Alan Brace

1.9k total citations · 1 hit paper
13 papers, 895 citations indexed

About

Alan Brace is a scholar working on Finance, Computational Theory and Mathematics and Discrete Mathematics and Combinatorics. According to data from OpenAlex, Alan Brace has authored 13 papers receiving a total of 895 indexed citations (citations by other indexed papers that have themselves been cited), including 6 papers in Finance, 5 papers in Computational Theory and Mathematics and 3 papers in Discrete Mathematics and Combinatorics. Recurrent topics in Alan Brace's work include Stochastic processes and financial applications (6 papers), Advanced Graph Theory Research (5 papers) and Limits and Structures in Graph Theory (3 papers). Alan Brace is often cited by papers focused on Stochastic processes and financial applications (6 papers), Advanced Graph Theory Research (5 papers) and Limits and Structures in Graph Theory (3 papers). Alan Brace collaborates with scholars based in Australia, United Kingdom and South Africa. Alan Brace's co-authors include Marek Musiela, D. E. Daykin, Marek Rutkowski, Jakša Cvitanić, Tomasz R. Bielecki, Elyès Jouini, Yu. M. Kabanov, Thomas Björk, René García and Ioannis Karatzas and has published in prestigious journals such as Proceedings of the American Mathematical Society, Mathematical Finance and Journal of Futures Markets.

In The Last Decade

Alan Brace

11 papers receiving 772 citations

Hit Papers

align trajectories

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

The Market Model of Interest Rate Dynamics

1997 589 citations Alan Brace, Marek Musiela et al. Mathematical Finance profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Alan Brace Australia	7	768	249	132	104	73	13	895
Josef Teichmann Switzerland	17	709 0.9×	200 0.8×	76 0.6×	44 0.4×	178 2.4×	67	966
Jim Gatheral United States	16	1.2k 1.6×	491 2.0×	176 1.3×	82 0.8×	119 1.6×	40	1.3k
Bernt Øksendal Norway	11	521 0.7×	255 1.0×	113 0.9×	22 0.2×	168 2.3×	28	763
Éric Fournié Germany	9	517 0.7×	150 0.6×	119 0.9×	46 0.4×	73 1.0×	22	703
Jesper Andreasen Australia	11	782 1.0×	182 0.7×	142 1.1×	38 0.4×	53 0.7×	20	818
Farshid Jamshidian Netherlands	13	1.2k 1.6×	410 1.6×	228 1.7×	181 1.7×	121 1.7×	23	1.3k
Jeff Dewynne United Kingdom	3	811 1.1×	295 1.2×	81 0.6×	45 0.4×	67 0.9×	3	1.0k
Christian Bender Germany	13	528 0.7×	209 0.8×	81 0.6×	46 0.4×	95 1.3×	43	630
Yuri Kabanov France	18	1.2k 1.5×	607 2.4×	220 1.7×	30 0.3×	417 5.7×	50	1.4k
Fabio Mercurio United States	17	1.8k 2.3×	578 2.3×	413 3.1×	251 2.4×	209 2.9×	61	2.0k

Countries citing papers authored by Alan Brace

Since Specialization

Citations

This map shows the geographic impact of Alan Brace's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Alan Brace with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Alan Brace more than expected).

Fields of papers citing papers by Alan Brace

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Alan Brace. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Alan Brace. The network helps show where Alan Brace may publish in the future.

Co-authorship network of co-authors of Alan Brace

This figure shows the co-authorship network connecting the top 25 collaborators of Alan Brace. A scholar is included among the top collaborators of Alan Brace based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Alan Brace. Alan Brace is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

Sort: Min cites: Since: Top N: Style:

13 of 13 papers shown

1.

Brace, Alan, et al.. (2024). SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates. Journal of Futures Markets. 44(6). 936–985.

2.

Brace, Alan, et al.. (2022). SOFR Term Structure Dynamics - Discontinuous Short Rates and Stochastic Volatility Forward Rates. SSRN Electronic Journal. 1 indexed citations

3.

Brace, Alan. (2007). Engineering BGM. 19 indexed citations

4.

Jouini, Elyès, Yu. M. Kabanov, Jérôme Detemple, et al.. (2001). Option Pricing, Interest Rates and Risk Management. Cambridge University Press eBooks. 145 indexed citations

5.

Brace, Alan, et al.. (1997). The Market Model of Interest Rate Dynamics. Mathematical Finance. 7(2). 127–155. 589 indexed citations breakdown →

6.

Brace, Alan & Marek Musiela. (1994). A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON. Mathematical Finance. 4(3). 259–283. 91 indexed citations

7.

Brace, Alan & Allan Hodgson. (1991). INDEX FUTURES OPTIONS IN AUSTRALIA ‐AN EMPIRICAL FOCUS ON VOLATILITY. Accounting and Finance. 31(2). 13–30. 12 indexed citations

8.

Brace, Alan & D. E. Daykin. (1974). Pseudo-matchings of a bipartite graph. Proceedings of the American Mathematical Society. 42(1). 28–32. 1 indexed citations

9.

Brace, Alan, et al.. (1974). Pseudo-Matchings of a Bipartite Graph. Proceedings of the American Mathematical Society. 42(1). 28–28. 1 indexed citations

10.

Brace, Alan & D. E. Daykin. (1972). A finite set covering theorem II. Bulletin of the Australian Mathematical Society. 6(1). 19–24. 13 indexed citations

11.

Brace, Alan & D. E. Daykin. (1972). A finite set covering theorem III. Bulletin of the Australian Mathematical Society. 6(3). 417–433. 1 indexed citations

12.

Brace, Alan & D. E. Daykin. (1971). A finite set covering theorem. Bulletin of the Australian Mathematical Society. 5(2). 197–202. 21 indexed citations

13.

Brace, Alan & D. E. Daykin. (1969). Stability of a pair of first order linear differential equations. Journal of the Australian Mathematical Society. 10(3-4). 283–298. 1 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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