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Henderson, Vicky

Co-Author Distance
Author ID: henderson.vicky Recent zbMATH articles by "Henderson, Vicky"
Published as: Henderson, Vicky
Homepage: https://warwick.ac.uk/fac/sci/statistics/staff/academic-research/henderson/
External Links: MGP
Documents Indexed: 37 Publications since 2000
1 Contribution as Editor
Co-Authors: 20 Co-Authors with 30 Joint Publications
338 Co-Co-Authors
all top 5

Co-Authors

8 single-authored
20 Hobson, David Graham
2 Kluge, Tino
2 Liang, Gechun
2 Sun, Jia
2 Tse, Alex S. L.
2 Whalley, A. Elizabeth
2 Wojakowski, Rafał
2 Zeng, Matthew
1 Benth, Fred Espen
1 Crisan, Dan O.
1 Cvitanić, Jakša
1 Evans, Jonathan David
1 Grasselli, Matheus R.
1 Guasoni, Paolo
1 Howison, Samuel Dexter
1 Kentwell, Glenn
1 Kladívko, Kamil
1 Lazrak, Ali
1 Manolarakis, Konstantinos
1 Monoyios, Michael
1 Muhle-Karbe, Johannes
1 Muscat, Jonathan
1 Nee, Colm
1 Protter, Philip Elliott
1 Reisinger, Christoph
1 Shaw, William T.
1 Sircar, Ronnie
all top 5

Serials

5 Mathematical Finance
4 Journal of Economic Dynamics & Control
3 Finance and Stochastics
3 International Journal of Theoretical and Applied Finance
3 Quantitative Finance
2 Journal of Economic Theory
2 Mathematics and Financial Economics
1 Journal of Applied Probability
1 Operations Research
1 SIAM Journal on Control and Optimization
1 Annals of Operations Research
1 The Annals of Applied Probability
1 Stochastic Processes and their Applications
1 Stochastics and Stochastics Reports
1 Economic Theory
1 Applied Mathematical Finance
1 Electronic Communications in Probability
1 Applied Stochastic Models in Business and Industry
1 Review of Derivatives Research
1 Lecture Notes in Mathematics
1 SIAM Journal on Financial Mathematics
all top 5

Fields

37 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
17 Probability theory and stochastic processes (60-XX)
5 Systems theory; control (93-XX)
2 Partial differential equations (35-XX)
1 General and overarching topics; collections (00-XX)
1 Ordinary differential equations (34-XX)
1 Calculus of variations and optimal control; optimization (49-XX)
1 Numerical analysis (65-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

37 Publications have been cited 545 times in 367 Documents Cited by ▼ Year ▼
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
99
2002
Utility indifference pricing: an overview. Zbl 1158.91379
Henderson, Vicky; Hobson, David
60
2009
Valuing the option to invest in an incomplete market. Zbl 1268.91167
Henderson, Vicky
49
2007
Real options with constant relative risk aversion. Zbl 1027.91039
Henderson, Vicky; Hobson, David G.
45
2002
Horizon-unbiased utility functions. Zbl 1131.60030
Henderson, Vicky; Hobson, David
34
2007
On the equivalence of floating- and fixed-strike Asian options. Zbl 1004.60042
Henderson, Vicky; Wojakowski, Rafał
27
2002
Explicit solutions to an optimal portfolio choice problem with stochastic income. Zbl 1198.91188
Henderson, Vicky
27
2005
Risk aversion and block exercise of executive stock options. Zbl 1170.91413
Grasselli, Matheus; Henderson, Vicky
23
2009
Optimal timing for an indivisible asset sale. Zbl 1214.91112
Evans, Jonathan; Henderson, Vicky; Hobson, David
16
2008
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
15
2005
An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021
Henderson, Vicky; Hobson, David
15
2008
Analytical comparisons of option prices in stochastic volatility models. Zbl 1109.91025
Henderson, Vicky
13
2005
The impact of the market portfolio on the valuation, incentives and optimality of executive stock options. Zbl 1118.91323
Henderson, Vicky
13
2005
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David
12
2002
Local time, coupling and the passport option. Zbl 0944.60046
Henderson, Vicky; Hobson, David
11
2000
Pseudo linear pricing rule for utility indifference valuation. Zbl 1403.91342
Henderson, Vicky; Liang, Gechun
10
2014
Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165
Henderson, Vicky; Hobson, David
8
2013
Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
8
2017
Passport options with stochastic volatility. Zbl 1013.91046
Henderson, Vicky; Hobson, David
8
2001
A multidimensional exponential utility indifference pricing model with applications to counterparty risk. Zbl 1414.91375
Henderson, Vicky; Liang, Gechun
7
2016
Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466
Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal
6
2007
Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
5
2018
Optimal liquidation of derivative portfolios. Zbl 1215.91073
Henderson, Vicky; Hobson, David
5
2011
Portfolios of American options under general preferences: results and counterexamples. Zbl 1314.91196
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth
5
2014
Cautious stochastic choice, optimal stopping and deliberate randomization. Zbl 1520.91114
Henderson, Vicky; Hobson, David; Zeng, Matthew
3
2023
Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161
Henderson, Vicky; Hobson, David; Kluge, Tino
3
2007
Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446
Henderson, Vicky; Hobson, David
3
2008
Executive stock option exercise with full and partial information on a drift change point. Zbl 1455.91257
Henderson, Vicky; Kladívko, Kamil; Monoyios, Michael; Reisinger, Christoph
3
2020
Optimal stopping and the sufficiency of randomized threshold strategies. Zbl 1390.60155
Henderson, Vicky; Hobson, David; Zeng, Matthew
2
2018
A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448
Henderson, Vicky; Hobson, David; Kentwell, Glenn
2
2002
A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447
Henderson, Vicky; Hobson, David
2
2006
Paris-Princeton lectures on mathematical finance 2013. Zbl 1270.91003
1
2013
On managerial risk-taking incentives when compensation may be hedged against. Zbl 1307.91112
Cvitanić, Jakša; Henderson, Vicky; Lazrak, Ali
1
2014
Partial liquidation under reference-dependent preferences. Zbl 1433.91155
Henderson, Vicky; Muscat, Jonathan
1
2020
Price comparison results and super-replication: An application to passport options. Zbl 0972.60022
Henderson, Vicky
1
2000
Passport options outside the Black Scholes world. Zbl 0980.91054
Henderson, Vicky
1
2001
Is corporate control effective when managers face investment timing decisions in incomplete markets? Zbl 1230.91186
Henderson, Vicky
1
2010
Cautious stochastic choice, optimal stopping and deliberate randomization. Zbl 1520.91114
Henderson, Vicky; Hobson, David; Zeng, Matthew
3
2023
Executive stock option exercise with full and partial information on a drift change point. Zbl 1455.91257
Henderson, Vicky; Kladívko, Kamil; Monoyios, Michael; Reisinger, Christoph
3
2020
Partial liquidation under reference-dependent preferences. Zbl 1433.91155
Henderson, Vicky; Muscat, Jonathan
1
2020
Probability weighting, stop-loss and the disposition effect. Zbl 1417.91201
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
5
2018
Optimal stopping and the sufficiency of randomized threshold strategies. Zbl 1390.60155
Henderson, Vicky; Hobson, David; Zeng, Matthew
2
2018
Randomized strategies and prospect theory in a dynamic context. Zbl 1400.91178
Henderson, Vicky; Hobson, David; Tse, Alex S. L.
8
2017
A multidimensional exponential utility indifference pricing model with applications to counterparty risk. Zbl 1414.91375
Henderson, Vicky; Liang, Gechun
7
2016
Pseudo linear pricing rule for utility indifference valuation. Zbl 1403.91342
Henderson, Vicky; Liang, Gechun
10
2014
Portfolios of American options under general preferences: results and counterexamples. Zbl 1314.91196
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth
5
2014
On managerial risk-taking incentives when compensation may be hedged against. Zbl 1307.91112
Cvitanić, Jakša; Henderson, Vicky; Lazrak, Ali
1
2014
Risk aversion, indivisible timing options, and gambling. Zbl 1268.91165
Henderson, Vicky; Hobson, David
8
2013
Paris-Princeton lectures on mathematical finance 2013. Zbl 1270.91003
1
2013
Optimal liquidation of derivative portfolios. Zbl 1215.91073
Henderson, Vicky; Hobson, David
5
2011
Is corporate control effective when managers face investment timing decisions in incomplete markets? Zbl 1230.91186
Henderson, Vicky
1
2010
Utility indifference pricing: an overview. Zbl 1158.91379
Henderson, Vicky; Hobson, David
60
2009
Risk aversion and block exercise of executive stock options. Zbl 1170.91413
Grasselli, Matheus; Henderson, Vicky
23
2009
Optimal timing for an indivisible asset sale. Zbl 1214.91112
Evans, Jonathan; Henderson, Vicky; Hobson, David
16
2008
An explicit solution for an optimal stopping/optimal control problem which models an asset sale. Zbl 1165.60021
Henderson, Vicky; Hobson, David
15
2008
Perpetual American options in incomplete markets: The infinitely divisible case. Zbl 1154.91446
Henderson, Vicky; Hobson, David
3
2008
Valuing the option to invest in an incomplete market. Zbl 1268.91167
Henderson, Vicky
49
2007
Horizon-unbiased utility functions. Zbl 1131.60030
Henderson, Vicky; Hobson, David
34
2007
Bounds for in-progress floating-strike Asian options using symmetry. Zbl 1132.91466
Henderson, Vicky; Hobson, David; Shaw, William; Wojakowski, Rafal
6
2007
Is there an informationally passive benchmark for option pricing incorporating maturity? Zbl 1278.91161
Henderson, Vicky; Hobson, David; Kluge, Tino
3
2007
A note on irreversible investment, hedging and optimal consumption problems. Zbl 1138.91447
Henderson, Vicky; Hobson, David
2
2006
Explicit solutions to an optimal portfolio choice problem with stochastic income. Zbl 1198.91188
Henderson, Vicky
27
2005
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
15
2005
Analytical comparisons of option prices in stochastic volatility models. Zbl 1109.91025
Henderson, Vicky
13
2005
The impact of the market portfolio on the valuation, incentives and optimality of executive stock options. Zbl 1118.91323
Henderson, Vicky
13
2005
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
99
2002
Real options with constant relative risk aversion. Zbl 1027.91039
Henderson, Vicky; Hobson, David G.
45
2002
On the equivalence of floating- and fixed-strike Asian options. Zbl 1004.60042
Henderson, Vicky; Wojakowski, Rafał
27
2002
Coupling and option price comparisons in a jump-diffusion model. Zbl 1030.60078
Henderson, Vicky; Hobson, David
12
2002
A new class of commodity hedging strategies: a passport options approach. Zbl 1138.91448
Henderson, Vicky; Hobson, David; Kentwell, Glenn
2
2002
Passport options with stochastic volatility. Zbl 1013.91046
Henderson, Vicky; Hobson, David
8
2001
Passport options outside the Black Scholes world. Zbl 0980.91054
Henderson, Vicky
1
2001
Local time, coupling and the passport option. Zbl 0944.60046
Henderson, Vicky; Hobson, David
11
2000
Price comparison results and super-replication: An application to passport options. Zbl 0972.60022
Henderson, Vicky
1
2000
all cited Publications top 5 cited Publications
all top 5

Cited by 532 Authors

27 Henderson, Vicky
20 Hobson, David Graham
11 Liang, Gechun
10 Leung, Tim
9 Zariphopoulou, Thaleia
6 Pirjol, Dan
6 Zhu, Lingjiong
5 Campi, Luciano
5 Ludkovski, Michael
5 Monoyios, Michael
5 Mrad, Mohamed
5 Robertson, Scott
5 Sircar, Ronnie
5 Večeř, Jan
5 Yang, Zhaojun
4 Choulli, Tahir
4 Chronopoulos, Michail
4 Ewald, Christian-Oliver
4 Grasselli, Matheus R.
4 Mostovyi, Oleksii
4 Muhle-Karbe, Johannes
4 Obloj, Jan K.
4 Pelsser, Antoon A. J.
4 Sîrbu, Mihai
4 Strub, Moris S.
4 Tse, Alex S. L.
4 Yang, Jinqiang
4 Yu, Wanghui
4 Zhu, Songping
3 Ankirchner, Stefan
3 Bergenthum, Jan
3 Chen, Xinfu
3 Chong, Wing Fung
3 Ekström, Erik
3 El Karoui, Nicole
3 Elliott, Robert James
3 He, Xuedong
3 Herdegen, Martin
3 Jaimungal, Sebastian
3 Lai, Xin
3 Li, Xun
3 Lyuu, Yuh-Dauh
3 Malamud, Semyon
3 Qin, Cong
3 Rüschendorf, Ludger
3 Santacroce, Marina
3 Schweizer, Martin
3 Siu, Tak Kuen
3 Thijssen, Jacco J. J.
3 Trubowitz, Eugene
3 Whalley, A. Elizabeth
3 Yi, Fahuai
3 Zhang, Hongzhong
3 Zhou, Xunyu
3 Zhu, Yeqi
3 Žitković, Gordan
2 Anthropelos, Michail
2 Avanesyan, Levon
2 Barigou, Karim
2 Becherer, Dirk
2 Beetsma, Roel M. W. J.
2 Bian, Baojun
2 Callegaro, Giorgia
2 Carassus, Laurence
2 Cartea, Álvaro
2 Ceci, Claudia
2 Černý, Aleš
2 Chakrabarty, Siddhartha Pratim
2 Chen, Damiaan H. J.
2 Cheridito, Patrick
2 Choi, Kyoung Jin
2 Covello, D.
2 Cvitanić, Jakša
2 Davis, Mark Herbert Ainsworth
2 De Gennaro Aquino, Luca
2 De Reyck, Bert
2 Delaney, Laura
2 Dhaene, Jan
2 Dorfleitner, Gregor
2 dos Reis, Gonçalo
2 Eberlein, Ernst W.
2 Gao, Jianwei
2 Gerardi, Anna
2 Gerer, Johannes
2 German, David
2 Guo, Ivan
2 Hillairet, Caroline
2 Hsu, William Wei-Yuan
2 Hu, Sang
2 Hu, Ying
2 Huang, Shuo
2 Hugonnier, Julien-N.
2 Imkeller, Peter
2 Källblad, Sigrid
2 Kampen, Jörg
2 Kanaujiya, Ankur
2 Kort, Peter M.
2 Kramkov, Dmitriĭ Olegovich
2 Kupper, Michael
2 Kwak, Minsuk
...and 432 more Authors
all top 5

Cited in 88 Serials

31 Mathematical Finance
26 International Journal of Theoretical and Applied Finance
24 Journal of Economic Dynamics & Control
22 Quantitative Finance
20 Finance and Stochastics
17 European Journal of Operational Research
15 SIAM Journal on Financial Mathematics
14 Insurance Mathematics & Economics
13 Mathematics and Financial Economics
10 Stochastic Processes and their Applications
10 Applied Mathematical Finance
7 SIAM Journal on Control and Optimization
6 Applied Mathematics and Computation
6 Annals of Operations Research
6 Review of Derivatives Research
5 Journal of Mathematical Analysis and Applications
5 Journal of Computational and Applied Mathematics
5 The Annals of Applied Probability
5 Journal of Industrial and Management Optimization
4 Journal of Applied Probability
4 Journal of Optimization Theory and Applications
4 Mathematical Methods of Operations Research
4 Decisions in Economics and Finance
4 ASTIN Bulletin
4 Annals of Finance
3 Journal of Economic Theory
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 European Journal of Applied Mathematics
3 North American Actuarial Journal
3 Asia-Pacific Financial Markets
3 International Journal of Stochastic Analysis
2 Advances in Applied Probability
2 Computers & Mathematics with Applications
2 Theory of Probability and its Applications
2 The Annals of Probability
2 Applied Mathematics and Optimization
2 Journal of Mathematical Economics
2 Mathematics of Operations Research
2 Mathematical Social Sciences
2 Acta Mathematicae Applicatae Sinica. English Series
2 Economic Theory
2 Journal of Systems Science and Complexity
2 Computational Management Science
2 Frontiers of Mathematics in China
2 Probability, Uncertainty and Quantitative Risk
1 Journal of Mathematical Physics
1 Physica A
1 International Economic Review
1 Journal of Differential Equations
1 Operations Research
1 Operations Research Letters
1 Stochastic Analysis and Applications
1 Acta Applicandae Mathematicae
1 Journal of Economics
1 Journal of Scientific Computing
1 Journal of Applied Mathematics and Stochastic Analysis
1 Economics Letters
1 Games and Economic Behavior
1 Communications in Statistics. Theory and Methods
1 International Journal of Computer Mathematics
1 Computational Economics
1 SIAM Journal on Scientific Computing
1 Theory of Probability and Mathematical Statistics
1 Journal of Mathematical Sciences (New York)
1 Electronic Communications in Probability
1 Bernoulli
1 International Transactions in Operational Research
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Soft Computing
1 Journal of Inequalities and Applications
1 Probability in the Engineering and Informational Sciences
1 Methodology and Computing in Applied Probability
1 Applied Stochastic Models in Business and Industry
1 Scandinavian Actuarial Journal
1 Nonlinear Analysis. Real World Applications
1 Discrete and Continuous Dynamical Systems. Series B
1 Journal of Applied Mathematics and Computing
1 Stochastics
1 Journal of Fixed Point Theory and Applications
1 Advances in Data Analysis and Classification. ADAC
1 Optimization Letters
1 Journal of Statistical Theory and Practice
1 MathematicS In Action
1 International Journal of Economic Theory
1 Science China. Mathematics
1 Mathematical Control and Related Fields
1 International Journal of Applied and Computational Mathematics
1 AIMS Mathematics
all top 5

Cited in 17 Fields

344 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
161 Probability theory and stochastic processes (60-XX)
56 Systems theory; control (93-XX)
25 Partial differential equations (35-XX)
24 Calculus of variations and optimal control; optimization (49-XX)
24 Operations research, mathematical programming (90-XX)
16 Numerical analysis (65-XX)
15 Statistics (62-XX)
3 Ordinary differential equations (34-XX)
2 Integral equations (45-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Approximations and expansions (41-XX)
1 Integral transforms, operational calculus (44-XX)
1 Functional analysis (46-XX)
1 Operator theory (47-XX)
1 Mechanics of particles and systems (70-XX)
1 Statistical mechanics, structure of matter (82-XX)

Citations by Year