Concepedia

John Crosby

JC

12

Publications

286

Citations

11

H-Index

2008

Active since

Affiliations

University of Glasgow(Current)

Temple University

University of Technology Sydney

Old Dominion University

Imperial College London

John Crosby is an author at University of Glasgow specializing in business, finance, and asset pricing.

Top concepts

BusinessFinanceAsset PricingEconomicsOption PricingFinancial EconomicsEngineeringEconomic AnalysisManagementStatistics

Publications per year

2008–2023

12

Publications

12

A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options

Peter Carr, John Crosby · Quantitative Finance · 2010 · 48 citations

A multi-factor jump-diffusion model for commodities†

John Crosby · Quantitative Finance · 2008 · 44 citations

Engineering, Commodity Market, Financial Mathematics +19

Implications of Incomplete Markets for International Economies

Gurdip Bakshi, Mario Cerrato, John Crosby · Review of Financial Studies · 2017 · 33 citations · Full text

International Economics, Economic Integration, Exchange Rate +17

APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING

John Crosby, Nolwenn Le Saux, Aleksandar Mijatović · International Journal of Theoretical and Applied Finance · 2010 · 33 citations

Option Pricing, Engineering, Asset Pricing +10

Relation between higher order comoments and dependence structure of equity portfolio

Mario Cerrato, John Crosby, Minjoo Kim et al. · Journal of Empirical Finance · 2016 · 24 citations

Portfolio Optimization, Financial Economics, Asset Pricing +10

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