambling in contests with regret. Zbl 1348.91120Feng, Han; Hobson, David 4 2016 Utility theory front to back – inferring utility from agents’ choices. Zbl 1298.91199Cox, Alexander M. G.; Hobson, David; Obłój, Jan 4 2014 Marked excursions and random trees. Zbl 0965.60078Hobson, David G. 4 2000 The left-curtain martingale coupling in the presence of atoms. Zbl 1427.60073Hobson, David G.; Norgilas, Dominykas 4 2019 Fake exponential Brownian motion. Zbl 1293.60079Hobson, David G. 3 2013 Gambling in contests modelled with diffusions. Zbl 1398.91295Feng, Han; Hobson, David 3 2015 Constructing time-homogeneous generalized diffusions consistent with optimal stopping values. Zbl 1245.60046Hobson, David; Klimmek, Martin 3 2011 Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446Henderson, Vicky; Hobson, David 3 2008 Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201Henderson, Vicky; Hobson, David; Tse, Alex S. L. 2 2018 Asymptotics for an arcsin type result. Zbl 0796.60046Hobson, David 2 1994 A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor. Zbl 1110.60077Hobson, David 2 2007 Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161Henderson, Vicky; Hobson, David; Kluge, Tino 2 2007 Taylor expansions of curve-crossing probabilities. Zbl 0945.60084Hobson, David G.; Williams, David; Wood, Andrew T. A. 2 1999 Escape rates for transient reflected Brownian motion in wedges and cones. Zbl 0891.60038Deblassie, R. Dante; Hobson, David; Housworth, Elizabeth Ann; Toby, Ellen H. 2 1996 A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448Henderson, Vicky; Hobson, David; Kentwell, Glenn 2 2002 A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447Henderson, Vicky; Hobson, David 2 2006 Maximizing the probability of a perfect hedge using an imperfectly correlated instrument. Zbl 1138.91536Hobson, David; Penn, Jeremy 1 2005 Integrability of solutions of the Skorokhod embedding problem for diffusions. Zbl 1328.60104Hobson, David 1 2015 Optimal stopping and the sufficiency of randomized threshold strategies. Zbl 1390.60155Henderson, Vicky; Hobson, David; Zeng, Matthew 1 2018 Robust bounds for the American put. Zbl 1411.91558Hobson, David; Norgilas, Dominykas 1 2019 Optimal consumption and investment under transaction costs. Zbl 1411.91508Hobson, David; Tse, Alex S. L.; Zhu, Yeqi 1 2019 A multi-asset investment and consumption problem with transaction costs. Zbl 1484.91423Hobson, David; Tse, Alex S. L.; Zhu, Yeqi 1 2019 The left-curtain martingale coupling in the presence of atoms. Zbl 1427.60073Hobson, David G.; Norgilas, Dominykas 4 2019 Robust bounds for the American put. Zbl 1411.91558Hobson, David; Norgilas, Dominykas 1 2019 Optimal consumption and investment under transaction costs. Zbl 1411.91508Hobson, David; Tse, Alex S. L.; Zhu, Yeqi 1 2019 A multi-asset investment and consumption problem with transaction costs. Zbl 1484.91423Hobson, David; Tse, Alex S. L.; Zhu, Yeqi 1 2019 Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201Henderson, Vicky; Hobson, David; Tse, Alex S. L. 2 2018 Optimal stopping and the sufficiency of randomized threshold strategies. Zbl 1390.60155Henderson, Vicky; Hobson, David; Zeng, Matthew 1 2018 Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178Henderson, Vicky; Hobson, David; Tse, Alex S. L. 6 2017 Model uncertainty and the pricing of American options. Zbl 1380.91131Hobson, David; Neuberger, Anthony 5 2017 Mimicking martingales. Zbl 1352.60061Hobson, David 7 2016 Gambling in contests with random initial law. Zbl 1335.60058Feng, Han; Hobson, David 5 2016 Gambling in contests with regret. Zbl 1348.91120Feng, Han; Hobson, David 4 2016 Robust price bounds for the forward starting straddle. Zbl 1396.91735Hobson, David; Klimmek, Martin 33 2015 Finite, integrable and bounded time embeddings for diffusions. Zbl 1328.60101Ankirchner, Stefan; Hobson, David; Strack, Philipp 8 2015 Gambling in contests modelled with diffusions. Zbl 1398.91295Feng, Han; Hobson, David 3 2015 Integrability of solutions of the Skorokhod embedding problem for diffusions. Zbl 1328.60104Hobson, David 1 2015 Utility theory front to back – inferring utility from agents’ choices. Zbl 1298.91199Cox, Alexander M. G.; Hobson, David; Obłój, Jan 4 2014 Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165Henderson, Vicky; Hobson, David 8 2013 Can time-homogeneous diffusions produce any distribution? Zbl 1276.60085Ekström, Erik; Hobson, David; Janson, Svante; Tysk, Johan 7 2013 Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps. Zbl 1278.60078Hobson, David; Klimmek, Martin 5 2013 Fake exponential Brownian motion. Zbl 1293.60079Hobson, David G. 3 2013 Robust bounds for forward start options. Zbl 1278.91162Hobson, David; Neuberger, Anthony 59 2012 Model-independent hedging strategies for variance swaps. Zbl 1262.91134Hobson, David; Klimmek, Martin 29 2012 The Skorokhod embedding problem and model-independent bounds for option prices. Zbl 1214.91113Hobson, David 73 2011 Recovering a time-homogeneous stock price process from perpetual option prices. Zbl 1228.91068Ekström, Erik; Hobson, David 7 2011 Optimal liquidation of derivative portfolios. Zbl 1215.91073Henderson, Vicky; Hobson, David 5 2011 Constructing time-homogeneous generalized diffusions consistent with optimal stopping values. Zbl 1245.60046Hobson, David; Klimmek, Martin 3 2011 Comparison results for stochastic volatility models via coupling. Zbl 1224.91193Hobson, David 17 2010 Utility indifference pricing: an overview. Zbl 1158.91379Henderson, Vicky; Hobson, David 58 2009 Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping. Zbl 1165.60020Cox, A. M. G.; Hobson, David; Obłój, Jan 29 2008 Optimal timing for an indivisible asset sale. Zbl 1214.91112Evans, Jonathan; Henderson, Vicky; Hobson, David 14 2008 An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021Henderson, Vicky; Hobson, David 13 2008 Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446Henderson, Vicky; Hobson, David 3 2008 The range of traded option prices. Zbl 1278.91158Davis, Mark H. A.; Hobson, David G. 66 2007 Horizon-unbiased utility functions. Zbl 1131.60030Henderson, Vicky; Hobson, David 30 2007 Optimal stopping of the maximum process: a converse to the results of Peskir. Zbl 1128.60029Hobson, David 10 2007 A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings. Zbl 1148.60063Cox, A. M. G.; Hobson, D. G. 5 2007 Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal 5 2007 A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor. Zbl 1110.60077Hobson, David 2 2007 Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161Henderson, Vicky; Hobson, David; Kluge, Tino 2 2007 Skorokhod embeddings, minimality and non-centred target distributions. Zbl 1099.60031Cox, A. M. G.; Hobson, D. G. 21 2006 A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447Henderson, Vicky; Hobson, David 2 2006 Local martingales, bubbles and option prices. Zbl 1092.91023Cox, Alexander M. G.; Hobson, David G. 89 2005 Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425Hobson, David; Laurence, Peter; Wang, Tai-Ho 44 2005 Static-arbitrage optimal subreplicating strategies for basket options. Zbl 1129.62424Hobson, David; Laurence, Peter; Wang, Tai-Ho 26 2005 A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino 14 2005 Bounds for the utility-indifference prices of non-traded assets in incomplete markets. Zbl 1125.91346Hobson, D. G. 5 2005 Maximizing the probability of a perfect hedge using an imperfectly correlated instrument. Zbl 1138.91536Hobson, David; Penn, Jeremy 1 2005 Stochastic volatility models, correlation, and the \(q\)-optimal measure. Zbl 1169.60317Hobson, David 34 2004 An optimal Skorokhod embedding for diffusions. Zbl 1070.60070Cox, A. M. G.; Hobson, D. G. 7 2004 A survey of mathematical finance. Zbl 1168.91386Hobson, David 5 2004 Real options with constant relative risk aversion. Zbl 1027.91039Henderson, Vicky; Hobson, David G. 39 2002 The minimum maximum of a continuous martingale with given initial and terminal laws. Zbl 1016.60047Hobson, David G.; Pedersen, J. L. 19 2002 Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078Henderson, Vicky; Hobson, David 12 2002 A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448Henderson, Vicky; Hobson, David; Kentwell, Glenn 2 2002 Robust hedging of barrier options. Zbl 1047.91024Brown, Haydyn; Hobson, David; Rogers, L. C. G. 64 2001 The maximum maximum of a martingale constrained by an intermediate law. Zbl 0980.60048Brown, Haydyn; Hobson, David; Rogers, L. C. G. 16 2001 Passport options with stochastic volatility. Zbl 1013.91046Henderson, Vicky; Hobson, David 8 2001 Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes. Zbl 0982.60020Chaumont, L.; Hobson, D. G.; Yor, M. 8 2001 Local time, coupling and the passport option. Zbl 0944.60046Henderson, Vicky; Hobson, David 11 2000 Marked excursions and random trees. Zbl 0965.60078Hobson, David G. 4 2000 Taylor expansions of curve-crossing probabilities. Zbl 0945.60084Hobson, David G.; Williams, David; Wood, Andrew T. A. 2 1999 Robust hedging of the lookback option. Zbl 0907.90023Hobson, David G. 111 1998 Complete models with stochastic volatility. Zbl 0908.90012Hobson, David G.; Rogers, L. C. G. 91 1998 Volatility misspecification, option pricing and superreplication via coupling. Zbl 0933.91012Hobson, David G. 52 1998 The maximum maximum of a martingale. Zbl 0935.60028Hobson, David G. 12 1998 Non-colliding Brownian motions on the circle. Zbl 0853.60060Hobson, David G.; Werner, Wendelin 11 1996 Escape rates for transient reflected Brownian motion in wedges and cones. Zbl 0891.60038Deblassie, R. Dante; Hobson, David; Housworth, Elizabeth Ann; Toby, Ellen H. 2 1996 Asymptotics for an arcsin type result. Zbl 0796.60046Hobson, David 2 1994 Recurrence and transience of reflecting Brownian motion in the quadrant. Zbl 0776.60100Hobson, D. G.; Rogers, L. C. G. 18 1993 all cited Publications top 5 cited Publications all top 5 Cited by 934 Authors 40 Hobson, David Graham 24 Obloj, Jan K. 21 Beiglböck, Mathias 21 Henderson, Vicky 17 Cox, Alexander Matthew Gordon 17 Ekström, Erik 16 Touzi, Nizar 13 Pascucci, Andrea 12 Tysk, Johan 11 Bayraktar, Erhan 11 Madan, Dilip B. 11 Nutz, Marcel 11 Protter, Philip Elliott 9 Huesmann, Martin 8 Campi, Luciano 8 Henry-Labordère, Pierre 7 Bartl, Daniel 7 Biagini, Francesca 7 Carr, Peter Paul 7 Guo, Gaoyue 7 Kallsen, Jan 7 Kupper, Michael 7 Polidoro, Sergio 7 Sircar, Ronnie 7 Tan, Xiaolu 6 Černý, Aleš 6 Dhaene, Jan 6 Gushchin, Aleksandr Aleksandrovich 6 Jarrow, Robert Alan 6 Liang, Gechun 6 Muhle-Karbe, Johannes 6 Schoutens, Wim 6 Stebegg, Florian 6 Vanmaele, Michèle 6 Yor, Marc 6 Zariphopoulou, Thaleia 5 Ankirchner, Stefan 5 Herrmann, Sebastian 5 Jacquier, Antoine 5 Janson, Svante 5 Jourdain, Benjamin 5 Juillet, Nicolas 5 Klimmek, Martin 5 Leung, Tim 5 Lim, Tongseok 5 Mrad, Mohamed 5 Prömel, David J. 5 Ruf, Johannes 5 Sester, Julian 5 Zhu, Songping 4 Acciaio, Beatrice 4 Cheridito, Patrick 4 Choulli, Tahir 4 Criens, David 4 Deelstra, Griselda 4 Dolinsky, Yan 4 dos Reis, Gonçalo 4 El Karoui, Nicole 4 Elliott, Robert James 4 Franceschi, Sandro 4 Ghoussoub, Nassif A. 4 Gulisashvili, Archil 4 Hou, Zhaoxu 4 Huang, Yu-Jui 4 Källblad, Sigrid 4 Kim, Young-Heon 4 Linders, Daniël 4 Maggis, Marco 4 Mahayni, Antje 4 Mijatović, Aleksandar 4 Nadtochiy, Sergey 4 Neufeld, Ariel David 4 Nyström, Kaj 4 Pelsser, Antoon A. J. 4 Peskir, Goran 4 Rong, Ximin 4 Schachermayer, Walter 4 Schweizer, Martin 4 Siorpaes, Pietro 4 Siu, Tak Kuen 4 Soner, Halil Mete 4 Tehranchi, Michael R. 4 Urusov, Mikhail A. 4 Večeř, Jan 4 Zhao, Hui 4 Zhou, Zhou 4 Zuluaga, Luis Fernando 3 A, Chunxiang 3 Arai, Takuji 3 Becherer, Dirk 3 Bergenthum, Jan 3 Bernard, Carole L. 3 Burzoni, Matteo 3 Carmona, René A. 3 Chronopoulos, Michail 3 Di Francesco, Marco 3 Döring, Leif 3 Eder, Manu 3 Ewald, Christian-Oliver 3 Feng, Han ...and 834 more Authors all top 5 Cited in 146 Serials 62 Finance and Stochastics 48 International Journal of Theoretical and Applied Finance 48 Quantitative Finance 47 Mathematical Finance 44 Stochastic Processes and their Applications 39 The Annals of Applied Probability 32 SIAM Journal on Financial Mathematics 23 Insurance Mathematics & Economics 21 The Annals of Probability 16 Journal of Economic Dynamics & Control 16 European Journal of Operational Research 15 Statistics & Probability Letters 15 Probability Theory and Related Fields 15 Bernoulli 14 Journal of Computational and Applied Mathematics 14 Mathematics and Financial Economics 13 Journal of Mathematical Analysis and Applications 11 Journal of Applied Probability 11 SIAM Journal on Control and Optimization 11 Applied Mathematical Finance 10 Review of Derivatives Research 9 Applied Mathematics and Optimization 8 Decisions in Economics and Finance 8 Annals of Finance 7 Journal of Theoretical Probability 6 Mathematics of Operations Research 6 Mathematical Methods of Operations Research 5 Journal of Optimization Theory and Applications 5 International Journal of Stochastic Analysis 4 Advances in Applied Probability 4 Theory of Probability and its Applications 4 Transactions of the American Mathematical Society 4 Queueing Systems 4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Journal of Inequalities and Applications 4 Asia-Pacific Financial Markets 4 Stochastics 3 Physica A 3 Journal of Differential Equations 3 Journal of Econometrics 3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 3 Proceedings of the American Mathematical Society 3 Stochastic Analysis and Applications 3 Electronic Journal of Probability 3 Electronic Communications in Probability 3 Methodology and Computing in Applied Probability 2 Computers & Mathematics with Applications 2 Chaos, Solitons and Fractals 2 Applied Mathematics and Computation 2 Journal of Economic Theory 2 Journal of Mathematical Economics 2 Mathematische Annalen 2 Mathematical Social Sciences 2 Operations Research Letters 2 Optimization 2 European Journal of Applied Mathematics 2 Annals of Operations Research 2 Scandinavian Actuarial Journal 2 Journal of Systems Science and Complexity 2 ASTIN Bulletin 2 Journal of Applied Mathematics and Computing 2 North American Actuarial Journal 2 Journal of Industrial and Management Optimization 2 Optimization Letters 2 MathematicS In Action 2 Statistics & Risk Modeling 2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 2 Probability, Uncertainty and Quantitative Risk 2 Frontiers of Mathematical Finance 1 Archive for Rational Mechanics and Analysis 1 Journal of Mathematical Physics 1 Journal of Statistical Physics 1 Mathematical Notes 1 Russian Mathematical Surveys 1 Scandinavian Journal of Statistics 1 The Annals of Statistics 1 Inventiones Mathematicae 1 Journal of Combinatorial Theory. Series A 1 Mathematics and Computers in Simulation 1 Quaestiones Mathematicae 1 Siberian Mathematical Journal 1 Acta Applicandae Mathematicae 1 American Journal of Mathematical and Management Sciences 1 Applied Numerical Mathematics 1 Acta Mathematicae Applicatae Sinica. English Series 1 Sequential Analysis 1 Asia-Pacific Journal of Operational Research 1 Applied Mathematics Letters 1 Mathematical and Computer Modelling 1 Science in China. Series A 1 Journal of Applied Mathematics and Stochastic Analysis 1 Economics Letters 1 Games and Economic Behavior 1 Automation and Remote Control 1 International Journal of Computer Mathematics 1 Computational Statistics and Data Analysis 1 Mathematical Programming. Series A. Series B 1 Stochastics and Stochastics Reports 1 SIAM Journal on Optimization ...and 46 more Serials all top 5 Cited in 33 Fields 581 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 477 Probability theory and stochastic processes (60-XX) 69 Calculus of variations and optimal control; optimization (49-XX) 67 Systems theory; control (93-XX) 61 Operations research, mathematical programming (90-XX) 56 Partial differential equations (35-XX) 53 Statistics (62-XX) 36 Numerical analysis (65-XX) 15 Ordinary differential equations (34-XX) 8 Statistical mechanics, structure of matter (82-XX) 7 Integral equations (45-XX) 6 Functional analysis (46-XX) 5 Measure and integration (28-XX) 4 Real functions (26-XX) 4 Computer science (68-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Global analysis, analysis on manifolds (58-XX) 2 Combinatorics (05-XX) 2 Topological groups, Lie groups (22-XX) 2 Functions of a complex variable (30-XX) 2 Special functions (33-XX) 2 Difference and functional equations (39-XX) 2 Approximations and expansions (41-XX) 2 Integral transforms, operational calculus (44-XX) 2 Biology and other natural sciences (92-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Group theory and generalizations (20-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Differential geometry (53-XX) 1 Mechanics of particles and systems (70-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year