Ernesto Mordecki

Finance · 2002–2008

A researcher in the Science corpus: 5 papers; trusts 13 researchers and is trusted by 34 researchers here, as inferred from the citation graph.

Subfields

• Finance — 17 citations into it; #1,303 of 10,518 by trust here, #3,859 by citations
• Economics and Econometrics — 7 citations into it
• Statistical and Nonlinear Physics — 6 citations into it
• Computer Networks and Communications — 5 citations into it; #3,578 of 9,886 by trust here, #5,961 by citations
• Management Science and Operations Research — 5 citations into it; #1,089 of 11,946 by trust here, #3,572 by citations

Whom Ernesto Mordecki trusts overall

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

1. Steven Kou
2. Ole E. Barndorff-Nielsen
3. Wim Schoutens
4. Svetlana Boyarchenko
5. Dilip B Madan 5
6. Hui Wang
7. Peter P. Carr
8. Søren Asmussen
9. René L. Schilling
10. Sergei Levendorskii

Who trusts Ernesto Mordecki overall

1. Alexey Kuznetsov
2. Andreas E. Kyprianou
3. José Santiago Fajardo
4. Steve A. K. Metwally
5. Erik J. Baurdoux
6. Amir F. Atiya
7. Pavel V. Gapeev
8. María Emilia Caballero
9. Seung‐Yeal Ha
10. Steven Kou

Papers from Ernesto Mordecki's perspective

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

1. The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
2. Optimal stopping and perpetual options for Lévy processes
3. Russian and American put options under exponential phase-type Lévy models
4. Introductory Lectures on Fluctuations of Lévy Processes with Applications
5. Option Pricing Under a Double Exponential Jump Diffusion Model (Management Sciences)
6. Financial Modelling with Jump Processes
7. Lévy Processes in Finance: Pricing Financial Derivatives
8. The Variance Gamma Process and Option Pricing
9. Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
10. The Meixner process : theory and applications in finance

Their papers

• Optimal stopping and perpetual options for Lévy processes (2002) — 262 citations
• WIENER-HOPF FACTORIZATION FOR LEVY PROCESSES HAVING POSITIVE JUMPS WITH RATIONAL TRANSFORMS (2008) — 104 citations
• Flocking in noisy environments (2007) — 227 citations
• Optimal stopping of Hunt and Lévy processes (2006) — 53 citations
• Symmetry and duality in Lévy markets (2006) — 57 citations