Edit Profile (opens in new tab) Schwartz, Eduardo S. Compute Distance To: Compute Author ID: schwartz.eduardo-s Published as: Schwartz, Eduardo S.; Schwartz, Eduardo; Schwartz, E. more...less Documents Indexed: 18 Publications since 1993 Co-Authors: 17 Co-Authors with 17 Joint Publications 277 Co-Co-Authors all top 5 Co-Authors 0 single-authored 4 Rachev, Svetlozar T. 3 Cortazar, Gonzalo 2 Brennan, Michael J. 2 Ortobelli, Sergio 2 Tokat, Yesim 1 Hsu, Jason C. 1 Huber, Isabella 1 Khindanova, Irina N. 1 Lagnado, Ronald 1 Longstaff, Francis A. 1 Löwener, Andrés 1 Lucia, Julio J. 1 Miltersen, Kristian R. 1 Mittnik, Stefan 1 Nielsen, Martin J. 1 Salinas, Marcelo 1 Zozaya-Gorostiza, Carlos all top 5 Serials 3 Review of Derivatives Research 2 Journal of Economic Dynamics & Control 2 Mathematical Methods of Operations Research 1 Magnetohydrodynamics 1 Management Science 1 Insurance Mathematics & Economics 1 Mathematical and Computer Modelling 1 International Transactions in Operational Research 1 AStA. Allgemeines Statistisches Archiv 1 Review of Finance 1 The Review of Financial Studies all top 5 Fields 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Probability theory and stochastic processes (60-XX) 2 Operations research, mathematical programming (90-XX) 1 Statistics (62-XX) 1 Fluid mechanics (76-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Biology and other natural sciences (92-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 16 Publications have been cited 583 times in 548 Documents Cited by ▼ Year ▼ Valuing American options by simulation: a simple least-squares approach. Zbl 1386.91144Longstaff, Francis A.; Schwartz, Eduardo S. 314 1993 Electricity prices and power derivatives: evidence from the Nordic Power Exchange. Zbl 1064.91508Lucia, Julio J.; Schwartz, Eduardo S. 113 2002 Strategic asset allocation. Zbl 0901.90008Brennan, Michael J.; Schwartz, Eduardo S.; Lagnado, Ronald 77 1997 R&D investments with competitive interactions. Zbl 1111.91319Miltersen, Kristian R.; Schwartz, Eduardo S. 12 2004 Evaluating environmental investments: a real options approach. Zbl 0989.91532Cortazar, Gonzalo; Schwartz, Eduardo S.; Salinas, Marcelo 10 1998 Theory of storage and the pricing of commodity claims. Zbl 1090.91029Nielsen, Martin J.; Schwartz, Eduardo S. 9 2004 The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach. Zbl 1178.91181Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo S. 9 2003 Portfolio selection with stable distributed returns. Zbl 1052.91053Ortobelli, Sergio; Huber, Isabella; Schwartz, Eduardo 8 2002 A model of R&D valuation and the design of research incentives. Zbl 1152.91688Hsu, Jason C.; Schwartz, Eduardo S. 7 2008 Stable modeling of value at risk. Zbl 1008.91063Khindanova, I.; Rachev, S.; Schwartz, E. 6 2001 The impact of fat tailed returns on asset allocation. Zbl 1035.91035Tokat, Yesim; Schwartz, Eduardo S. 5 2002 Implementing a real option model for valuing an undeveloped oil field. Zbl 0885.90074Cortazar, Gonzalo; Schwartz, Eduardo S. 5 1997 Value-at-risk and asset allocation with stable return distributions. Zbl 1177.62123Mittnik, Stefan; Rachev, Svetlozar; Schwartz, Eduardo 3 2002 The use of treasury bill futures in strategic asset allocation programs. Zbl 0945.91019Brennan, Michael J.; Schwartz, Eduardo S. 3 1998 The problem of optimal asset allocation with stable distributed returns. Zbl 1106.91034Rachev, Svetlozar; Ortobelli, Sergio; Schwartz, Eduardo 1 2004 Evaluating investments in disruptive technologies. Zbl 1051.91511Schwartz, Eduardo S.; Zozaya-Gorostiza, Carlos 1 2002 A model of R&D valuation and the design of research incentives. Zbl 1152.91688Hsu, Jason C.; Schwartz, Eduardo S. 7 2008 R&D investments with competitive interactions. Zbl 1111.91319Miltersen, Kristian R.; Schwartz, Eduardo S. 12 2004 Theory of storage and the pricing of commodity claims. Zbl 1090.91029Nielsen, Martin J.; Schwartz, Eduardo S. 9 2004 The problem of optimal asset allocation with stable distributed returns. Zbl 1106.91034Rachev, Svetlozar; Ortobelli, Sergio; Schwartz, Eduardo 1 2004 The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach. Zbl 1178.91181Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo S. 9 2003 Electricity prices and power derivatives: evidence from the Nordic Power Exchange. Zbl 1064.91508Lucia, Julio J.; Schwartz, Eduardo S. 113 2002 Portfolio selection with stable distributed returns. Zbl 1052.91053Ortobelli, Sergio; Huber, Isabella; Schwartz, Eduardo 8 2002 The impact of fat tailed returns on asset allocation. Zbl 1035.91035Tokat, Yesim; Schwartz, Eduardo S. 5 2002 Value-at-risk and asset allocation with stable return distributions. Zbl 1177.62123Mittnik, Stefan; Rachev, Svetlozar; Schwartz, Eduardo 3 2002 Evaluating investments in disruptive technologies. Zbl 1051.91511Schwartz, Eduardo S.; Zozaya-Gorostiza, Carlos 1 2002 Stable modeling of value at risk. Zbl 1008.91063Khindanova, I.; Rachev, S.; Schwartz, E. 6 2001 Evaluating environmental investments: a real options approach. Zbl 0989.91532Cortazar, Gonzalo; Schwartz, Eduardo S.; Salinas, Marcelo 10 1998 The use of treasury bill futures in strategic asset allocation programs. Zbl 0945.91019Brennan, Michael J.; Schwartz, Eduardo S. 3 1998 Strategic asset allocation. Zbl 0901.90008Brennan, Michael J.; Schwartz, Eduardo S.; Lagnado, Ronald 77 1997 Implementing a real option model for valuing an undeveloped oil field. Zbl 0885.90074Cortazar, Gonzalo; Schwartz, Eduardo S. 5 1997 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 1,004 Authors 14 Oosterlee, Cornelis Willebrordus 13 Benth, Fred Espen 12 Schoenmakers, John G. M. 11 Belomestny, Denis 8 Bender, Christian 6 Bayer, Christian 6 Zhu, Songping 5 Fleten, Stein-Erik 5 Ludkovski, Michael 5 Sabino, Piergiacomo 4 Boyle, Phelim P. 4 Cartea, Álvaro 4 Duck, Peter W. 4 Grzelak, Lech A. 4 Guidolin, Massimo 4 Hinz, Juri 4 Kung, James J. 4 Langrené, Nicolas 4 Pagès, Gilles 4 Rachev, Svetlozar T. 4 Zanette, Antonino 4 Zanger, Daniel Z. 3 Bally, Vlad 3 Boomsma, Trine Krogh 3 Brigo, Damiano 3 Carmona, René A. 3 Crepey, Stephane 3 Geering, Hans Peter 3 Geman, Hélyette 3 Hambly, Ben M. 3 Herzog, Florian 3 Johnson, Paul V. 3 Juneja, Sandeep 3 Kohler, Michael 3 Ladkau, Marcel 3 Levendorskiĭ, Sergeĭ Zakharovich 3 Lindström, Erik 3 Mehrdoust, Farshid 3 Milstein, Grigori N. 3 Munk, Claus 3 Pflug, Georg Ch. 3 Prokopczuk, Marcel 3 Schwartz, Eduardo S. 3 Schweizer, Nikolaus 3 Thijssen, Jacco J. J. 3 Trigeorgis, Lenos 3 Vargiolu, Tiziano 3 Vázquez Cendón, Carlos 3 Warin, Xavier 3 Wozabal, David 3 Xu, Wei (David) 2 Agarwal, Ankush 2 Ahmadi, Zaniar 2 Aitsahlia, Farid 2 Albanese, Claudio 2 Areal, Nelson 2 Assa, Hirbod 2 Bacinello, Anna Rita 2 Barlow, Martin T. 2 Bayraktar, Erhan 2 Becker, Sebastian 2 Ben-Ameur, Hatem 2 Broadie, Mark N. 2 Caramellino, Lucia 2 Cerqueti, Roy 2 Cheridito, Patrick 2 Chevalier, Etienne 2 Chronopoulos, Michail 2 Cortazar, Gonzalo 2 Cortés López, Juan Carlos 2 Cufaro Petroni, Nicola 2 Cui, Yunwei 2 De Angelis, Tiziano 2 de Graaf, Cornelis S. L. 2 del Carmen Calvo-Garrido, Maria 2 Denault, Michel 2 Deschatre, Thomas 2 Dickmann, Fabian 2 Dondi, Gabriel 2 Dyer, James S. 2 El Otmani, Mohamed 2 Elliott, Robert James 2 Evatt, Geoffrey W. 2 Fabozzi, Frank J. 2 Feng, Chunrong 2 Feng, Qian 2 Féron, Olivier 2 Ferrari, Giorgio 2 Figueroa, Marcelo G. 2 Foroush Bastani, Ali 2 Glasserman, Paul 2 Glau, Kathrin 2 Gobet, Emmanuel 2 Goswami, Manisha 2 Goudenège, Ludovic 2 Guha, Suchandan 2 Guo, Ivan 2 Haldrup, Niels 2 Hochreiter, Ronald 2 Honda, Toshiki ...and 904 more Authors all top 5 Cited in 132 Serials 84 Quantitative Finance 35 International Journal of Theoretical and Applied Finance 27 Journal of Economic Dynamics & Control 23 European Journal of Operational Research 22 Applied Mathematical Finance 16 Review of Derivatives Research 15 Mathematical Finance 14 International Journal of Computer Mathematics 13 Finance and Stochastics 12 Annals of Operations Research 11 Computational Management Science 10 SIAM Journal on Financial Mathematics 9 Mathematical Methods of Operations Research 8 Applied Mathematics and Computation 8 Journal of Computational and Applied Mathematics 8 Decisions in Economics and Finance 7 Stochastic Analysis and Applications 7 Computational Economics 7 Mathematics and Financial Economics 6 The Annals of Applied Probability 6 Methodology and Computing in Applied Probability 6 European Actuarial Journal 5 Journal of Optimization Theory and Applications 5 Computers & Operations Research 4 Journal of Econometrics 4 SIAM Journal on Control and Optimization 4 Insurance Mathematics & Economics 4 Computational Statistics and Data Analysis 4 Asia-Pacific Financial Markets 3 Physica A 3 European Journal of Applied Mathematics 3 Communications in Statistics. Simulation and Computation 3 Communications in Statistics. Theory and Methods 3 Mathematical Problems in Engineering 3 Probability in the Engineering and Informational Sciences 3 The ANZIAM Journal 3 Scandinavian Actuarial Journal 3 Stochastics 2 Journal of Mathematical Economics 2 Mathematics and Computers in Simulation 2 Mathematics of Operations Research 2 Operations Research 2 Applied Numerical Mathematics 2 Asia-Pacific Journal of Operational Research 2 Economics Letters 2 Japan Journal of Industrial and Applied Mathematics 2 Discrete Event Dynamic Systems 2 Computational Optimization and Applications 2 SIAM Journal on Scientific Computing 2 Bernoulli 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Soft Computing 2 Studies in Nonlinear Dynamics and Econometrics 2 Discrete Dynamics in Nature and Society 2 Journal of Systems Science and Complexity 2 Journal of Applied Mathematics 2 OR Spectrum 2 ASTIN Bulletin 2 North American Actuarial Journal 2 Journal of Industrial and Management Optimization 2 The Annals of Applied Statistics 2 MathematicS In Action 2 Statistics and Computing 2 Decision Analysis 2 East Asian Journal on Applied Mathematics 1 Acta Informatica 1 Advances in Applied Probability 1 Applicable Analysis 1 Communications on Pure and Applied Mathematics 1 Mathematical Methods in the Applied Sciences 1 Moscow University Mathematics Bulletin 1 Theory of Probability and its Applications 1 Acta Mathematica Vietnamica 1 Automatica 1 Journal of Applied Probability 1 Journal of Differential Equations 1 Journal of Economic Theory 1 Journal of Statistical Planning and Inference 1 Naval Research Logistics 1 SIAM Journal on Numerical Analysis 1 Journal of Information & Optimization Sciences 1 Statistics & Probability Letters 1 Physica D 1 Numerical Methods for Partial Differential Equations 1 Applied Mathematics Letters 1 Mathematical and Computer Modelling 1 Journal of Scientific Computing 1 Computational Statistics 1 Applied Mathematics. Series B (English Edition) 1 Journal of Mathematical Sciences (New York) 1 Annales Mathématiques Blaise Pascal 1 Monte Carlo Methods and Applications 1 Complexity 1 International Transactions in Operational Research 1 ACM Transactions on Modeling and Computer Simulation 1 INFORMS Journal on Computing 1 European Journal of Control 1 Computational Geosciences 1 Econometric Theory 1 Optimization and Engineering ...and 32 more Serials all top 5 Cited in 23 Fields 490 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 202 Probability theory and stochastic processes (60-XX) 128 Numerical analysis (65-XX) 90 Operations research, mathematical programming (90-XX) 76 Statistics (62-XX) 49 Systems theory; control (93-XX) 24 Partial differential equations (35-XX) 20 Calculus of variations and optimal control; optimization (49-XX) 10 Computer science (68-XX) 4 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-XX) 3 Operator theory (47-XX) 2 Ordinary differential equations (34-XX) 1 Combinatorics (05-XX) 1 Special functions (33-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) Citations by Year