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Jerome Detemple

Personal Details

First Name:Jerome
Middle Name:
Last Name:Detemple
Suffix:
RePEc Short-ID:pde1414
[This author has chosen not to make the email address public]
https://www.bu.edu/questrom/profile/jerome-detemple/

Affiliation

Department of Finance
Questrom School of Business
Boston University

Boston, Massachusetts (United States)
http://www.bu.edu/questrom/faculty-research/departments/finance/
RePEc:edi:fedbuus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2023. "Volatility during the COVID-19 Pandemic," Swiss Finance Institute Research Paper Series 23-95, Swiss Finance Institute.
  2. Jerome Detemple & Scott Robertson, 2022. "Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility," Papers 2211.15573, arXiv.org, revised Mar 2024.
  3. Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux, 2020. "American Step Options," Post-Print halshs-02283374, HAL.
  4. Jerome Detemple & Yerkin Kitapbayev, 2017. "American Options with Discontinuous Two-Level Caps," Papers 1707.06138, arXiv.org.
  5. Jerome Detemple & Yerkin Kitapbayev, 2016. "On American VIX options under the generalized 3/2 and 1/2 models," Papers 1606.00530, arXiv.org, revised Jul 2017.
  6. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2013. "Asset Pricing with Regime-Dependent Preferences and Learning," Swiss Finance Institute Research Paper Series 13-44, Swiss Finance Institute, revised Oct 2013.
  7. Mark Loewenstein & Jerome Detemple & Suresh Govindaraj, 2005. "Wealth-Robust Intertemporal Incentive Contracts," Computing in Economics and Finance 2005 171, Society for Computational Economics.
  8. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO.
  9. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2000. "A Monte-Carlo Method for Optimal Portfolios," CIRANO Working Papers 2000s-05, CIRANO.
  10. Jérôme Detemple, 1999. "American Options: Symmetry Properties," CIRANO Working Papers 99s-45, CIRANO.
  11. Jérôme Detemple & Suresh Sundaresan, 1999. "Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach," CIRANO Working Papers 99s-08, CIRANO.
  12. Jérôme Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO.
  13. Jérôme Detemple & Angel Serrat, 1998. "Dynamic Equilibrium with Liquidity Constraints," CIRANO Working Papers 98s-41, CIRANO.
  14. Jérôme Detemple & Shashidhar Murthy, 1997. "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," CIRANO Working Papers 97s-12, CIRANO.
  15. Jérôme Detemple & Piero Gottardi, 1997. "Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets," CIRANO Working Papers 97s-11, CIRANO.
  16. Mark Broadie & Jérôme Detemple, 1996. "American Options on Dividend-Paying Assets," CIRANO Working Papers 96s-16, CIRANO.
  17. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
  18. Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
  19. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
  20. Jérôme Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO.
  21. Mark Broadie & Jérôme Detemple, 1994. "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," CIRANO Working Papers 94s-07, CIRANO.
  22. Mark Broadie & Jérôme Detemple, 1994. "The Valuation of American Options on Multiple Assets," CIRANO Working Papers 94s-08, CIRANO.
  23. Mark Broadie & Jérôme Detemple, 1994. "American Capped Call Options on Dividend Paying Assets," CIRANO Working Papers 94s-01, CIRANO.
  24. Broadie, M. & Detemple, J., 1993. "Bounds and Approximations for American Option Values," Papers 93-07, Columbia - Graduate School of Business.
  25. Detemple, J. & Gottardi, P. & Polemarchakis, H., 1990. "The relevance of financial policy," LIDAM Discussion Papers CORE 1990011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  26. Detemple, J.B. & Jorion, P., 1989. "Option Listing And Stock Returns," Papers fb-_89-13, Columbia - Graduate School of Business.
  27. Brennan, M. & Detemple, J. & Kalay, A., 1989. "Boud Covenants And The Valuation Of Risk Debt: A New Approach," Papers fb-_90-01, Columbia - Graduate School of Business.
  28. Detemple, J. & Zapatero, F., 1989. "Optimal Consumption-Portfolio Policies With Habit Formation," Papers fb-_90-02, Columbia - Graduate School of Business.
  29. Detemple, J.B., 1989. "Financial Innovation, Values And Volatilities When Markets Are Incomplete," Papers fb-89-12, Columbia - Graduate School of Business.

Articles

  1. Detemple, Jérôme & Kitapbayev, Yerkin & Reppen, A. Max, 2024. "Renewable energy investment under stochastic interest rate with regime-switching volatility," Energy Economics, Elsevier, vol. 136(C).
  2. Jerome Detemple, 2022. "Asset Prices and Pandemics: The Effects of Lockdowns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-43, March.
  3. Detemple, Jerome & Kitapbayev, Yerkin, 2022. "Optimal technology adoption for power generation," Energy Economics, Elsevier, vol. 111(C).
  4. Detemple, Jerome & Rindisbacher, Marcel & Robertson, Scott, 2022. "Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
  5. Jerome Detemple & Yerkin Kitapbayev, 2021. "Optimal Power Investment and Pandemics: A Micro-Economic Analysis," Energies, MDPI, vol. 14(4), pages 1-25, February.
  6. Jerome Detemple & Yerkin Kitapbayev, 2021. "Callable barrier reverse convertible securities," Quantitative Finance, Taylor & Francis Journals, vol. 21(9), pages 1519-1532, September.
  7. Jerome Detemple & Yerkin Kitapbayev & Philip Strahan, 2020. "The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage," The Review of Financial Studies, Society for Financial Studies, vol. 33(7), pages 3307-3347.
  8. Jerome Detemple & Marcel Rindisbacher & Scott Robertson, 2020. "Dynamic Noisy Rational Expectations Equilibrium With Insider Information," Econometrica, Econometric Society, vol. 88(6), pages 2697-2737, November.
  9. Detemple, Jérôme & Laminou Abdou, Souleymane & Moraux, Franck, 2020. "American step options," European Journal of Operational Research, Elsevier, vol. 282(1), pages 363-385.
  10. Detemple, Jerome & Kitapbayev, Yerkin, 2020. "The value of green energy under regulation uncertainty," Energy Economics, Elsevier, vol. 89(C).
  11. Jerome Detemple & Yerkin Kitapbayev, 2018. "Optimal Investment under Cost Uncertainty," Risks, MDPI, vol. 6(1), pages 1-19, January.
  12. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
  13. Jérôme Detemple & Yerkin Kitapbayev, 2018. "On American VIX options under the generalized 3/2 and 1/2 models," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 550-581, April.
  14. Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
  15. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
  16. Jérome Detemple & Marcel Rindisbacher, 2013. "A Structural Model of Dynamic Market Timing," The Review of Financial Studies, Society for Financial Studies, vol. 26(10), pages 2492-2547.
  17. Jérôme Detemple & Weidong Tian & Jie Xiong, 2012. "An optimal stopping problem with a reward constraint," Finance and Stochastics, Springer, vol. 16(3), pages 423-448, July.
  18. Jérome Detemple & Marcel Rindisbacher, 2010. "Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications," The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 25-100, January.
  19. Detemple, Jérôme & Emmerling, Thomas, 2009. "American chooser options," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 128-153, January.
  20. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
  21. Detemple, Jérôme & Rindisbacher, Marcel, 2008. "Dynamic asset liability management with tolerance for limited shortfalls," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 281-294, December.
  22. Detemple, Jerome & Rindisbacher, Marcel, 2007. "Monte Carlo methods for derivatives of options with discontinuous payoffs," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3393-3417, April.
  23. Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006. "Asymptotic properties of Monte Carlo estimators of diffusion processes," Journal of Econometrics, Elsevier, vol. 134(1), pages 1-68, September.
  24. Jér^me Detemple & Marcel Rindisbacher, 2005. "Closed‐Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 539-568, October.
  25. Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel, 2005. "Intertemporal asset allocation: A comparison of methods," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2821-2848, November.
  26. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Representation formulas for Malliavin derivatives of diffusion processes," Finance and Stochastics, Springer, vol. 9(3), pages 349-367, July.
  27. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Asymptotic Properties of Monte Carlo Estimators of Derivatives," Management Science, INFORMS, vol. 51(11), pages 1657-1675, November.
  28. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  29. Bodie, Zvi & Detemple, Jerome B. & Otruba, Susanne & Walter, Stephan, 2004. "Optimal consumption-portfolio choices and retirement planning," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1115-1148, March.
  30. Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher, 2003. "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, vol. 58(1), pages 401-446, February.
  31. Detemple, Jerome B. & Karatzas, Ioannis, 2003. "Non-addictive habits: optimal consumption-portfolio policies," Journal of Economic Theory, Elsevier, vol. 113(2), pages 265-285, December.
  32. Jérôme Detemple & Angel Serrat, 2003. "Dynamic Equilibrium with Liquidity Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 597-629.
  33. J. B. Detemple, 2002. "Book Reviews," Journal of Economics, Springer, vol. 75(2), pages 189-194, March.
  34. Jérôme Detemple & Weidong Tian, 2002. "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, vol. 48(7), pages 917-937, July.
  35. Detemple, Jerome B., 2002. "Asset pricing in an intertemporal partially-revealing rational expectations equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 219-248, September.
  36. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
  37. Jérôme Detemple & Carlton Osakwe, 2000. "The Valuation of Volatility Options," Review of Finance, European Finance Association, vol. 4(1), pages 21-50.
  38. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
  39. Detemple, Jerome & Sundaresan, Suresh, 1999. "Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 835-872.
  40. Jérôme Detemple, 1998. "Generalized optimal stopping problems and financial markets, by Dennis Wong," International Journal of Stochastic Analysis, Hindawi, vol. 11, pages 1-2, January.
  41. JÊrÆme B. Detemple & Piero Gottardi, 1998. "Aggregation, efficiency and mutual fund separation in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 11(2), pages 443-455.
  42. Mark Broadie & Jérôme Detemple, 1997. "The Valuation of American Options on Multiple Assets," Mathematical Finance, Wiley Blackwell, vol. 7(3), pages 241-286, July.
  43. Detemple, Jerome & Murthy, Shashidhar, 1997. "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 10(4), pages 1133-1174.
  44. Detemple, Jerome B. & Giannikos, Christos I., 1996. "Asset and commodity prices with multi-attribute durable goods," Journal of Economic Dynamics and Control, Elsevier, vol. 20(8), pages 1451-1504, August.
  45. Broadie, Mark & Detemple, Jerome, 1996. "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1211-1250.
  46. Broadie, Mark & Detemple, Jerome, 1995. "American Capped Call Options on Dividend-Paying Assets," The Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 161-191.
  47. Detemple, J. & Gottardi, P. & Polemarchakis, H. M., 1995. "The relevance of financial policy," European Economic Review, Elsevier, vol. 39(6), pages 1133-1154, June.
  48. Detemple Jerome & Murthy Shashidhar, 1994. "Intertemporal Asset Pricing with Heterogeneous Beliefs," Journal of Economic Theory, Elsevier, vol. 62(2), pages 294-320, April.
  49. Detemple, Jérôme, 1993. "Demande de portefeuille et politique de couverture de risque sous information incomplète," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 45-70, mars.
  50. Jerome B. Detemple & Fernando Zapatero, 1992. "Optimal Consumption‐Portfolio Policies With Habit Formation1," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 251-274, October.
  51. Detemple, Jerome B & Selden, Larry, 1991. "A General Equilibrium Analysis of Option and Stock Market Interactions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 279-303, May.
  52. Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, vol. 59(6), pages 1633-1657, November.
  53. Detemple, Jerome B., 1991. "Further results on asset pricing with incomplete information," Journal of Economic Dynamics and Control, Elsevier, vol. 15(3), pages 425-453, July.
  54. Jerome B. Detemple, 1990. "Financial Innovation, Values and Volatilities when Markets Are Incomplete*," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 15(1), pages 47-53, March.
  55. Detemple, Jerome & Jorion, Philippe, 1990. "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 781-801, October.
  56. Michael Adler & Jerome Detemple, 1988. "Hedging with futures in an intertemporal portfolio context," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(3), pages 249-269, June.
  57. Detemple, Jérôme B. & Kihlstrom, Richard E., 1987. "Acquisition d’information dans un modèle intertemporel en temps continu," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(2), pages 118-137, juin et s.
  58. Detemple, Jerome B, 1986. "Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, American Finance Association, vol. 41(2), pages 383-391, June.
    RePEc:bla:jfinan:v:43:y:1988:i:1:p:143-53 is not listed on IDEAS

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (1) 2003-04-27
  2. NEP-ECM: Econometrics (1) 2003-05-12
  3. NEP-ETS: Econometric Time Series (1) 2003-04-27
  4. NEP-FIN: Finance (1) 1999-12-21
  5. NEP-FMK: Financial Markets (1) 2016-06-18
  6. NEP-GTH: Game Theory (1) 2023-01-09
  7. NEP-MIC: Microeconomics (1) 1999-01-11
  8. NEP-MON: Monetary Economics (1) 1999-01-11
  9. NEP-RMG: Risk Management (1) 2019-09-23
  10. NEP-UPT: Utility Models and Prospect Theory (1) 2023-01-09

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