Edit Profile (opens in new tab) Schoutens, Wim Co-Author Distance Author ID: schoutens.wim Published as: Schoutens, Wim; Schoutens, W. Homepage: http://www.schoutens.be/ External Links: MGP Documents Indexed: 80 Publications since 1998, including 6 Books 3 Contributions as Editor Co-Authors: 70 Co-Authors with 75 Joint Publications 1,534 Co-Co-Authors all top 5 Co-Authors 8 single-authored 23 Madan, Dilip B. 6 Corcuera, José Manuel 6 Guillaume, Florence 5 Linders, Daniël 4 De Spiegeleer, Jan 4 Dhaene, Jan 4 Nualart, David 4 Pistorius, Martijn R. 3 Decamps, Marc 3 Goovaerts, Marc J. 3 Jönsson, Henrik 3 Marquet, Ine 3 Wang, King-Hang 2 Albrecher, Hansjörg 2 Beirlant, Jan 2 Cariboni, Jessica 2 Carr, Peter Paul 2 Junike, Gero 2 Leoni, Peter 2 Luciano, Elisa 2 Reyners, Sofie 2 Van Assche, Walter 2 van Damme, Geert 2 Vyncke, David 1 Barrieu, Pauline M. 1 Burkovska, Olena 1 Campolongo, Francesca 1 Carbonez, An 1 Chernih, Andrew 1 De Schepper, Ann 1 Dony, Julia 1 Eberlein, Ernst W. 1 Fajardo, José 1 Farkas, Gergely 1 Ferreiro-Castilla, Albert 1 Fiorin, Lucio 1 Forys, M. B. 1 Gaß, Maximilian 1 Glau, Kathrin 1 Guerra, João M. E. 1 Herrmann, Klaus 1 Höcht, Stephan 1 Jacobs, Philippe 1 Kukush, Oleksandr Georgiĭovych 1 Kyprianou, Andreas E. 1 Ladoucette, Sophie A. 1 Lenin, R. B. 1 Mahlstedt, Mirco 1 Maj, Mateusz 1 Masol, Viktoriya V. 1 Mayer, Philipp A. 1 Melamed, Michael 1 Morales, Manuel 1 Parthasarathy, Panamalai Ramarao 1 Privault, Nicolas 1 Reynkens, Tom 1 Stassen, Ben 1 Stier, Hauke 1 Studer, Michael 1 Symens, Stijn 1 Teugels, Jozef L. 1 Tuerlinckx, Francis 1 Valdivia, Arturo 1 Valdivieso, Luis 1 Valkeila, Esko 1 Vanduffel, Steven 1 Veraverbeke, Noël 1 Wilmott, Paul 1 Wohlmuth, Barbara I. 1 Yor, Marc all top 5 Serials 12 International Journal of Theoretical and Applied Finance 10 Journal of Computational and Applied Mathematics 10 Quantitative Finance 5 Insurance Mathematics & Economics 4 Annals of Finance 3 Mathematics and Financial Economics 2 Journal of Mathematical Analysis and Applications 2 Applied Mathematical Finance 2 Mathematical Finance 2 Review of Derivatives Research 2 SpringerBriefs in Finance 2 Probability, Uncertainty and Quantitative Risk 1 Metrika 1 Applied Mathematics and Optimization 1 Journal of Optimization Theory and Applications 1 The Mathematical Scientist 1 Communications in Statistics. Stochastic Models 1 Stochastic Processes and their Applications 1 Stochastics and Stochastics Reports 1 Bernoulli 1 Finance and Stochastics 1 Statistical Inference for Stochastic Processes 1 Applied Stochastic Models in Business and Industry 1 Scandinavian Actuarial Journal 1 Lecture Notes in Statistics 1 Frontiers of Mathematical Finance all top 5 Fields 70 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 35 Probability theory and stochastic processes (60-XX) 14 Statistics (62-XX) 4 Special functions (33-XX) 2 General and overarching topics; collections (00-XX) 2 Number theory (11-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Numerical analysis (65-XX) 1 Combinatorics (05-XX) 1 Measure and integration (28-XX) 1 Functions of a complex variable (30-XX) 1 Partial differential equations (35-XX) 1 Integral equations (45-XX) 1 Computer science (68-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 74 Publications have been cited 1,104 times in 825 Documents Cited by ▼ Year ▼ Stochastic processes and orthogonal polynomials. Zbl 0960.60076 Schoutens, Wim 141 2000 Chaotic and predictable representations for Lévy processes. Zbl 1047.60088 Nualart, David; Schoutens, Wim 127 2000 Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance. Zbl 0991.60045 Nualart, David; Schoutens, Wim 95 2001 Lévy processes, polynomials and martingales. Zbl 0895.60050 Schoutens, Wim; Teugels, Jozef L. 74 1998 A multivariate jump-driven financial asset model. Zbl 1134.91446 Luciano, Elisa; Schoutens, Wim 55 2006 Lévy processes in credit risk. Zbl 1192.91008 Schoutens, Wim; Cariboni, Jessica 35 2009 Exotic option pricing and advanced Lévy models. Zbl 1140.91050 33 2005 Self exciting threshold interest rates models. Zbl 1140.91384 Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 30 2006 The herd behavior index: a new measure for the implied degree of co-movement in stock markets. Zbl 1237.91237 Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David 25 2012 Orthogonal polynomials in Stein’s method. Zbl 0984.62009 Schoutens, Wim 21 2001 Applied conic finance. Zbl 1350.91005 Madan, Dilip; Schoutens, Wim 21 2016 General lower bounds for arithmetic Asian option prices. Zbl 1134.91394 Albrecher, H.; Mayer, P. A.; Schoutens, W. 20 2008 Measuring and monitoring the efficiency of markets. Zbl 1395.91459 Madan, Dilip B.; Schoutens, Wim; Wang, King 20 2017 On the (in-)dependence between financial and actuarial risks. Zbl 1284.91226 Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; Schoutens, Wim; Stassen, Ben 20 2013 Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type. Zbl 1205.62124 Valdivieso, Luis; Schoutens, Wim; Tuerlinckx, Francis 19 2009 Asymmetric skew Bessel processes and their applications to finance. Zbl 1087.91022 Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 19 2006 Moment swaps. Zbl 1134.91461 Schoutens, Wim 18 2005 Exotic options under Lévy models: an overview. Zbl 1089.91029 Schoutens, Wim 18 2006 A risk model driven by Lévy processes. Zbl 1051.60051 Morales, Manuel; Schoutens, Wim 18 2003 A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421 Albrecher, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim 16 2007 Completion of a Lévy market by power-jump assets. Zbl 1063.91021 Corcuera, José Manuel; Nualart, David; Schoutens, Wim 16 2005 Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. Zbl 1406.91439 De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim 14 2018 Two price economies in continuous time. Zbl 1298.91086 Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc 13 2014 Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling. Zbl 1433.91184 Cariboni, Jessica; Schoutens, Wim 13 2009 Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450 Madan, Dilip B.; Schoutens, Wim 13 2011 Structured products equilibria in conic two price markets. Zbl 1264.91148 Madan, Dilip B.; Schoutens, Wim 13 2012 A multivariate dependence measure for aggregating risks. Zbl 1386.91172 Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David 12 2014 A note on the suboptimality of path-dependent pay-offs in Lévy markets. Zbl 1179.91085 Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; Schoutens, Wim 11 2009 Tenor specific pricing. Zbl 1262.91142 Madan, Dilip B.; Schoutens, Wim 11 2012 The pricing of exotic options by Monte-Carlo simulationsin a Lévy market with stochastic volatility. Zbl 1079.91042 Schoutens, Wim; Symens, Stijn 10 2003 Optimal investment in a Lévy market. Zbl 1099.91059 Corcuera, Jose Manuel; Guerra, Joao; Nualart, David; Schoutens, Wim 8 2006 Self-similarity in long-horizon returns. Zbl 1508.91583 Madan, Dilip B.; Schoutens, Wim 8 2020 FIX: the fear index – measuring market fear. Zbl 1296.91219 Dhaene, J.; Dony, J.; Forys, M. B.; Linders, D.; Schoutens, W. 7 2012 A framework for robust measurement of implied correlation. Zbl 1319.91159 Linders, Daniël; Schoutens, Wim 7 2014 Basket option pricing and implied correlation in a one-factor Lévy model. Zbl 1398.91605 Linders, Daniël; Schoutens, Wim 7 2016 A birth and death process related to the Rogers-Ramanujan continued fraction. Zbl 0920.60067 Parthasarathy, P. R.; Lenin, R. B.; Schoutens, W.; Van Assche, W. 6 1998 Conic finance and the corporate balance sheet. Zbl 1282.91370 Madan, Dilip B.; Schoutens, Wim 6 2011 A note on some new perpetuities. Zbl 1142.91038 Decamps, Marc; De Schepper, Ann; Goovaerts, Marc; Schoutens, Wim 5 2005 The \(\beta \)-variance gamma model. Zbl 1232.91713 Schoutens, Wim; Damme, Geert Van 5 2011 The valuation of structured products using Markov chain models. Zbl 1280.91172 Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim 5 2013 The \(\beta\)-Meixner model. Zbl 1237.91215 Ferreiro-Castilla, Albert; Schoutens, Wim 4 2012 Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao. Zbl 1262.91003 Campolongo, Francesca; Jönsson, Henrik; Schoutens, Wim 4 2013 Implied Lévy Volatility. Zbl 1181.91310 Corcuera, José Manuel; Guillaume, Florence; Leoni, Peter; Schoutens, Wim 4 2009 Pricing and hedging of CDO-squared tranches by using a one factor Lévy model. Zbl 1175.91179 Guillaume, Florence; Jacobs, Philippe; Schoutens, Wim 4 2009 Hedging under the Heston model with jump-to-default. Zbl 1153.91469 Carr, Peter; Schoutens, Wim 4 2008 Discrete chaotic calculus and covariance identities. Zbl 1007.60047 Privault, Nicolas; Schoutens, Wim 4 2002 A moment matching market implied calibration. Zbl 1281.91183 Guillaume, Florence; Schoutens, Wim 4 2013 Nonlinear valuation and non-Gaussian risks in finance. Zbl 1492.91008 Madan, Dilip B.; Schoutens, Wim 4 2022 A short rate model using ambit processes. Zbl 1270.91100 Corcuera, José Manuel; Farkas, Gergely; Schoutens, Wim; Valkeila, Esko 4 2013 Simple processes and the pricing and hedging of cliquets. Zbl 1282.91340 Madan, Dilip B.; Schoutens, Wim 4 2013 Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500 Madan, Dilip B.; Schoutens, Wim 4 2019 Lévy-Sheffer and iid-Sheffer polynomials with applications to stochastic integrals. Zbl 0929.60028 Schoutens, Wim 3 1998 Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. Zbl 1085.60051 Barrieu, Pauline; Schoutens, Wim 3 2006 Single name credit default swaptions meet single sided jump models. Zbl 1163.91434 Jönsson, Henrik; Schoutens, Wim 3 2008 Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches. Zbl 1213.91168 Masol, Viktoriya; Schoutens, Wim 3 2011 Equilibrium asset returns in financial markets. Zbl 1411.91520 Madan, Dilip B.; Schoutens, Wim 3 2019 The risk management of contingent convertible (CoCo) bonds. Zbl 1403.91006 De Spiegeleer, Jan; Marquet, Ine; Schoutens, Wim 3 2018 Birth and death processes, orthogonal polynomials and limiting conditional distributions. Zbl 0977.60084 Schoutens, Wim 2 2000 Heston model: the variance swap calibration. Zbl 1295.91086 Guillaume, Florence; Schoutens, Wim 2 2014 Hedging insurance books. Zbl 1371.91175 Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim 2 2016 Conic trading in a Markovian steady state. Zbl 1390.91304 Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim 2 2017 Errata to: “Instantaneous portfolio theory”. Zbl 1490.91189 Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim 2 2022 Dynamic conic hedging for competitiveness. Zbl 1404.91141 Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim 2 2016 Conic quantization: stochastic volatility and market implied liquidity. Zbl 1467.91183 Fiorin, Lucio; Schoutens, Wim 2 2020 Systemic risk tradeoffs and option prices. Zbl 1284.91552 Madan, Dilip B.; Schoutens, Wim 2 2013 Two processes for two prices. Zbl 1295.91092 Madan, Dilip B.; Schoutens, Wim 2 2014 Implied liquidity risk premia in option markets. Zbl 07075028 Guillaume, Florence; Junike, Gero; Leoni, Peter; Schoutens, Wim 2 2019 Modelling default and prepayment using Lévy processes: an application to asset backed securities. Zbl 1192.91093 Jönsson, Henrik; Schoutens, Wim; van Damme, Geert 1 2009 An application in stochastics of the Laguerre-type polynomials. Zbl 0983.60035 Schoutens, Wim 1 2001 Short-term risk management using stochastic Taylor expansions under Lévy models. Zbl 1028.60084 Schoutens, Wim; Studer, Michael 1 2003 Hunting for black swans in the European banking sector using extreme value analysis. Zbl 1368.91179 Beirlant, Jan; Schoutens, Wim; De Spiegeleer, Jan; Reynkens, Tom; Herrmann, Klaus 1 2016 Zero covariation returns. Zbl 1432.91106 Madan, Dilip B.; Schoutens, Wim 1 2018 The impact of a new CoCo issuance on the price performance of outstanding CoCos. Zbl 1398.91580 De Spiegeleer, Jan; Höcht, Stephan; Marquet, Ine; Schoutens, Wim 1 2016 Calibration to American options: numerical investigation of the de-americanization method. Zbl 1400.91581 Burkovska, O.; Gass, M.; Glau, K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B. 1 2018 Nonlinear valuation and non-Gaussian risks in finance. Zbl 1492.91008 Madan, Dilip B.; Schoutens, Wim 4 2022 Errata to: “Instantaneous portfolio theory”. Zbl 1490.91189 Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim 2 2022 Self-similarity in long-horizon returns. Zbl 1508.91583 Madan, Dilip B.; Schoutens, Wim 8 2020 Conic quantization: stochastic volatility and market implied liquidity. Zbl 1467.91183 Fiorin, Lucio; Schoutens, Wim 2 2020 Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500 Madan, Dilip B.; Schoutens, Wim 4 2019 Equilibrium asset returns in financial markets. Zbl 1411.91520 Madan, Dilip B.; Schoutens, Wim 3 2019 Implied liquidity risk premia in option markets. Zbl 07075028 Guillaume, Florence; Junike, Gero; Leoni, Peter; Schoutens, Wim 2 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 14 2018 The risk management of contingent convertible (CoCo) bonds. Zbl 1403.91006 De Spiegeleer, Jan; Marquet, Ine; Schoutens, Wim 3 2018 Zero covariation returns. Zbl 1432.91106 Madan, Dilip B.; Schoutens, Wim 1 2018 Calibration to American options: numerical investigation of the de-americanization method. Zbl 1400.91581 Burkovska, O.; Gass, M.; Glau, K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B. 1 2018 Measuring and monitoring the efficiency of markets. Zbl 1395.91459 Madan, Dilip B.; Schoutens, Wim; Wang, King 20 2017 Conic trading in a Markovian steady state. Zbl 1390.91304 Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim 2 2017 Applied conic finance. Zbl 1350.91005 Madan, Dilip; Schoutens, Wim 21 2016 Basket option pricing and implied correlation in a one-factor Lévy model. Zbl 1398.91605 Linders, Daniël; Schoutens, Wim 7 2016 Hedging insurance books. Zbl 1371.91175 Carr, Peter; Madan, Dilip B.; Melamed, Michael; Schoutens, Wim 2 2016 Dynamic conic hedging for competitiveness. Zbl 1404.91141 Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim 2 2016 Hunting for black swans in the European banking sector using extreme value analysis. Zbl 1368.91179 Beirlant, Jan; Schoutens, Wim; De Spiegeleer, Jan; Reynkens, Tom; Herrmann, Klaus 1 2016 The impact of a new CoCo issuance on the price performance of outstanding CoCos. Zbl 1398.91580 De Spiegeleer, Jan; Höcht, Stephan; Marquet, Ine; Schoutens, Wim 1 2016 Two price economies in continuous time. Zbl 1298.91086 Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc 13 2014 A multivariate dependence measure for aggregating risks. Zbl 1386.91172 Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David 12 2014 A framework for robust measurement of implied correlation. Zbl 1319.91159 Linders, Daniël; Schoutens, Wim 7 2014 Heston model: the variance swap calibration. Zbl 1295.91086 Guillaume, Florence; Schoutens, Wim 2 2014 Two processes for two prices. Zbl 1295.91092 Madan, Dilip B.; Schoutens, Wim 2 2014 On the (in-)dependence between financial and actuarial risks. Zbl 1284.91226 Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; Schoutens, Wim; Stassen, Ben 20 2013 The valuation of structured products using Markov chain models. Zbl 1280.91172 Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim 5 2013 Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao. Zbl 1262.91003 Campolongo, Francesca; Jönsson, Henrik; Schoutens, Wim 4 2013 A moment matching market implied calibration. Zbl 1281.91183 Guillaume, Florence; Schoutens, Wim 4 2013 A short rate model using ambit processes. Zbl 1270.91100 Corcuera, José Manuel; Farkas, Gergely; Schoutens, Wim; Valkeila, Esko 4 2013 Simple processes and the pricing and hedging of cliquets. Zbl 1282.91340 Madan, Dilip B.; Schoutens, Wim 4 2013 Systemic risk tradeoffs and option prices. Zbl 1284.91552 Madan, Dilip B.; Schoutens, Wim 2 2013 The herd behavior index: a new measure for the implied degree of co-movement in stock markets. Zbl 1237.91237 Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David 25 2012 Structured products equilibria in conic two price markets. Zbl 1264.91148 Madan, Dilip B.; Schoutens, Wim 13 2012 Tenor specific pricing. Zbl 1262.91142 Madan, Dilip B.; Schoutens, Wim 11 2012 FIX: the fear index – measuring market fear. Zbl 1296.91219 Dhaene, J.; Dony, J.; Forys, M. B.; Linders, D.; Schoutens, W. 7 2012 The \(\beta\)-Meixner model. Zbl 1237.91215 Ferreiro-Castilla, Albert; Schoutens, Wim 4 2012 Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450 Madan, Dilip B.; Schoutens, Wim 13 2011 Conic finance and the corporate balance sheet. Zbl 1282.91370 Madan, Dilip B.; Schoutens, Wim 6 2011 The \(\beta \)-variance gamma model. Zbl 1232.91713 Schoutens, Wim; Damme, Geert Van 5 2011 Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches. Zbl 1213.91168 Masol, Viktoriya; Schoutens, Wim 3 2011 Lévy processes in credit risk. Zbl 1192.91008 Schoutens, Wim; Cariboni, Jessica 35 2009 Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type. Zbl 1205.62124 Valdivieso, Luis; Schoutens, Wim; Tuerlinckx, Francis 19 2009 Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling. Zbl 1433.91184 Cariboni, Jessica; Schoutens, Wim 13 2009 A note on the suboptimality of path-dependent pay-offs in Lévy markets. Zbl 1179.91085 Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; Schoutens, Wim 11 2009 Implied Lévy Volatility. Zbl 1181.91310 Corcuera, José Manuel; Guillaume, Florence; Leoni, Peter; Schoutens, Wim 4 2009 Pricing and hedging of CDO-squared tranches by using a one factor Lévy model. Zbl 1175.91179 Guillaume, Florence; Jacobs, Philippe; Schoutens, Wim 4 2009 Modelling default and prepayment using Lévy processes: an application to asset backed securities. Zbl 1192.91093 Jönsson, Henrik; Schoutens, Wim; van Damme, Geert 1 2009 General lower bounds for arithmetic Asian option prices. Zbl 1134.91394 Albrecher, H.; Mayer, P. A.; Schoutens, W. 20 2008 Hedging under the Heston model with jump-to-default. Zbl 1153.91469 Carr, Peter; Schoutens, Wim 4 2008 Single name credit default swaptions meet single sided jump models. Zbl 1163.91434 Jönsson, Henrik; Schoutens, Wim 3 2008 A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421 Albrecher, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim 16 2007 A multivariate jump-driven financial asset model. Zbl 1134.91446 Luciano, Elisa; Schoutens, Wim 55 2006 Self exciting threshold interest rates models. Zbl 1140.91384 Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 30 2006 Asymmetric skew Bessel processes and their applications to finance. Zbl 1087.91022 Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 19 2006 Exotic options under Lévy models: an overview. Zbl 1089.91029 Schoutens, Wim 18 2006 Optimal investment in a Lévy market. Zbl 1099.91059 Corcuera, Jose Manuel; Guerra, Joao; Nualart, David; Schoutens, Wim 8 2006 Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. Zbl 1085.60051 Barrieu, Pauline; Schoutens, Wim 3 2006 Exotic option pricing and advanced Lévy models. Zbl 1140.91050 33 2005 Moment swaps. Zbl 1134.91461 Schoutens, Wim 18 2005 Completion of a Lévy market by power-jump assets. Zbl 1063.91021 Corcuera, José Manuel; Nualart, David; Schoutens, Wim 16 2005 A note on some new perpetuities. Zbl 1142.91038 Decamps, Marc; De Schepper, Ann; Goovaerts, Marc; Schoutens, Wim 5 2005 A risk model driven by Lévy processes. Zbl 1051.60051 Morales, Manuel; Schoutens, Wim 18 2003 The pricing of exotic options by Monte-Carlo simulationsin a Lévy market with stochastic volatility. Zbl 1079.91042 Schoutens, Wim; Symens, Stijn 10 2003 Short-term risk management using stochastic Taylor expansions under Lévy models. Zbl 1028.60084 Schoutens, Wim; Studer, Michael 1 2003 Discrete chaotic calculus and covariance identities. Zbl 1007.60047 Privault, Nicolas; Schoutens, Wim 4 2002 Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance. Zbl 0991.60045 Nualart, David; Schoutens, Wim 95 2001 Orthogonal polynomials in Stein’s method. Zbl 0984.62009 Schoutens, Wim 21 2001 An application in stochastics of the Laguerre-type polynomials. Zbl 0983.60035 Schoutens, Wim 1 2001 Stochastic processes and orthogonal polynomials. Zbl 0960.60076 Schoutens, Wim 141 2000 Chaotic and predictable representations for Lévy processes. Zbl 1047.60088 Nualart, David; Schoutens, Wim 127 2000 Birth and death processes, orthogonal polynomials and limiting conditional distributions. Zbl 0977.60084 Schoutens, Wim 2 2000 Lévy processes, polynomials and martingales. Zbl 0895.60050 Schoutens, Wim; Teugels, Jozef L. 74 1998 A birth and death process related to the Rogers-Ramanujan continued fraction. Zbl 0920.60067 Parthasarathy, P. R.; Lenin, R. B.; Schoutens, W.; Van Assche, W. 6 1998 Lévy-Sheffer and iid-Sheffer polynomials with applications to stochastic integrals. Zbl 0929.60028 Schoutens, Wim 3 1998 all cited Publications top 5 cited Publications all top 5 Cited by 1,113 Authors 45 Madan, Dilip B. 42 Schoutens, Wim 18 Wang, King-Hang 14 Linders, Daniël 13 Leonenko, Nikolai N. 12 El Otmani, Mohamed 12 Ren, Yong 9 Bryc, Włodzimierz 9 Guillaume, Florence 9 Øksendal, Bernt Karsten 8 Eberlein, Ernst W. 8 Wang, Yongjin 8 Zhang, Xinsheng 7 Dhaene, Jan 7 Gaunt, Robert Edward 7 Kachanovsky, Nikolai A. 7 Morales, Manuel 7 Schwab, Christoph 7 Semeraro, Patrizia 7 Vanduffel, Steven 7 Wesołowski, Jacek 6 Ahn, Jae Youn 6 Lejay, Antoine 6 Proske, Frank Norbert 6 Song, Shiyu 6 Wang, Xiangrong 6 Yor, Marc 5 Bernard, Carole L. 5 Elliott, Robert James 5 Hu, Lanying 5 Huang, Hong 5 Ivanov, Roman V. 5 Li, Lingfei 5 Long, Hongwei 5 Lytvynov, Eugene W. 5 Parthasarathy, Panamalai Ramarao 5 Pistorius, Martijn R. 5 Shimizu, Yasutaka 5 Xu, Guangli 5 Zhang, Shibin 4 Aman, Auguste 4 Cheung, Ka Chun 4 Corcuera, José Manuel 4 Di Nunno, Giulia 4 Di Tella, Paolo 4 Domínguez de la Iglesia, Manuel 4 Dominici, Diego Ernesto 4 Itkin, Andrey 4 Jamali, Mohamed El 4 Kawai, Reiichiro 4 Luciano, Elisa 4 Mai, Jan-Frederik 4 Mendoza-Arriaga, Rafael 4 Mijatović, Aleksandar 4 Pigato, Paolo 4 Pommeret, Denys 4 Rüschendorf, Ludger 4 Scherer, Matthias 4 Šuvak, Nenad 4 Tang, Maoning 4 Tassinari, Gian Luca 4 Taufer, Emanuele 4 Utzet, Frederic 3 Ascione, Giacomo 3 Ballotta, Laura 3 Bianchi, Michele Leonardo 3 Bozejko, Marek 3 Cui, Zhenyu 3 Deelstra, Griselda 3 Delong, Łukasz 3 Di Persio, Luca 3 Engelbert, Hans-Jürgen 3 Ferreiro-Castilla, Albert 3 Fung, Thomas 3 Gong, Xiaoli 3 Goudenège, Ludovic 3 Hainaut, Donatien 3 Hu, Yaozhong 3 Karniadakis, George Em 3 Khelfallah, Nabil 3 Konzou, Essomanda 3 Kuznetsov, Alexey 3 Kwok, Yue-Kuen 3 Kyprianou, Andreas E. 3 Lee, Woojoo 3 Lenin, R. B. 3 Løkka, Arne 3 Lu, Junxiang 3 Lucor, Didier 3 Maller, Ross Arthur 3 Mamon, Rogemar S. 3 Marena, Marina 3 Marfe, Roberto 3 Meng, Qingxin 3 Menoukeu Pamen, Olivier 3 Mishura, Yuliya Stepanivna 3 Molent, Andrea 3 Novikov, Aleksandr Aleksandrovich 3 Yolcu Okur, Yeliz 3 Oosterlee, Cornelis Willebrordus ...and 1,013 more Authors all top 5 Cited in 212 Serials 54 Quantitative Finance 49 International Journal of Theoretical and Applied Finance 42 Insurance Mathematics & Economics 41 Journal of Computational and Applied Mathematics 24 Stochastic Processes and their Applications 21 Stochastics 16 Statistics & Probability Letters 13 Journal of Computational Physics 13 Finance and Stochastics 12 Journal of Mathematical Analysis and Applications 12 Infinite Dimensional Analysis, Quantum Probability and Related Topics 11 Stochastic Analysis and Applications 11 Journal of Theoretical Probability 11 Review of Derivatives Research 11 Annals of Finance 10 Applied Mathematical Finance 10 SIAM Journal on Financial Mathematics 9 Physica A 9 European Journal of Operational Research 9 Mathematical Finance 8 Methodology and Computing in Applied Probability 7 Journal of Applied Probability 7 Journal of Multivariate Analysis 7 Communications in Statistics. Theory and Methods 7 Bernoulli 7 Mathematical Problems in Engineering 7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 7 ASTIN Bulletin 7 North American Actuarial Journal 7 Mathematics and Financial Economics 6 The Annals of Probability 6 Journal of Statistical Planning and Inference 6 The Annals of Applied Probability 6 Electronic Journal of Probability 6 Scandinavian Actuarial Journal 6 Carpathian Mathematical Publications 6 Probability, Uncertainty and Quantitative Risk 6 Frontiers of Mathematical Finance 5 Advances in Applied Probability 5 Applied Mathematics and Computation 5 Journal of Functional Analysis 5 Journal of Optimization Theory and Applications 5 Transactions of the American Mathematical Society 5 Random Operators and Stochastic Equations 5 Discrete Dynamics in Nature and Society 5 Statistical Inference for Stochastic Processes 5 Journal of Systems Science and Complexity 5 Advances in Difference Equations 5 Dependence Modeling 4 Journal of Statistical Physics 4 Theory of Probability and its Applications 4 Applied Mathematics and Optimization 4 Journal of Econometrics 4 Theory of Probability and Mathematical Statistics 4 Brazilian Journal of Probability and Statistics 4 Decisions in Economics and Finance 4 Asia-Pacific Financial Markets 4 Probability Surveys 4 Science China. Mathematics 3 Lithuanian Mathematical Journal 3 Chaos, Solitons and Fractals 3 Journal of Applied Mathematics and Stochastic Analysis 3 Annals of Operations Research 3 International Journal of Computer Mathematics 3 Mathematical Methods of Operations Research 3 Comptes Rendus. Mathématique. Académie des Sciences, Paris 3 Modern Stochastics. Theory and Applications 2 Communications in Mathematical Physics 2 Computer Methods in Applied Mechanics and Engineering 2 International Journal of Control 2 Journal of Mathematical Physics 2 Annals of the Institute of Statistical Mathematics 2 The Annals of Statistics 2 International Journal for Numerical Methods in Engineering 2 Mathematics and Computers in Simulation 2 Mathematics of Operations Research 2 Proceedings of the American Mathematical Society 2 Acta Mathematicae Applicatae Sinica. English Series 2 Probability Theory and Related Fields 2 Constructive Approximation 2 Numerical Methods for Partial Differential Equations 2 Applied Mathematics Letters 2 Communications in Statistics. Simulation and Computation 2 Journal of Statistical Computation and Simulation 2 Expositiones Mathematicae 2 SIAM Journal on Scientific Computing 2 Applied Mathematics. Series B (English Edition) 2 Computational and Applied Mathematics 2 Electronic Communications in Probability 2 Journal of Inequalities and Applications 2 Acta Mathematica Sinica. English Series 2 Probability in the Engineering and Informational Sciences 2 Applied Stochastic Models in Business and Industry 2 The ANZIAM Journal 2 Stochastics and Dynamics 2 Mediterranean Journal of Mathematics 2 Journal of the Korean Statistical Society 2 Sankhyā. Series A 2 European Actuarial Journal 2 Journal of Mathematics in Industry ...and 112 more Serials all top 5 Cited in 44 Fields 535 Probability theory and stochastic processes (60-XX) 427 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 171 Statistics (62-XX) 92 Numerical analysis (65-XX) 45 Systems theory; control (93-XX) 44 Special functions (33-XX) 44 Partial differential equations (35-XX) 27 Calculus of variations and optimal control; optimization (49-XX) 24 Functional analysis (46-XX) 19 Harmonic analysis on Euclidean spaces (42-XX) 17 Computer science (68-XX) 15 Operator theory (47-XX) 15 Operations research, mathematical programming (90-XX) 13 Fluid mechanics (76-XX) 10 Ordinary differential equations (34-XX) 10 Integral transforms, operational calculus (44-XX) 10 Statistical mechanics, structure of matter (82-XX) 9 Integral equations (45-XX) 8 Combinatorics (05-XX) 8 Number theory (11-XX) 7 Approximations and expansions (41-XX) 6 Measure and integration (28-XX) 5 Linear and multilinear algebra; matrix theory (15-XX) 5 Biology and other natural sciences (92-XX) 4 Functions of a complex variable (30-XX) 4 Quantum theory (81-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Nonassociative rings and algebras (17-XX) 2 Real functions (26-XX) 1 History and biography (01-XX) 1 Field theory and polynomials (12-XX) 1 Commutative algebra (13-XX) 1 Algebraic geometry (14-XX) 1 Group theory and generalizations (20-XX) 1 Topological groups, Lie groups (22-XX) 1 Difference and functional equations (39-XX) 1 Sequences, series, summability (40-XX) 1 Differential geometry (53-XX) 1 General topology (54-XX) 1 Mechanics of particles and systems (70-XX) 1 Optics, electromagnetic theory (78-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year