W. Brent Lindquist

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All published works

Action	Title	Year	Authors
+ PDF Chat	Hedonic Models Incorporating ESG Factors for Time Series of Average Annual Home Prices	2024	Jason R. Bailey W. Brent Lindquist Svetlozar T. Rachev
+ PDF Chat	Alternatives to classical option pricing	2024	W. Brent Lindquist Svetlozar T. Rachev
+	ESG-coherent risk measures for sustainable investing	2023	Gabriele Torri Rosella Giacometti Darinka Dentcheva Svetlozar T. Rachev W. Brent Lindquist
+ PDF Chat	Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis	2022	Yuan Hu W. Brent Lindquist Svetlozar T. Rachev Abootaleb Shirvani Frank J. Fabozzi
+ PDF Chat	Taylor’s law and heavy-tailed distributions	2021	W. Brent Lindquist Svetlozar T. Rachev
+	Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes	2021	Abootaleb Shirvani Stefan Mittnik W. Brent Lindquist Svetlozar T. Rachev
+ PDF Chat	Portfolio Optimization Constrained by Performance Attribution	2021	Yuan Hu W. Brent Lindquist Svetlozar T. Rachev
+ PDF Chat	Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for Cryptoassets	2021	Yuan Hu W. Brent Lindquist Frank J. Fabozzi
+	Portfolio Optimization Constrained by Performance Attribution	2021	Yuan Hu W. Brent Lindquist
+	Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis	2021	Yuan Hu Abootaleb Shirvani W. Brent Lindquist Frank J. Fabozzi Svetlozar T. Rachev
+	Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes	2021	Abootaleb Shirvani Stefan Mittnik W. Brent Lindquist Svetlozar T. Rachev
+ PDF Chat	Option Pricing Incorporating Factor Dynamics in Complete Markets	2020	Yuan Hu Abootaleb Shirvani W. Brent Lindquist Frank J. Fabozzi Svetlozar T. Rachev
+	Option Pricing Incorporating Factor Dynamics in Complete Markets	2020	Yuan Hu Abootaleb Shirvani W. Brent Lindquist Frank J. Fabozzi Svetlozar T. Rachev
+	The 2-Dimensional Riemann Problem for a 2 × 2 Hyperbolic Conservation Law I. Isotropic Media	2002	Woonjae Hwang W. Brent Lindquist
+	Current progress in hyperbolic systems, Riemann problems and computations : proceedings of the AMS-IMS-SIAM joint summer research conference held July 16-22, 1988 with support from the National Science Foundation and the Office of Naval Research	1989	W. Brent Lindquist
+	The scalar Riemann problem in two spatial dimensions: piecewise smoothness of solutions	1987	W. Brent Lindquist
+	The Scalar Riemann Problem in Two Spatial Dimensions: Piecewise Smoothness of Solutions and Its Breakdown	1986	W. Brent Lindquist
+ PDF Chat	Construction of solutions for two-dimensional Riemann problems	1986	W. Brent Lindquist
+ PDF Chat	CONSTRUCTION OF SOLUTIONS FOR TWO-DIMENSIONAL RIEMANN PROBLEMS	1986	W. Brent Lindquist

Common Coauthors

Coauthor	Papers Together
Yuan Hu	7
Abootaleb Shirvani	6
Svetlozar T. Rachev	6
Svetlozar T. Rachev	5
Frank J. Fabozzi	5
Stefan Mittnik	2
Darinka Dentcheva	1
Woonjae Hwang	1
Jason R. Bailey	1
Gabriele Torri	1
Rosella Giacometti	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+	The Riemann Problem in Two Space Dimensions for a Single Conservation Law	1983	David H. Wagner	4
+	Shocks and rarefactions in two space dimensions	1975	John Guckenheimer	4
+	FIRST ORDER QUASILINEAR EQUATIONS IN SEVERAL INDEPENDENT VARIABLES	1970	S N Kružkov	4
+	Convergence of Random Processes and Limit Theorems in Probability Theory	1956	Yu. V. Prokhorov	4
+ PDF Chat	Limit Behavior of the "Horizontal-Vertical" Random Walk and Some Extensions of the Donsker-Prokhorov Invariance Principle	2003	Marc Yor Alexander S. Cherny Albert N. Shiryaev	3
+ PDF Chat	On a non-classical invariance principle	2008	Youri Davydov Vladimir Rotar	3
+ PDF Chat	OPTION PRICING IN MARKETS WITH INFORMED TRADERS	2020	Yuan Hu Abootaleb Shirvani Stoyan V. Stoyanov Young Shin Kim Frank J. Fabozzi Svetlozar T. Rachev	3
+	The Monge–Kantorovich Mass Transference Problem and Its Stochastic Applications	1985	Svetlozar T. Rachev	2
+	Synchronization and functional central limit theorems for interacting reinforced random walks	2018	Irene Crimaldi Paolo Dai Pra Pierre-Yves Louis Ida Germana Minelli	2
+	Limit Theorems for Randomly Stopped Stochastic Processes	2004	Dmitrii Silvestrov	2
+	On the real accuracy of approximation in the central limit theorem. II	2017	V. V. Senatov	2
+ PDF Chat	Convergence of Probability Measures	1999	Patrick Billingsley	2
+	Minimal entropy preserves the Lévy property: how and why	2004	Felix Esche Martin Schweizer	2
+	Limit Theorems for Stochastic Processes	1956	A. V. Skorokhod	2
+ PDF Chat	Limit Theorems for Randomly Selected Partial Sums	1962	Patrick Billingsley	2
+	Normal Approximation by Stein’s Method	2010	Louis H. Y. Chen Larry Goldstein Qi-Man Shao	2
+	A History of the Central Limit Theorem	2010	Hans Rudi Fischer	2
+	Distances of Probability Measures and Random Variables	2010	R. M. Dudley	2
+	Uniqueness and stability of the generalized solution of the Cauchy problem for a quasi-linear equation	1963	O. A. Oleĭnik	2
+ PDF Chat	A Reflective Newton Method for Minimizing a Quadratic Function Subject to Bounds on Some of the Variables	1996	Thomas F. Coleman Yuying Li	2
+ PDF Chat	Enhancing binomial and trinomial equity option pricing models	2018	Young Shin Kim Stoyan V. Stoyanov Svetlozar T. Rachev Frank J. Fabozzi	2
+	Basic Principles and Applications of Probability Theory	2005	Yu.V. Prokhorov	2
+	Derivatives: Markets, Valuation, and Risk Management	2006	Robert E. Whaley	2
+ PDF Chat	Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion	2016	Young Shin Kim Stoyan V. Stoyanov Svetlozar T. Rachev Frank J. Fabozzi	2
+	On the Rate of Convergence in the Donsker–Prokhorov Invariance Principle	1984	I. S. Borisov	2
+ PDF Chat	Two-dimensional Riemann problem for a single conservation law	1989	Tong Zhang Yu Xi Zheng	1
+ PDF Chat	Exact spiral solutions of the two-dimensional Euler equations	1997	Tong Zhang Yuxi Zheng	1
+ PDF Chat	Logistic Regression Diagnostics	1981	Daryl Pregibon	1
+	A Robust Measure of Skewness	2004	Guy Brys Mia Hubert Anja Struyf	1
+ PDF Chat	On two-dimensional Riemann problem for pressure-gradient equations of the Euler system	1998	Peng Zhang Jiequan Li Tong Zhang	1
+	On the multi-dimensional skew Brownian motion	2014	Rami Atar Amarjit Budhiraja	1
+	The interaction of nonlinear hyperbolic waves	1988	James Glimm	1
+	THE SPACES $ BV$ AND QUASILINEAR EQUATIONS	1967	Aizik Volpert	1
+	Robust regression using iteratively reweighted least-squares	1977	Paul W. Holland Roy E. Welsch	1
+	The Solution of the Riemann Problem for a Hyperbolic System of Conservation Laws Modeling Polymer Flooding	1988	Thormod E. Johansen Ragnar Winther	1
+	Generalized Characteristic Analysis and Guckenheimer Structure	1999	Peng Zhang Tong Zhang	1
+	Diffusion Processes and Their Sample Paths.	1996	PALE Kiyosi Itô H. P. McKean	1
+	The MmB difference solutions of 2-D Riemann problems for a 2 × 2 hyperbolic system of conservation laws	1991	Yang Shuli Tong Zhang	1
+	Numerical Solution of the Riemann Problem for Two-Dimensional Gas Dynamics	1993	Carsten Werner Schulz-Rinne James P. Collins Harland M. Glaz	1
+	EVALUATING DENSITY FORECASTS	1997	Francis X. Diebold Todd A. Gunther Anthony S. Tay	1
+	Empirical Processes with Applications to Statistics	2009	Galen R. Shorack Jon A. Wellner	1
+	The t Copula and Related Copulas	2007	Stefano Demarta Alexander J. McNeil	1
+	Conjecture on the Structure of Solutions of the Riemann Problem for Two-Dimensional Gas Dynamics Systems	1990	Tong Zhang Yu Xi Zheng	1
+ PDF Chat	An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates	2015	Valérie Chavez‐Demoulin Paul Embrechts Marius Hofert	1
+	Global solutions of the cauchy problem for quasi‐linear first‐order equations in several space variables	1966	Edward D. Conway Joel Smoller	1
+ PDF Chat	Understanding Operational Risk Capital Approximations: First and Second Orders	2013	Gareth W. Peters Rodrigo S. Targino Pavel V. Shevchenko	1
+ PDF Chat	The Statistics of Bitcoin and Cryptocurrencies	2017	Joerg Osterrieder	1
+	Taylor's law, via ratios, for some distributions with infinite mean	2017	Mark Brown Joel E. Cohen Víctor H. de la Peña	1
+	SOME FUNDAMENTAL CONCEPTS ABOUT SYSTEM OF TWO SPATIAL DIMENSIONAL CONSERVATION LAWS	1986	Tong Bou Chang Gui‐Qiang Chen	1
+	Levy Processes and Infinitely Divisible Distributions	1999	Ken‐iti Sato	1