Financial Engineering Publications

Publications in Financial Engineering

Explore the most influential research papers and scholarly works that have shaped Financial Engineering. Use the concept filter below to focus on a specific sub-area of research.

Financial Engineering

19.9K

Publications

1.3M

Citations

Showing yearly statistics from 2000-2026.

Page 1

	Year	Citations
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Whitney K. Newey, Kenneth D. West Econometrica Empirical FinanceVolatility ModelingEconomicsFinancial EconomicsAsset Pricing	1987	16.8K
Data Structures for Statistical Computing in Python Wes McKinney Proceedings of the Python in Science Conferences Data RepresentationEngineeringFinancial DataBusiness IntelligenceAlgorithmic Library	2010	10.6K
Conditional Heteroskedasticity in Asset Returns: A New Approach Daniel B. Nelson Econometrica Empirical FinanceVolatility InnovationsVolatility ModelingEconomicsFinancial Economics	1991	10.3K
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options Steven L. Heston Review of Financial Studies Currency OptionsOption PricingMultivariate Stochastic VolatilityFinancial EconomicsAsset Pricing	1993	9K
An Intertemporal Capital Asset Pricing Model Robert C. Merton Econometrica EconomicsCapital Asset PricingFinancial EconomicsAsset PricingPortfolio Selection	1973	6.7K
Multifactor Explanations of Asset Pricing Anomalies Eugene F. Fama, Kenneth R. French The Journal of Finance Empirical FinanceMultifactor ExplanationsAsset PricingBehavioral FinanceRational Icapm	1996	6.4K
Optimization of conditional value-at-risk R. T. Rockafellar, Stan Uryasev The Journal of Risk Mathematical ProgrammingRisk MetricConstrained OptimizationPortfolio ManagementConditional Value-at-risk	2000	6.3K
Optimum consumption and portfolio rules in a continuous-time model Robert C. Merton Journal of Economic Theory Mathematical ProgrammingEconomicsPortfolio OptimizationAsset PricingManagement	1971	6.1K
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case Robert C. Merton The Review of Economics and Statistics Portfolio ChoiceAsset PricingConsumption RulesManagementEconomic Analysis	1969	5.3K
“Options, Futures, and Other Derivatives” AMBER – ABBS Management Business and Entrepreneurship Review Option PricingAsset PricingDerivative InstrumentsBusiness IntelligenceBusiness Administration	2016	5.1K
Equilibrium in a Capital Asset Market Jan Mossin Econometrica EconomicsRisky AssetsFinancial EconomicsAsset PricingFinancial Risk Management	1966	4.9K
The Variation of Certain Speculative Prices Benoît B. Mandelbrot The Journal of Business EngineeringPrice BehaviorFinancial MathematicsMarket MicrostructureAsset Pricing	1963	4.6K

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