Eduardo Schwartz | Academic Influence

Eduardo Schwartz's AcademicInfluence.com Rankings

Eduardo Schwartz

Economics

#968

World Rank

#1136

Historical Rank

Macroeconomics

#147

World Rank

#157

Historical Rank

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Economics

Eduardo Schwartz's Degrees

Bachelors Economics Pontifical Catholic University of Chile

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Why Is Eduardo Schwartz Influential?

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According to Wikipedia, Eduardo Saul Schwartz is a professor of finance at SFU's Beedie School of Business, where he holds the Ryan Beedie Chair in Finance. He is also a Distinguished Research Professor at the University of California, Los Angeles. He is known for pioneering research in several areas of finance, particularly derivatives. His major contributions include: the real options method of pricing investments under uncertainty; the Longstaff–Schwartz model - a multi-factor short-rate model; the Longstaff-Schwartz method for valuing American options by Monte Carlo Simulation; the use of Finite difference methods for option pricing.

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Eduardo Schwartz's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Investment Under Uncertainty. (1994) (7667)
Valuing American Options by Simulation: A Simple Least-Squares Approach (2001) (3209)
Evaluating Natural Resource Investments (1985) (2347)
The stochastic behavior of commodity prices: Implications for valuation and hedging (1997) (2101)
Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000) (1126)
Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990) (1086)
Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2000) (1019)
A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995) (969)
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992) (961)
A continuous time approach to the pricing of bonds (1979) (739)
The Valuation of American Put Options (1977) (687)
Analyzing Convertible Bonds (1980) (573)
The pricing of equity-linked life insurance policies with an asset value guarantee (1976) (510)
Prepayment and the Valuation of Mortgage-Backed Securities (1989) (466)
Integration vs. Segmentation in the Canadian Stock Market (1986) (459)
Real Options and Investment under Uncertainty: Classical Readings and Recent Contributions (2004) (383)
Strategic asset allocation (1997) (376)
An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982) (354)
The Valuation of Commodity Contingent Claims (1994) (344)
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2006) (314)
Rational Pricing of Internet Companies (2000) (308)
O/S: The Relative Trading Activity in Options and Stock (2009) (306)
THE CASE FOR CONVERTIBLES (1988) (298)
Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates (1998) (290)
Equilibrium Prices of Guarantees Under Equity-Linked Contracts (1977) (281)
Patents and R&D as Real Options (2003) (264)
Optimal Financial Policy and Firm Valuation (1984) (258)
The valuation of warrants: Implementing a new approach (1977) (257)
Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978) (249)
Savings bonds, retractable bonds and callable bonds (1977) (240)
Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1977) (228)
Arbitrage in Stock Index Futures (1990) (222)
Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion (1977) (220)
Implementing a stochastic model for oil futures prices (2003) (213)
The Valuation of Forestry Resources under Stochastic Prices and Inventories (1988) (211)
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence (2000) (207)
Investment Under Uncertainty in Information Technology: Acquisition and Development Projects (2003) (187)
Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007) (183)
Electronic Screen Trading and the Transmission of Information: An Empirical Examination (1994) (165)
Prepayment, Default, and the Valuation of Mortgage Pass-through Securities (1992) (162)
Rights versus Underwritten Offerings: An Asymmetric Information Approach (1986) (160)
Are All Credit Default Swap Databases Equal? (2010) (159)
Options Trading Activity and Firm Valuation (2007) (152)
A Two-Factor Model of the Term Structure: An Approximate Analytical Solution (1984) (152)
Rational Pricing of Internet Companies Revisited (2000) (149)
Valuing Credit Derivatives (1995) (148)
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2007) (144)
Evaluating Environmental Investments: a Real Options Approach (1998) (140)
Mortgage Prepayment and Default Decisions: A Poisson Regression Approach (1993) (135)
Valuing Long-Term Commodity Assets (1998) (130)
Optimal Exploration Investments Under Price and Geological-Technical Uncertainty: A Real Options Model (2000) (124)
Determinants of GNMA Mortgage Prices (1985) (122)
Abstract: Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee (1977) (120)
Consistent Regulatory Policy under Uncertainty (1982) (111)
Role of Learning in Dynamic Portfolio Decisions” (1997) (108)
R&D Investments with Competitive Interactions (2003) (106)
Portfolio Insurance and Financial Market Equilibrium (1989) (101)
Time-Dependent Variance and the Pricing of Bond Options (1987) (94)
Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market (1999) (90)
A Compound Option Model of Production and Intermediate Inventories (1993) (82)
Stable modeling of value at risk (2001) (79)
Variance Risk Premia in Energy Commodities (2010) (79)
The Pricing of Commodity‐Linked Bonds (1982) (76)
Homeownership as a Constraint on Asset Allocation (2005) (75)
Theory of Storage and the Pricing of Commodity Claims (2004) (73)
Market valuation of bank assets and deposit insurance in Canada (1989) (73)
Growth Options and Firm Valuation (2013) (67)
The LIFO/FIFO Choice: An Asymmetric Information Approach (1988) (66)
Implementing a Real Option Model for Valuing an Undeveloped Oil Field (1997) (65)
A Model of R&D Valuation and the Design of Research Incentives (2003) (64)
Conditional Predictions of Bond Prices and Returns (1980) (63)
Illiquid Assets and Optimal Portfolio Choice (2004) (63)
The Stochastic Behaviour of Market Variance Implied in the Prices of Index Options (1991) (63)
Monte Carlo evaluation model of an undeveloped oil field (1998) (62)
The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach (2003) (62)
Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate (1996) (60)
Evaluating Income Streams: a Decision Analysis Approach (1998) (58)
The origin of LYONs: A case study in financial innovation (2023) (57)
Valuing debt options : Empirical evidence (1986) (53)
The Valuation of American Exchange Options with Application to Real Options (1995) (50)
Valuation of Information Technology Investments As Real Options (2000) (49)
Portfolio Choice Theory with Non-Gaussian Distributed Returns (2003) (48)
Commercial Office Space: Testing the Implications of Real Options Models With Competitive Interactions (2007) (43)
Portfolio selection with stable distributed returns (2002) (42)
A Two-Factor Interest Rate Model And Contingent Claims Valuation (1992) (42)
Retractable and Extendible Bonds: The Canadian Experience (1980) (36)
The Swaption Cube (2013) (36)
Implementation of The Longstaff-Schwartz Interest Rate Model (1993) (35)
Stable Modeling of Market and Credit Value at Risk (2003) (34)
Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change (2015) (33)
Pricing and Investment Strategies for Guaranteed Equity-Linked Life Insurance (1979) (32)
Sovereign Debt: Optimal Contract, Underinvestment, and Forgiveness (1992) (32)
Time-Invariant Portfolio Insurance Strategies (1988) (32)
Commodity Price Forecasts, Futures Prices and Pricing Models (2016) (31)
Regulation and Corporate Investment Policy (1982) (31)
The problem of optimal asset allocation with stable distributed returns (2000) (30)
On the Geometric Mean Index: A Note (1985) (27)
Interest Rate Volatility and Bond Prices (1993) (27)
Term-structure estimation in markets with infrequent trading (2007) (27)
Expected commodity returns and pricing models (2015) (26)
Stranded Fossil Fuel Reserves and Firm Value (2019) (24)
Trading Activity in the Equity Market and Its Contingent Claims: An Empirical Investigation (2012) (24)
THE REAL OPTIONS APPROACH TO VALUATION: CHALLENGES AND OPPORTUNITIES (2013) (23)
Pricing Expropriation Risk in Natural Resource Contracts - A Real Options Approach (2008) (22)
Real Options with Uncertain Maturity and Competition (2007) (22)
Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data (2004) (21)
Convergence Within the EU: Evidence from Interest Rates (2000) (21)
Valuing the implicit guarantee of the Federal National Mortgage Association (1988) (20)
Commercial Office Space: Tests of a Real Options Model with Competitive Interactions (2003) (20)
Commodity and Asset Pricing Models: An Integration (2013) (19)
STABLE MODELING OF CREDIT RISK (2001) (16)
Towards a Common European Monetary Union Risk Free Rate (2009) (16)
The impact of fat tailed returns on asset allocation (2002) (14)
Can We Disentangle Risk Aversion from Intertemporal Substitution in Consumption (1999) (14)
Savings bonds : theory and empirical evidence (1979) (11)
An Empirical Analysis of the Swaption Cube (2010) (11)
Chapter 9 – Optimal exploration investments under price and geological—technical uncertainty: a real options model (2003) (11)
Evaluating Investments in Disruptive Technologies (2002) (9)
Continuous Signaling within Partitions: Capital Structure and the FIFO/LIFO Choice (1994) (9)
1Real Options and Investment under Uncertainty: An Overview (2016) (9)
Asset Pricing in a Small Economy: A Test of the Omitted Assets Model (1986) (8)
Expected prices, futures prices and time-varying risk premiums: The case of copper (2020) (8)
The determinants of bond call premia: A signalling approach (1994) (7)
Liquidity and the Law of One Price: The Case of the Cash/Futures Basis (2005) (7)
Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails (2003) (7)
Stable Non-Gaussian Models for Credit Risk Management (2003) (7)
Optimal investment and production decisions and the value of the firm (1998) (6)
The Carbon Abatement Game (2018) (5)
The Social Cost of Carbon in a Non-Cooperative World (2019) (5)
A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives (2006) (5)
Comments on “A Note on Parameter Estimation in the Two-Factor Longstaff and Schwartz Interest Rate Model” (1994) (5)
Towards a common Eurozone risk free rate (2015) (5)
Credit Spreads in Illiquid Markets: Model and Implementation (2012) (4)
The Valuation of American Options for a Class of Diffusion Processes Jer 8 me (2007) (4)
Average and Marginal Tobin’s q as Indicators of Future Growth Opportunities, Expected Return, and Risk by (2008) (4)
Price Discovery in the Credit Markets (2017) (4)
The Pricing of Crude Oil Futures Contracts (1990) (4)
Generalized option pricing models : numerical solutions and the pricing of a new life insurance contract (1975) (4)
The stable non-Gaussian asset allocation (2000) (3)
How Should Firms Hedge Market Risk (2016) (3)
Accounting Research Center, Booth School of Business, University of Chicago (2013) (2)
The Controversy Over Executive Compensation (2004) (2)
Cash Flow Multipliers and Optimal Investment Decisions (2010) (2)
The Valuation of Fisheries Rights: A Real Options Approach (2018) (2)
Recent developments in corporate finance: Precommitment to equity financing choices in a world of asymmetric information (1986) (1)
Fisheries Optimal Harvest Under Price and Biomass Uncertainty (2021) (1)
Price Discovery Limits in the Credit Default Swap Market in the Financial Crisis (2020) (1)
Contemporary Issues: Valuing Long-Term Commodity Assets (1998) (1)
Commodity index risk premium (2020) (1)
Patents and R& D as Real Options - eScholarship (2002) (1)
A Protocol for Factor Identification by Kuntara Pukthuanthong and Richard Roll (2015) (0)
Oil price analysts' forecasts (2021) (0)
Fisheries Optimal Harvest Under Price and Biomass Uncertainty (2021) (0)
American Finance Association Prepayment and the Valuation of Mortgage-Backed Securities Author ( s ) : (2007) (0)
HOMEOWNERSHIP AS A CONSTRAINT ON ASSET ALLOCATION March, 2003 (2003) (0)
We integrate the financial architecture into the theory of investment by building on two strands of literature : irreversible investment and debt pricing / capital structure (2007) (0)
1 ARE ALL CREDIT DEFAULT SWAP DATABASES EQUAL ? (2012) (0)
RATIONAL PRICING OF INTERNET COMPANIES REVISITED September 2000 (2000) (0)
RATIONAL PRICING OF INTERNET COMPANIES September 1999 Revised January 2000 (2000) (0)
Rational Infinitely-Lived Asset Prices Must be Non-Stationary By Richard Roll Allstate Professor of Finance The Anderson School at UCLA (2000) (0)
Optimal Harvest with Multiple Fishing Zones, Endogenous Price and Global Uncertainty (2021) (0)
Hedging Corporate Cash Flow Risk (2012) (0)
Price Discovery Limits in the Credit Default Swap Market in the Financial Crisis (2020) (0)
Expected Returns on Oil Futures Etfs (2022) (0)
Time-Varying Term Structure of Oil Risk Premia (2022) (0)
UCLA Recent Work Title The Relative Valuation of Caps and Swaptions : Theory and Empirical Evidence Permalink (2000) (0)
Discussion [Who Should Buy Portfolio Insurance?] (1980) (0)
Equilibrium Exchange Rate Hedging (2016) (0)
Data for: Expected commodity returns and pricing models (2016) (0)
Title The effect of options on information acquisition and assetpricing (2015) (0)
SESSION TOPIC: OPTIONS (1977) (0)
Appendix to “ The Swaption Cube ” (2015) (0)
State-of-the-Art Studies in Financial Theory: Discussion (1979) (0)
UCLA Recent Work Title Optimal Recursive (2002) (0)

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