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Estimation of Travel Time Distribution and Travel Time Derivatives
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Estimation of Travel Time Distribution and Travel Time Derivatives (2014)Estimation of Travel Time Distribution an…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The volatility of temperature and pricing of weather derivatives (2007)The volatility of temperature…Nonparametric estimation of copula functions for dependence modelling (2007)Nonparametric estimation of c…On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables (2006)On the relationship between S…Maximum likelihood estimation of stochastic volatility models (2006)Maximum likelihood estimation…Estimating Path Travel-Time Reliability (2006)Estimating Path Travel-Time R…A discrete optimization approach for locating Automatic Vehicle Identification readers for the provision of roadway travel times (2006)A discrete optimization appro…Optimal routing policy problems in stochastic time-dependent networks (2005)Optimal routing policy proble…Delay-function-based link models: their properties and computational issues (2005)Delay-function-based link mod…Copula Methods in Finance (2004)Copula Methods in FinanceDynamic and stochastic shortest path in transportation networks with two components of travel time uncertainty (2003)Dynamic and stochastic shorte…Constructing a Market, Performing Theory: The Historical Sociology of a Financial Derivatives Exchange (2003)Constructing a Market, Perfor…A Whole-Link Travel-Time Model with Desirable Properties (2003)A Whole-Link Travel-Time Mode…Stochastic Calculus and Financial Applications (2001)Stochastic Calculus and Finan…An Introduction to Copulas (1999)An Introduction to CopulasFixed Income Markets and their Derivatives. (1997)Fixed Income Markets and thei…Generalized autoregressive conditional heteroskedasticity (1986)Weather Forecasting for Weather Derivatives (2005)Brownian Motion and Stochastic Calculus (2007)Putting a Price on Temperature* (2007)Option pricing with mean reversion and stochastic volatility (2008)The Implied Market Price of Weather Risk (2011)The Fastest Path through a Network with Random Time-Dependent Travel Times (1986)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Least Expected Time Paths in Stochastic, Time-Varying Transportation Networks (2000)On Modelling Route Choice Sets in Transportation Networks: A Synthesis (2008)Adaptive route choices in risky traffic networks: A prospect theory approach (2009)Constraint reformulation and a Lagrangian relaxation-based solution algorithm for a least expected time path problem (2013)Ordinal Measures of Association (1958)On Nonparametric Measures of Dependence for Random Variables (1981)Multivariate non-normally distributed random variables in climate research – introduction to the copula approach (2008)Test-retest reliability of the eating disorder examination-questionnaire (EDE-Q) in a college sample (2013)Power outages and firm performance in Sub-Saharan Africa (2018)The Pricing of Options and Corporate Liabilities (1973)How To Do Things With Words (1975)Economic Action and Social Structure: The Problem of Embeddedness (1985)The Impact of Social Structure on Economic Outcomes (2005)10 Sociomateriality: Challenging the Separation of Technology, Work and Organization (2008)Smart tourism: foundations and developments (2015)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Price of Correlation Risk: Evidence from Equity Options (2009)Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (2010)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Bandwagons and Momentum in Sequential Voting (2007)The Knowledge Gradient Algorithm for a General Class of Online Learning Problems (2012)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model (2003)Search and endogenous concentration of liquidity in asset markets (2006)Interest‐Rate Modelling (2014)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2003Constructing a Market, Performing Theory: The Historical Sociology of a Financial Derivatives Exchange1,463 cited
  • 2006Maximum likelihood estimation of stochastic volatility models538 cited
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  • 2006On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables218 cited
  • 2007The volatility of temperature and pricing of weather derivatives172 cited
  • 2007Nonparametric estimation of copula functions for dependence modelling164 cited
  • 2006Estimating Path Travel-Time Reliability105 cited
  • 2006A discrete optimization approach for locating Automatic Vehicle Identification readers for the provision of roadway travel times92 cited
  • 2003Dynamic and stochastic shortest path in transportation networks with two components of travel time uncertainty83 cited
  • 2005Delay-function-based link models: their properties and computational issues

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74 cited
  • 2003A Whole-Link Travel-Time Model with Desirable Properties71 cited
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