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

Basic class information
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
14 4 MATHEMATICS//MATHEMATICS, APPLIED//MATH 912822
424 3       BUSINESS, FINANCE//INSURANCE MATHEMATICS & ECONOMICS//OPTION PRICING 29904
653 2             OPTION PRICING//BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//REAL OPTIONS 13895
630 1                   OPTION PRICING//AMERICAN OPTIONS//STOCHASTIC VOLATILITY 3247
3039 1                   TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES//EXPECTATIONS HYPOTHESIS 2108
4103 1                   BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS//G EXPECTATION 1880
5391 1                   REAL OPTIONS//INVESTMENT UNDER UNCERTAINTY//INVESTMENT TIMING 1661
6501 1                   OPTIMAL INVESTMENT//PROPORTIONAL REINSURANCE//HAMILTON JACOBI BELLMAN EQUATION 1506
7123 1                   INCOMPLETE MARKETS//FINANCE AND STOCHASTICS//FUNDAMENTAL THEOREM OF ASSET PRICING 1430
19107 1                   CONVENIENCE YIELD//ELECTRICITY SPOT PRICE//THEORY OF STORAGE 544
20081 1                   OPTIMAL STOPPING//SKOROKHOD EMBEDDING PROBLEM//MAXIMUM PROCESS 498
21648 1                   PAIRS TRADING//SINGULAR STOCHASTIC CONTROL//SELLING RULE 434
25429 1                   VARIABLE ANNUITIES//SURRENDER OPTION//PARISIAN OPTIONS 305
26202 1                   SWING OPTIONS//BERMUDAN OPTIONS//AMERICAN OPTIONS 282

Terms with highest relevance score


rank Category termType chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 OPTION PRICING authKW 900642 4% 65% 612
2 BACKWARD STOCHASTIC DIFFERENTIAL EQUATION authKW 832994 3% 89% 413
3 REAL OPTIONS authKW 678219 4% 49% 606
4 AMERICAN OPTIONS authKW 614936 2% 87% 313
5 MATHEMATICAL FINANCE journal 518786 3% 63% 361
6 BUSINESS, FINANCE WoSSC 499365 28% 6% 3939
7 FINANCE AND STOCHASTICS journal 450120 2% 68% 294
8 STOCHASTIC VOLATILITY authKW 422936 3% 46% 405
9 QUANTITATIVE FINANCE journal 331336 3% 33% 445
10 OPTIMAL STOPPING authKW 330675 2% 44% 329

Web of Science journal categories


chi_square_rank Category chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 Business, Finance 499365 28% 6% 3939
2 Social Sciences, Mathematical Methods 232118 16% 5% 2230
3 Economics 139581 34% 1% 4784
4 Statistics & Probability 124649 23% 2% 3240
5 Mathematics, Interdisciplinary Applications 79628 17% 2% 2428
6 Mathematics, Applied 31194 20% 1% 2735
7 Operations Research & Management Science 18742 9% 1% 1210
8 Automation & Control Systems 4452 4% 0% 573
9 Management 3850 4% 0% 565
10 Mathematics 3245 8% 0% 1130

Address terms


chi_square_rank term chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 FINANCE 103916 5% 7% 659
2 PL FINANCE ACTUARIAL STUDIES 45405 0% 38% 53
3 MATH 36986 20% 1% 2798
4 FINANCE CONTROL SCI 35564 0% 83% 19
5 ACTUARIAL STUDIES 34485 0% 27% 57
6 STAT PROC 28626 0% 45% 28
7 ADV STUDIES FINANCE 27744 0% 58% 21
8 FINANCIAL ENGN 27390 0% 18% 66
9 INT QUANTITAT FINANCE 24671 0% 78% 14
10 MANCEAU MATH 24482 0% 54% 20

Journals


chi_square_rank term chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 MATHEMATICAL FINANCE 518786 3% 63% 361
2 FINANCE AND STOCHASTICS 450120 2% 68% 294
3 QUANTITATIVE FINANCE 331336 3% 33% 445
4 SIAM JOURNAL ON FINANCIAL MATHEMATICS 232600 1% 66% 156
5 INSURANCE MATHEMATICS & ECONOMICS 195565 3% 20% 435
6 JOURNAL OF FUTURES MARKETS 163182 3% 20% 356
7 JOURNAL OF COMPUTATIONAL FINANCE 153120 1% 68% 99
8 JOURNAL OF DERIVATIVES 134993 1% 52% 114
9 STOCHASTIC PROCESSES AND THEIR APPLICATIONS 98731 3% 11% 390
10 REVIEW OF DERIVATIVES RESEARCH 90073 0% 62% 64

Author Key Words


chi_square_rank term chi_square shrOfCwithTerm shrOfTermInClass termInClass LCSH search Wikipedia search
1 OPTION PRICING 900642 4% 65% 612 Search OPTION+PRICING Search OPTION+PRICING
2 BACKWARD STOCHASTIC DIFFERENTIAL EQUATION 832994 3% 89% 413 Search BACKWARD+STOCHASTIC+DIFFERENTIAL+EQUATION Search BACKWARD+STOCHASTIC+DIFFERENTIAL+EQUATION
3 REAL OPTIONS 678219 4% 49% 606 Search REAL+OPTIONS Search REAL+OPTIONS
4 AMERICAN OPTIONS 614936 2% 87% 313 Search AMERICAN+OPTIONS Search AMERICAN+OPTIONS
5 STOCHASTIC VOLATILITY 422936 3% 46% 405 Search STOCHASTIC+VOLATILITY Search STOCHASTIC+VOLATILITY
6 OPTIMAL STOPPING 330675 2% 44% 329 Search OPTIMAL+STOPPING Search OPTIMAL+STOPPING
7 INCOMPLETE MARKETS 213662 2% 40% 238 Search INCOMPLETE+MARKETS Search INCOMPLETE+MARKETS
8 TERM STRUCTURE 211935 1% 58% 161 Search TERM+STRUCTURE Search TERM+STRUCTURE
9 FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 185404 1% 91% 90 Search FORWARD+BACKWARD+STOCHASTIC+DIFFERENTIAL+EQUATIONS Search FORWARD+BACKWARD+STOCHASTIC+DIFFERENTIAL+EQUATIONS
10 UTILITY MAXIMIZATION 178900 1% 49% 160 Search UTILITY+MAXIMIZATION Search UTILITY+MAXIMIZATION

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.

Classes with closest relation at Level 2


rank cluster_id2 link
1 1492 COPULA//JOURNAL OF RISK AND INSURANCE//INSURANCE MATHEMATICS & ECONOMICS
2 34 BUSINESS, FINANCE//ECONOMICS//JOURNAL OF FUTURES MARKETS
3 639 FRACTIONAL BROWNIAN MOTION//MALLIAVIN CALCULUS//STOCHASTIC DIFFERENTIAL EQUATIONS
4 3707 FINITE DIMENSIONAL FILTER//ESTIMATION ALGEBRA//NONLINEAR DRIFT
5 642 BUSINESS, FINANCE//JOURNAL OF BANKING & FINANCE//CAPITAL STRUCTURE
6 3192 LONGEVITY RISK//LEE CARTER MODEL//STOCHASTIC MORTALITY
7 2932 SECRETARY PROBLEM//STOCHASTIC GAMES//MULTI ARMED BANDIT
8 1416 VISCOSITY SOLUTIONS//HAMILTON JACOBI EQUATION//MEAN CURVATURE FLOW
9 3298 BASS MODEL//VINTAGE CAPITAL MODELS//TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE
10 1809 ECONOPHYSICS//PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS//MINORITY GAME

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