Duy Nguyen

Finance · 2017–2020

A researcher in the Science corpus: 4 papers; trusts 6 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 53 citations into it
• Economics and Econometrics — 16 citations into it
• Demography — 12 citations into it
• Mathematical Physics — 8 citations into it

Whom Duy Nguyen trusts overall

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

1. Steven Kou
2. Martino Grasselli

Papers from Duy Nguyen's perspective

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

1. REGULAR VARIATION AND SMILE ASYMPTOTICS
2. Post-'87 crash fears in the S&P 500 futures option market
3. The jump-risk premia implicit in options: evidence from an integrated time-series study $
4. The Pricing of Options and Corporate Liabilities
5. Financial Modelling with Jump Processes
6. A Theory for the Term Structure of Interest Rates
7. Option Pricing, Interest Rates and Risk Management: Towards a Theory of Volatility Trading
8. Option Pricing by Transform Methods: Extensions, Unification, and Error Control
9. The Fine Structure of Asset Retums : An Empirical Investigation '
10. Time-Changed Levy Processes and Option Pricing ⁄

Their papers

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020) — 66 citations
• A General Valuation Framework for SABR and Stochastic Local Volatility Models (2018) — 76 citations
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (2017) — 73 citations
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (2017) — 78 citations