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Wim Schoutens

Wim Schoutens

D-Index & Metrics

Economics and Finance

D-Index
33
Citations
7597
World Ranking
3198
National Ranking
35

Overview

Wim Schoutens is affiliated with KU Leuven in Belgium and has actively contributed to the field of Economics, Econometrics and Finance, with a primary focus on Finance, Economics and Econometrics, and Management Science and Operations Research. Their publications also extend into Information Systems and Artificial Intelligence.

The research of Wim Schoutens covers a range of topics notably including stochastic processes and financial applications, financial markets and investment strategies, financial risk and volatility modeling, as well as complex systems and time series analysis. Additional areas of interest reported include stock market forecasting methods, blockchain technology applications and security, and market dynamics and volatility.

Among the recent papers authored or co-authored by Wim Schoutens are:

  • ESG: a new dimension in portfolio allocation, 2021, Journal of Sustainable Finance & Investment
  • Bilateral multiple gamma returns: Their risks and rewards, 2020, International Journal of Financial Engineering
  • Implied Tail Risk and ESG Ratings, 2021, Mathematics
  • Self-similarity in long-horizon returns, 2020, Mathematical Finance
  • ESG: A New Dimension in Portfolio Allocation, 2020, SSRN Electronic Journal

Wim Schoutens frequently collaborates with a group of co-authors including Dilip B. Madan, King Wang, Eline Van der Auwera, Marco Petracco Giudici, and Lucia Alessi.

The main venues where Wim Schoutens publishes research include:

  • SSRN Electronic Journal
  • arXiv (Cornell University)
  • Quantitative Finance
  • The Journal of Computational Finance
  • Frontiers of Mathematical Finance

Wim Schoutens has also published books with prominent academic publishers. Titles include "Financial Risk Management for Cryptocurrencies" (2020) published by Springer International Publishing and "Nonlinear Valuation and Non-Gaussian Risks in Finance" (2022) published by Cambridge University Press.

Best Publications

  • Lévy Processes in Finance: Pricing Financial Derivatives

    Wim Schoutens

  • Lévy Processes in Finance

    Unknown

  • Chaotic and predictable representations for Levy processes

    David Nualart;Wim Schoutens

  • The little Heston trap

    Hansjörg Albrecher;Philipp Arnold Mayer;Wim Schoutens;Jurgen Tistaert

  • Backward stochastic differential equations and Feynman-Kac formula for Levy processes, with applications in finance

    David Nualart;Wim Schoutens

  • A multivariate jump-driven financial asset model

    Elisa Luciano;Wim Schoutens

  • A perfect calibration! now what?

    Wim Schoutens;Erwin Simons;Jurgen Tistaert

  • The Meixner process : theory and applications in finance

    W Wim Schoutens

  • Machine learning for quantitative finance: fast derivative pricing, hedging and fitting

    Jan De Spiegeleer;Dilip B. Madan;Sofie Reyners;Wim Schoutens

  • Pricing Contingent Convertibles: A Derivatives Approach

    Jan De Spiegeleer;Wim Schoutens

  • Exotic Option Pricing and Advanced Levy Models

    Andreas E. Kyprianou;Wim Schoutens;Paul Wilmott

  • Pricing Credit Default Swaps Under Levy Models

    Jessica Cariboni;Wim Schoutens

  • A Generic One-Factor Lévy Model for Pricing Synthetic CDOs

    Hansjörg Albrecher;Sophie A. Ladoucette;Wim Schoutens

  • Levy Processes in Credit Risk

    Wim Schoutens;Jessica Cariboni

  • Static Hedging of Asian Options under Lévy Models

    Hansjörg Albrecher;Jan Dhaene;Marc Goovaerts;Wim Schoutens

  • Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type

    Luis Valdivieso;Wim Schoutens;Francis Tuerlinckx

  • Contingent Capital: An In-Depth Discussion†

    Stan Maes;Wim Schoutens

  • Completion of a Levy market by power-jump assets

    José Manuel Corcuera;David Nualart;Wim Schoutens

  • Break on Through to the Single Side.

    Dilip B. Madan;Wim Schoutens

  • Exotic options under Lévy models: An overview

    Wim Schoutens

  • The herd behavior index: A new measure for the implied degree of co-movement in stock markets

    Jan Dhaene;Daniël Linders;Wim Schoutens;David Vyncke

  • Self exciting threshold interest rates models

    Marc Decamps;Marc Goovaerts;Wim Schoutens

  • General Lower Bounds for Arithmetic Asian Option Prices

    Hansjörg Albrecher;Philipp Arnold Mayer;Wim Schoutens

  • Close form pricing formulas for Coupon Cancellable CoCos

    José Manuel Corcuera;Jan De Spiegeleer;José Fajardo;Henrik Jönsson

Frequent Co-Authors

Jan Dhaene
Jan Dhaene KU Leuven
Dilip B. Madan
Dilip B. Madan University of Maryland, College Park
Peter Carr
Peter Carr New York University
Cornelis W. Oosterlee
Cornelis W. Oosterlee Utrecht University
Barbara Wohlmuth
Barbara Wohlmuth Technical University of Munich

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