R. Koekkoek

Finance · 2010

A researcher in the Science corpus: 1 paper; trusts 2 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 12 citations into it; #6,234 of 10,518 by trust here, #6,960 by citations

Whom R. Koekkoek trusts overall

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

1. Mark Broadie
2. Christian Kahl

Who trusts R. Koekkoek overall

1. Nicola Bruti-Liberati
2. Bin Chen

Papers from R. Koekkoek's perspective

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

1. Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (Operational Research)
2. Moment explosions in stochastic volatility models (Finance and Stochastics)
3. Monte Carlo methods in finance
4. Fast strong approximation Monte Carlo schemes for stochastic volatility models
5. Numerical Solution of Stochastic Differential Equations
6. A Closed-Form GARCH Option Valuation Model
7. Interest Rate Models
8. Convergence of Monte Carlo Simulations involving the Mean-Reverting Square Root Process
9. Monte Carlo Methods in Financial Engineering
10. A Theory for the Term Structure of Interest Rates

Their papers

• A comparison of biased simulation schemes for stochastic volatility models (2010) — 409 citations