Class information for:
Level 2: BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//OPTION PRICING//REAL OPTIONS

Basic class information
Class id #P Avg. number of
references		 Database coverage
of references
755 12405 25.6 44%


Bar chart of Publication_year

Last years might be incomplete

Hierarchy of classes
The table includes all classes above and classes immediately below the current class.


Cluster id Level Cluster label #P
1 4 ECONOMICS//EDUCATION & EDUCATIONAL RESEARCH//PSYCHOL 3876184
67 3       ECONOMICS//BUSINESS, FINANCE//ECON 84262
755 2             BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//OPTION PRICING//REAL OPTIONS 12405
1907 1                   OPTION PRICING//IMPLIED VOLATILITY//STOCHASTIC VOLATILITY 2432
4711 1                   TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES//EXPECTATIONS HYPOTHESIS 1739
5588 1                   BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS//G EXPECTATION 1600
6283 1                   REAL OPTIONS//INVESTMENT UNDER UNCERTAINTY//INVESTMENT TIMING 1504
6857 1                   FINANCE AND STOCHASTICS//INCOMPLETE MARKETS//FUNDAMENTAL THEOREM OF ASSET PRICING 1435
7689 1                   AMERICAN OPTIONS//OPTION PRICING//BLACK SCHOLES EQUATION 1339
7755 1                   OPTIMAL INVESTMENT//PROPORTIONAL REINSURANCE//INSURANCE MATHEMATICS & ECONOMICS 1332
19552 1                   SINGULAR STOCHASTIC CONTROL//PAIRS TRADING//OPTIMAL STOPPING 500
22169 1                   SKOROKHOD EMBEDDING PROBLEM//MAXIMUM PROCESS//SKOROKHOD EMBEDDING 391
32855 1                   STRUCTURED PRODUCTS//GERMAN MARKET//CURRENCY FLOW 133

Terms with highest relevance score


rank Term termType Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with term
in class
1 BACKWARD STOCHASTIC DIFFERENTIAL EQUATION authKW 879843 3% 90% 399
2 OPTION PRICING authKW 871008 5% 63% 565
3 REAL OPTIONS authKW 677937 5% 49% 563
4 AMERICAN OPTIONS authKW 665550 2% 88% 306
5 MATHEMATICAL FINANCE journal 523753 3% 62% 342
6 BUSINESS, FINANCE WoSSC 513779 30% 6% 3759
7 FINANCE AND STOCHASTICS journal 457843 2% 67% 279
8 STOCHASTIC VOLATILITY authKW 399946 3% 45% 364
9 QUANTITATIVE FINANCE journal 300423 3% 31% 397
10 OPTIMAL STOPPING authKW 292550 2% 41% 292

Web of Science journal categories


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with term
in class
1 Business, Finance 513779 30% 6% 3759
2 Social Sciences, Mathematical Methods 186089 15% 4% 1889
3 Economics 116667 33% 1% 4130
4 Statistics & Probability 90558 21% 1% 2615
5 Mathematics, Interdisciplinary Applications 65710 17% 1% 2082
6 Mathematics, Applied 30673 21% 1% 2552
7 Operations Research & Management Science 17723 9% 1% 1110
8 Automation & Control Systems 4690 4% 0% 545
9 Management 4231 4% 0% 550
10 Mathematics 3230 8% 0% 1050

Address terms


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with term
in class
1 FINANCE 111390 5% 7% 632
2 PL FINANCE ACTUARIAL STUDIES 39471 0% 36% 45
3 FINANCE CONTROL SCI 38598 0% 83% 19
4 MATH 34590 20% 1% 2534
5 ACTUARIAL STUDIES 34236 0% 26% 54
6 FINANCIAL ENGN 29791 1% 19% 64
7 ADV STUDIES FINANCE 27311 0% 56% 20
8 STAT PROC 27227 0% 43% 26
9 LINGNAN UNIV 26077 0% 30% 36
10 QILU SECUR FINANCIAL STUDIES 25207 0% 51% 20

Journals


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 MATHEMATICAL FINANCE 523753 3% 62% 342
2 FINANCE AND STOCHASTICS 457843 2% 67% 279
3 QUANTITATIVE FINANCE 300423 3% 31% 397
4 SIAM JOURNAL ON FINANCIAL MATHEMATICS 224146 1% 62% 147
5 JOURNAL OF FUTURES MARKETS 173229 3% 20% 348
6 JOURNAL OF COMPUTATIONAL FINANCE 149735 1% 68% 90
7 JOURNAL OF DERIVATIVES 137822 1% 52% 108
8 INSURANCE MATHEMATICS & ECONOMICS 112541 3% 15% 313
9 REVIEW OF DERIVATIVES RESEARCH 85252 0% 60% 58
10 STOCHASTIC PROCESSES AND THEIR APPLICATIONS 79059 3% 10% 331

Author Key Words


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class		 LCSH search Wikipedia search
1 BACKWARD STOCHASTIC DIFFERENTIAL EQUATION 879843 3% 90% 399 Search BACKWARD+STOCHASTIC+DIFFERENTIAL+EQUATION Search BACKWARD+STOCHASTIC+DIFFERENTIAL+EQUATION
2 OPTION PRICING 871008 5% 63% 565 Search OPTION+PRICING Search OPTION+PRICING
3 REAL OPTIONS 677937 5% 49% 563 Search REAL+OPTIONS Search REAL+OPTIONS
4 AMERICAN OPTIONS 665550 2% 88% 306 Search AMERICAN+OPTIONS Search AMERICAN+OPTIONS
5 STOCHASTIC VOLATILITY 399946 3% 45% 364 Search STOCHASTIC+VOLATILITY Search STOCHASTIC+VOLATILITY
6 OPTIMAL STOPPING 292550 2% 41% 292 Search OPTIMAL+STOPPING Search OPTIMAL+STOPPING
7 IMPLIED VOLATILITY 227999 1% 63% 147 Search IMPLIED+VOLATILITY Search IMPLIED+VOLATILITY
8 TERM STRUCTURE 224410 1% 58% 157 Search TERM+STRUCTURE Search TERM+STRUCTURE
9 FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 191065 1% 91% 85 Search FORWARD+BACKWARD+STOCHASTIC+DIFFERENTIAL+EQUATIONS Search FORWARD+BACKWARD+STOCHASTIC+DIFFERENTIAL+EQUATIONS
10 INCOMPLETE MARKETS 190323 2% 37% 212 Search INCOMPLETE+MARKETS Search INCOMPLETE+MARKETS

Core articles
The table includes core articles in the class. The following variables is taken into account for the relevance score of an article in a cluster c:
(1) Number of references referring to publications in the class.
(2) Share of total number of active references referring to publications in the class.
(3) Age of the article. New articles get higher score than old articles.
(4) Citation rate, normalized to year.


Rank Reference # ref. in
cl.		 Shr. of ref. in
cl.		 Citations
1 PENG, S , (2005) NONLINEAR EXPECTATIONS, NONLINEAR EVALUATIONS AND RISK MEASURES.STOCHASTIC METHODS IN FINANCE. VOL. 1856. ISSUE . P. 165 -253 126 92% 0
2 DETEMPLE, J , (2014) OPTIMAL EXERCISE FOR DERIVATIVE SECURITIES.ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 6. VOL. 6. ISSUE . P. 459 -487 66 99% 0
3 BROADIE, M , DETEMPLE, JB , (2004) OPTION PRICING: VALUATION MODELS AND APPLICATIONS.MANAGEMENT SCIENCE. VOL. 50. ISSUE 9. P. 1145 -1177 92 73% 71
4 CHRISTOFFERSEN, P , HESTON, S , JACOBS, K , (2013) CAPTURING OPTION ANOMALIES WITH A VARIANCE-DEPENDENT PRICING KERNEL.REVIEW OF FINANCIAL STUDIES. VOL. 26. ISSUE 8. P. 1962 -2006 52 93% 7
5 CHRISTOFFERSEN, P , JACOBS, K , ORNTHANALAI, C , (2013) GARCH OPTION VALUATION: THEORY AND EVIDENCE.JOURNAL OF DERIVATIVES. VOL. 21. ISSUE 2. P. 8 -41 61 78% 2
6 FILIPOVIC, D , GOURIER, E , MANCINI, L , (2016) QUADRATIC VARIANCE SWAP MODELS.JOURNAL OF FINANCIAL ECONOMICS. VOL. 119. ISSUE 1. P. 44 -68 49 83% 0
7 XING, H , (2017) STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES.MATHEMATICAL FINANCE. VOL. 27. ISSUE 1. P. 38 -67 24 100% 1
8 SHEN, Y , ZENG, Y , (2015) OPTIMAL INVESTMENT REINSURANCE STRATEGY FOR MEAN-VARIANCE INSURERS WITH SQUARE-ROOT FACTOR PROCESS.INSURANCE MATHEMATICS & ECONOMICS. VOL. 62. ISSUE . P. 118 -137 37 95% 8
9 SALMI, S , TOIVANEN, J , (2012) COMPARISON AND SURVEY OF FINITE DIFFERENCE METHODS FOR PRICING AMERICAN OPTIONS UNDER FINITE ACTIVITY JUMP-DIFFUSION MODELS.INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS. VOL. 89. ISSUE 9. P. 1112-1134 42 100% 3
10 PAPANTONIS, I , (2016) VOLATILITY RISK PREMIUM IMPLICATIONS OF GARCH OPTION PRICING MODELS.ECONOMIC MODELLING. VOL. 58. ISSUE . P. 104 -115 43 88% 0

Classes with closest relation at Level 2


Rank Class id link
1 144 BUSINESS, FINANCE//JOURNAL OF FUTURES MARKETS//ECONOMICS
2 1673 COPULA//INSURANCE MATHEMATICS & ECONOMICS//STOCHASTIC PROGRAMMING
3 2533 RUIN PROBABILITY//INSURANCE MATHEMATICS & ECONOMICS//SUBEXPONENTIAL DISTRIBUTION
4 2434 HAMILTON JACOBI EQUATION//MEAN FIELD GAMES//VISCOSITY SOLUTIONS
5 3182 SECRETARY PROBLEM//OPTIMAL STATIONARY POLICY//BEST CHOICE PROBLEM
6 499 FRACTIONAL BROWNIAN MOTION//ANNALS OF PROBABILITY//LOCAL TIME
7 2275 CAPTURE RECAPTURE//LONGEVITY RISK//LEE CARTER MODEL
8 2442 OIL PRICES//ENERGY ECONOMICS//OIL PRICE SHOCKS
9 40 BUSINESS, FINANCE//CORPORATE GOVERNANCE//JOURNAL OF BANKING & FINANCE
10 15 ECONOMICS//MONETARY POLICY//ECON

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