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Author ID: schoutens.wim Recent zbMATH articles by "Schoutens, Wim"
Published as: Schoutens, Wim; Schoutens, W.
Homepage: http://www.schoutens.be/
External Links: MGP

Publications by Year

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 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