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Economics and Finance

D-Index
39
Citations
7505
World Ranking
2409
National Ranking
1360

Overview

Jerome Detemple is affiliated with Boston University in the United States and specializes in research at the intersection of economics, econometrics, and finance. Their scholarly output reflects a concentration on topics related to economic theories and models, climate change policy and economics, as well as stochastic processes and their financial applications.

The primary fields of study in Jerome Detemple's work include:

  • Economics, Econometrics and Finance

Within these, the subfields addressed encompass:

  • Economics and Econometrics
  • Finance
  • Renewable Energy, Sustainability and the Environment
  • Electrical and Electronic Engineering
  • General Economics, Econometrics and Finance

The key topics investigated are diverse and include:

  • Economic theories and models
  • Climate Change Policy and Economics
  • Stochastic processes and financial applications
  • Capital Investment and Risk Analysis
  • Complex Systems and Time Series Analysis
  • Financial Markets and Investment Strategies
  • Energy, Environment, and Transportation Policies

Jerome Detemple has published extensively, with recent selected papers as follows:

  • The value of green energy under regulation uncertainty, 2020, Energy Economics
  • Dynamic Noisy Rational Expectations Equilibrium With Insider Information, 2020, Econometrica
  • Asset Prices and Pandemics: The Effects of Lockdowns, 2021, Quarterly Journal of Finance
  • Callable barrier reverse convertible securities, 2021, Quantitative Finance
  • Asset Prices and Pandemics, 2020, SSRN Electronic Journal

Publication venues with frequent outputs include:

  • SSRN Electronic Journal
  • Energy Economics
  • Econometrica
  • Quarterly Journal of Finance
  • Quantitative Finance

Jerome Detemple collaborates regularly with several co-authors, notably:

  • Yerkin Kitapbayev
  • Marcel Rindisbacher
  • Scott Robertson
  • Tony Berrada
  • Danila Shabalin

Best Publications

  • American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

    Mark Broadie;Jerome Detemple

  • Asset Pricing in a Production Economy with Incomplete Information

    Jérôme B. Detemple

  • Intertemporal Asset Pricing with Heterogeneous Beliefs

    Jerome Detemple;Shashidhar Murthy

  • A Monte Carlo Method for Optimal Portfolios

    Jérôme B. Detemple;René Garcia;Marcel Rindisbacher

  • Asset prices in an exchange economy with habit formation

    Jerome B. Detemple;Fernando Zapatero

  • 50th ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

    Mark Broadie;Jerome B. Detemple

  • The Valuation of American Options on Multiple Assets

    Mark Broadie;Jérôme Detemple

  • Option Pricing: Valuation Models and Applications

    Mark Broadie;Jerome B. Detemple

  • A General Equilibrium Analysis of Option and Stock Market Interactions

    Jerome Detemple;Larry Selden

  • Option listing and stock returns

    Jerome Detemple;Philippe Jorion

  • American-Style Derivatives : Valuation and Computation

    Jerome Detemple

  • Optimal consumption–portfolio choices and retirement planning

    Zvi Bodie;Jérôme B. Detemple;Jérôme B. Detemple;Susanne Otruba;Stephan Walter

  • Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach

    Jérôme Detemple;Suresh Sundaresan

  • Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints

    Jérôme B. Detemple;Shashidhar Murthy

  • Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints

    Jerome Detemple;Shashidhar Murthy

  • The Valuation of Volatility Options

    Jérôme Detemple;Carlton Osakwe

  • The Valuation of American Options for a Class of Diffusion Processes

    Jérôme Detemple;Weidong Tian

  • American Capped Call Options on Dividend-Paying Assets

    Mark Broadie;Jerome Detemple

  • Optimal Consumption-Portfolio Policies With Habit Formation1

    Jerome B. Detemple;Fernando Zapatero

  • American options with stochastic dividends and volatility: A nonparametric investigation

    Mark Broadie;Jérôme Detemple;Eric Ghysels;Olivier Torrés

  • Option pricing, interest rates and risk management

    E. Jouini;J. Cvitanic;Marek Musiela

  • Further results on asset pricing with incomplete information

    Jerome B. Detemple

Frequent Co-Authors

René Garcia
René Garcia University of Montreal
Mark Broadie
Mark Broadie Columbia University
Zvi Bodie
Zvi Bodie Boston University
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Suresh M. Sundaresan
Suresh M. Sundaresan Columbia University
James J. Choi
James J. Choi Yale University
Philippe Jorion
Philippe Jorion University of California, Irvine
Andrei Shleifer
Andrei Shleifer Harvard University
David Laibson
David Laibson Harvard University
Daniel J. Benjamin
Daniel J. Benjamin University of California, Los Angeles

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