Edit Profile (opens in new tab) Longstaff, Francis A. Compute Distance To: Compute Author ID: longstaff.francis-a Published as: Longstaff, Francis A. Documents Indexed: 3 Publications since 1993 Co-Authors: 5 Co-Authors with 3 Joint Publications 16 Co-Co-Authors Co-Authors 0 single-authored 1 Karolyi, G. Andrew 1 Mithal, Sanjay 1 Neis, Eric 1 Sanders, Anthony B. 1 Schwartz, Eduardo S. Serials 1 The Review of Financial Studies Fields 3 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 Probability theory and stochastic processes (60-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 3 Publications have been cited 320 times in 319 Documents Cited by ▼ Year ▼ Valuing American options by simulation: a simple least-squares approach. Zbl 1386.91144Longstaff, Francis A.; Schwartz, Eduardo S. 314 1993 Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market. Zbl 1418.91524Longstaff, Francis A.; Mithal, Sanjay; Neis, Eric 4 2007 The volatility of short-term interest rates: an empirical comparison of alternative models of the term structure of interest rates. Zbl 1065.91505Chan, K. C.; Karolyi, G. Andrew; Longstaff, Francis A.; Sanders, Anthony B. 2 2000 Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market. Zbl 1418.91524Longstaff, Francis A.; Mithal, Sanjay; Neis, Eric 4 2007 The volatility of short-term interest rates: an empirical comparison of alternative models of the term structure of interest rates. Zbl 1065.91505Chan, K. C.; Karolyi, G. Andrew; Longstaff, Francis A.; Sanders, Anthony B. 2 2000 Valuing American options by simulation: a simple least-squares approach. Zbl 1386.91144Longstaff, Francis A.; Schwartz, Eduardo S. 314 1993 all cited Publications top 5 cited Publications all top 5 Cited by 620 Authors 12 Oosterlee, Cornelis Willebrordus 12 Schoenmakers, John G. M. 11 Belomestny, Denis 8 Bender, Christian 6 Bayer, Christian 5 Ludkovski, Michael 5 Zhu, Songping 4 Langrené, Nicolas 4 Pagès, Gilles 4 Zanette, Antonino 4 Zanger, Daniel Z. 3 Bally, Vlad 3 Brigo, Damiano 3 Carmona, René A. 3 Crepey, Stephane 3 Grzelak, Lech A. 3 Juneja, Sandeep 3 Kohler, Michael 3 Ladkau, Marcel 3 Levendorskiĭ, Sergeĭ Zakharovich 3 Milstein, Grigori N. 3 Sabino, Piergiacomo 3 Schweizer, Nikolaus 3 Warin, Xavier 3 Xu, Wei (David) 2 Agarwal, Ankush 2 Aitsahlia, Farid 2 Albanese, Claudio 2 Areal, Nelson 2 Bacinello, Anna Rita 2 Bayraktar, Erhan 2 Becker, Sebastian 2 Ben-Ameur, Hatem 2 Broadie, Mark N. 2 Caramellino, Lucia 2 Cheridito, Patrick 2 Chevalier, Etienne 2 Cortés López, Juan Carlos 2 de Graaf, Cornelis S. L. 2 Dickmann, Fabian 2 Duck, Peter W. 2 El Otmani, Mohamed 2 Feng, Qian 2 Glasserman, Paul 2 Glau, Kathrin 2 Gobet, Emmanuel 2 Goswami, Manisha 2 Goudenège, Ludovic 2 Guha, Suchandan 2 Guo, Ivan 2 Hambly, Ben M. 2 Hong, Liu Jeff 2 Hu, Wenbin 2 Hung, Mao-wei 2 Jain, Shashi 2 Jentzen, Arnulf 2 Jódar Sanchez, Lucas Antonio 2 Joshi, Mark S. 2 Kandhai, Drona 2 Leitao, Álvaro 2 Li, Jinghuan 2 Li, Minqiang 2 Li, Yu 2 Loeper, Grégoire 2 Lu, Xiaoping 2 Mikael, Joseph 2 Millossovich, Pietro 2 Molent, Andrea 2 Morimoto, Yusuke 2 Peng, Qidi 2 Perninge, Magnus 2 Pham, Huyên 2 Pietersz, Raoul 2 Pironneau, Olivier 2 Población, Javier 2 Redmann, Martin 2 Rodrigues, Artur 2 Russo, Francesco 2 Schellhorn, Henry 2 Schoutens, Wim 2 Serna, Gregorio 2 Sevilla-Peris, Pablo 2 Shevchenko, Pavel V. 2 Song, Haiming 2 Tempone, Raúl F. 2 Touzi, Nizar 2 van der Stoep, Anthonie W. 2 Wang, Xingchun 2 Yap, N. 2 Zhang, Jianfeng 2 Zhang, Shuhua 1 Abbas-Turki, Lokman A. 1 Adelmann, Maximilian 1 Ahn, Seryoong 1 Aingworth, Donald D. 1 Aiube, Fernando Antonio Lucena 1 Aksoy, Ümit 1 Alanko, Samu 1 Alkhatib, Ali 1 Anderluh, J. H. M. ...and 520 more Authors all top 5 Cited in 99 Serials 62 Quantitative Finance 22 International Journal of Theoretical and Applied Finance 14 International Journal of Computer Mathematics 13 Applied Mathematical Finance 13 Mathematical Finance 12 Finance and Stochastics 11 Review of Derivatives Research 9 SIAM Journal on Financial Mathematics 8 Computational Management Science 6 Annals of Operations Research 6 Methodology and Computing in Applied Probability 6 European Actuarial Journal 5 Stochastic Analysis and Applications 5 The Annals of Applied Probability 5 Computational Economics 5 Mathematical Methods of Operations Research 5 Decisions in Economics and Finance 3 Communications in Statistics. Theory and Methods 3 Stochastics 2 Journal of Optimization Theory and Applications 2 Mathematics of Operations Research 2 SIAM Journal on Control and Optimization 2 European Journal of Applied Mathematics 2 Japan Journal of Industrial and Applied Mathematics 2 Discrete Event Dynamic Systems 2 SIAM Journal on Scientific Computing 2 Bernoulli 2 Mathematical Problems in Engineering 2 Discrete Dynamics in Nature and Society 2 The ANZIAM Journal 2 Journal of Applied Mathematics 2 ASTIN Bulletin 2 Asia-Pacific Financial Markets 2 Journal of Industrial and Management Optimization 2 MathematicS In Action 2 Decision Analysis 2 East Asian Journal on Applied Mathematics 1 Acta Informatica 1 Applicable Analysis 1 Communications on Pure and Applied Mathematics 1 Mathematical Methods in the Applied Sciences 1 Physica A 1 Theory of Probability and its Applications 1 Acta Mathematica Vietnamica 1 Applied Mathematics and Computation 1 BIT 1 Mathematics and Computers in Simulation 1 Naval Research Logistics 1 Operations Research 1 SIAM Journal on Numerical Analysis 1 Acta Mathematicae Applicatae Sinica. English Series 1 Numerical Methods for Partial Differential Equations 1 Asia-Pacific Journal of Operational Research 1 Applied Mathematics Letters 1 Mathematical and Computer Modelling 1 Journal of Scientific Computing 1 Economics Letters 1 Communications in Statistics. Simulation and Computation 1 Computational Optimization and Applications 1 Applied Mathematics. Series B (English Edition) 1 Annales Mathématiques Blaise Pascal 1 Monte Carlo Methods and Applications 1 ACM Transactions on Modeling and Computer Simulation 1 INFORMS Journal on Computing 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Soft Computing 1 Journal of Applied Statistics 1 Computational Geosciences 1 Probability in the Engineering and Informational Sciences 1 Optimization and Engineering 1 Applied Stochastic Models in Business and Industry 1 International Game Theory Review 1 Scandinavian Actuarial Journal 1 Journal of Systems Science and Complexity 1 Journal of Machine Learning Research (JMLR) 1 Sādhanā 1 OR Spectrum 1 Advances in Difference Equations 1 Networks and Spatial Economics 1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 1 Mathematics and Financial Economics 1 Optimization Letters 1 AStA. Advances in Statistical Analysis 1 The Annals of Applied Statistics 1 Pesquisa Operacional 1 Mathematical Programming Computation 1 Advances in Decision Sciences 1 Dynamic Games and Applications 1 Statistics and Computing 1 Annals of Finance 1 Journal of Mathematics in Industry 1 Palestine Journal of Mathematics 1 Stochastic Systems 1 Journal of the Operations Research Society of China 1 SIAM/ASA Journal on Uncertainty Quantification 1 Journal of Function Spaces 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 Korean Journal of Mathematics 1 Frontiers of Mathematical Finance all top 5 Cited in 18 Fields 284 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 144 Probability theory and stochastic processes (60-XX) 122 Numerical analysis (65-XX) 42 Operations research, mathematical programming (90-XX) 35 Statistics (62-XX) 27 Systems theory; control (93-XX) 19 Partial differential equations (35-XX) 13 Calculus of variations and optimal control; optimization (49-XX) 9 Computer science (68-XX) 4 Approximations and expansions (41-XX) 3 Ordinary differential equations (34-XX) 2 Integral transforms, operational calculus (44-XX) 1 Combinatorics (05-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year