Amine Ismail

Finance · 2016–2017

A researcher in the Science corpus: 2 papers; trusts 12 researchers and is trusted by 3 researchers here, as inferred from the citation graph.

Subfields

• Finance — 35 citations into it; #8,162 of 10,518 by trust here, #10,352 by citations
• Economics and Econometrics — 15 citations into it
• Demography — 9 citations into it; #2,913 of 4,236 by trust here, #4,149 by citations

Whom Amine Ismail trusts overall

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

1. Ravi Jagannathan
2. Daniel Andersson
3. Gabriel G. Drimus
4. Boualem Djehiche
5. Tongshu Ma
6. Marek Musiela
7. Jan Baldeaux
8. Peter F. Christoffersen
9. Shige Peng

Who trusts Amine Ismail overall

1. Jim Gatheral

Papers from Amine Ismail's perspective

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

1. A Maximum Principle for SDEs of Mean-Field Type
2. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
3. Time-varying leverage effects
4. Variance Risk-Premium Dynamics: The Role of Jumps
5. Martingale Methods in Financial Modelling
6. A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
7. Options on realized variance by transform methods: a non-affine stochastic volatility model
8. Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
9. Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices
10. Mean field games

Their papers

• Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017) — 53 citations
• Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (2016) — 76 citations