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Options, futures & other derivatives
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Options, futures & other derivatives (2003)Options, futures & other derivatives‘The formula that killed Wall Street’: The Gaussian copula and modelling practices in investment banking (2014)‘The formula that killed Wall…Natural gas storage valuation and optimization: A real options application (2009)Natural gas storage valuation…Multicriteria decision making (mcdm): a framework for research and applications (2009)Multicriteria decision making…Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff (2009)Analysing multi-level Monte C…The Performance and Risk Management Implications of Multinationality: An Industry Perspective (2007)The Performance and Risk Mana…Portfolio selection with uncertain exit time: A robust CVaR approach (2007)Portfolio selection with unce…Active portfolio management with benchmarking: Adding a value-at-risk constraint (2007)Active portfolio management w…Measuring Flexibility in Investment Decisions for Manufacturing Systems (2006)Measuring Flexibility in Inve…Is Economics Performative? 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Benefits, Limitations, and Best Practices When Combining Metaheuristics with Simulation (2017)ANALYTICAL HIERARCHY PROCESS (AHP) AND ANALYTIC NETWORK PROCESS METHODS AND THEIR APPLICATIONS: A TWENTY YEAR REVIEW FROM 2000-2019 (2020)Language and Symbolic Power. (1992)From performativity to political economy: index investing, ETFs and asset manager capitalism (2015)The United States Department of Agriculture (1912)A Theory of the Term Structure of Interest Rates (1985)A selected review of agricultural commodity futures and options markets (2004)AnN‐factor Gaussian model of oil futures prices (2006)The valuation of multidimensional American real options using the LSM simulation method (2006)MITI and the Japanese Miracle (1982)Laboratory Life: The Construction of Scientific Facts (1986)The Knowledge-Creating Company (1995)Prophecy and the near future: Thoughts on macroeconomic, evangelical, and punctuated time (2007)Economization, part 2: a research programme for the study of markets (2010)Imagined futures: fictional expectations in the economy (2013)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2008)An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)First order strong approximations of scalar SDEs defined in a domain (2014)“Options, Futures, and Other Derivatives” (2016)
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  • 2006Is Economics Performative? Option Theory and the Construction of Derivatives Markets473 cited
  • 2002Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis330 cited
  • 2004The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics290 cited
  • 2002Modeling seasonality in agricultural commodity futures248 cited
  • 2003The Temporalities of the Market207 cited
  • 2005Convergence of Monte Carlo simulations involving the mean-reverting square root process162 cited
  • 2014‘The formula that killed Wall Street’: The Gaussian copula and modelling practices in investment banking158 cited
  • 2009Natural gas storage valuation and optimization: A real options application156 cited
  • 2009Multicriteria decision making (mcdm): a framework for research and applications104 cited
  • 2006Measuring Flexibility in Investment Decisions for Manufacturing Systems95 cited
  • 2007Active portfolio management with benchmarking: Adding a value-at-risk constraint81 cited
  • 2007Portfolio selection with uncertain exit time: A robust CVaR approach81 cited
  • 2009Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff78 cited

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2004
Early detection of insider trading in option markets
72 cited
  • 2007The Performance and Risk Management Implications of Multinationality: An Industry Perspective69 cited
  • 2006Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach65 cited