Martin Widdicks

Finance · 2003–2007

A researcher in the Science corpus: 3 papers; trusts 6 researchers and is trusted by 1 researcher here, as inferred from the citation graph.

Subfields

• Finance — 8 citations into it; #9,357 of 10,518 by trust here, #6,419 by citations

Whom Martin Widdicks trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Francis A. Longstaff
2. Leif Andersen
3. Manuel Moreno
4. Ari D. Andricopoulos

Who trusts Martin Widdicks overall

1. Sam D. Howison
2. Mengdi Gu
3. Yipeng Yang
4. Ari D. Andricopoulos

Papers from Martin Widdicks's perspective

Ordered by how strongly the researchers Martin Widdicks trusts endorse each paper. Same corpus, a different order for every researcher.

1. Valuing American Options by Simulation: A Simple Least-Squares Approach
2. The Pricing of Options and Corporate Liabilities
3. Monte Carlo Methods in Financial Engineering
4. Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (Management Sciences)
5. Pricing Financial Instruments: The Finite Difference Method
6. Universal option valuation using quadrature methods
7. On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives
8. American options on assets with dividends near expiry
9. On optimal stopping and free boundary problems
10. Post-'87 crash fears in the S&P 500 futures option market

Their papers

• Extending quadrature methods to value multi-asset and complex path dependent options (2007) — 61 citations
• THE BLACK‐SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS (2005) — 52 citations
• Universal option valuation using quadrature methods (2003) — 149 citations