Applied Mathematical Finance

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Latest citations and documents published in this series in EconPapers.

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.17 0 0 0 0.08 1997 0.2 11 6 0 0 0.08 1998 0.23 12 13 11 0 0.1 1999 0.04 0.32 15 5 23 1 100 0.16 2000 0.11 0.43 14 15 27 3 66.7 0.19 2001 0.07 0.39 13 4 29 2 50 1 0.08 0.17 2002 0.19 0.42 16 8 27 5 0 0.2 2003 0.47 16 16 29 0 0.22
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in year y D2Y: Number of articles published in y-1 plus y-2 C2Y: Cites in y to articles published in y-1 plus y-2 SC(%): Percentage of selft citations in y to articles published in y-1 plus y-2 CiY: Cites in year y to documents published in year y IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:
Immediacy Index:
Documents published:
Citations received:

Most cited documents in this series:

(1) RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32 Volatility skews and extensions of the Libor market model (2000). Applied Mathematical Finance
Cited: 13 times.

(2) RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335 (). Applied Mathematical Finance
Cited: 9 times.

(3) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82 General Black-Scholes models accounting for increased market volatility from hedging strategies (1998). Applied Mathematical Finance
Cited: 8 times.

(4) RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52 The Dynamic Interaction of Speculation and Diversification (2005). Applied Mathematical Finance
Cited: 5 times.

(5) RePEc:taf:apmtfi:v:13:y:2006:i:1:p:39-59 A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models (2006). Applied Mathematical Finance
Cited: 4 times.

(6) RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324 On arbitrage-free pricing of weather derivatives based on fractional Brownian motion (2003). Applied Mathematical Finance
Cited: 4 times.

(7) RePEc:taf:apmtfi:v:13:y:2006:i:1:p:1-18 A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model (2006). Applied Mathematical Finance
Cited: 4 times.

(8) RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85 Bivariate option pricing with copulas (2002). Applied Mathematical Finance
Cited: 4 times.

(9) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18 Optimal execution with nonlinear impact functions and trading-enhanced risk (2003). Applied Mathematical Finance
Cited: 3 times.

(10) RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336 A note on arbitrage-free pricing of forward contracts in energy markets (2003). Applied Mathematical Finance
Cited: 3 times.

(11) RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64 Calibrating volatility surfaces via relative-entropy minimization (1997). Applied Mathematical Finance
Cited: 3 times.

(12) RePEc:taf:apmtfi:v:6:y:1999:i:2:p:87-106 A finite element approach to the pricing of discrete lookbacks with stochastic volatility (1999). Applied Mathematical Finance
Cited: 3 times.

(13) RePEc:taf:apmtfi:v:8:y:2001:i:2:p:79-95 Liquidity and credit risk (2001). Applied Mathematical Finance
Cited: 2 times.

(14) RePEc:taf:apmtfi:v:5:y:1998:i:2:p:107-116 Optimal exercise boundary for an American put option (1998). Applied Mathematical Finance
Cited: 2 times.

(15) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:49-74 A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach (2003). Applied Mathematical Finance
Cited: 2 times.

(16) RePEc:taf:apmtfi:v:4:y:1997:i:4:p:181-199 Interest rate futures: estimation of volatility parameters in an arbitrage-free framework (1997). Applied Mathematical Finance
Cited: 2 times.

(17) RePEc:taf:apmtfi:v:11:y:2004:i:3:p:259-282 Calculating hedge fund risk: the draw down and the maximum draw down (2004). Applied Mathematical Finance
Cited: 1 times.

(18) RePEc:taf:apmtfi:v:6:y:1999:i:3:p:197-208 Optimal hedging strategies for misspecified asset price models (1999). Applied Mathematical Finance
Cited: 1 times.

(19) RePEc:taf:apmtfi:v:4:y:1997:i:1:p:21-36 Misspecified asset price models and robust hedging strategies (1997). Applied Mathematical Finance
Cited: 1 times.

(20) RePEc:taf:apmtfi:v:8:y:2001:i:4:p:209-233 valuation of options on joint minima and maxima (2001). Applied Mathematical Finance
Cited: 1 times.

(21) RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163 A framework for valuing corporate securities (1998). Applied Mathematical Finance
Cited: 1 times.

(22) RePEc:taf:apmtfi:v:8:y:2001:i:1:p:49-77 A numerical PDE approach for pricing callable bonds (2001). Applied Mathematical Finance
Cited: 1 times.

(23) RePEc:taf:apmtfi:v:10:y:2003:i:2:p:91-119 Tracking error decision rules and accumulated wealth (2003). Applied Mathematical Finance
Cited: 1 times.

(24) RePEc:taf:apmtfi:v:9:y:2002:i:3:p:143-161 A model of speculative behaviour with a strange attractor (2002). Applied Mathematical Finance
Cited: 1 times.

(25) RePEc:taf:apmtfi:v:7:y:2000:i:1:p:33-60 Unstructured meshing for two asset barrier options (2000). Applied Mathematical Finance
Cited: 1 times.

(26) RePEc:taf:apmtfi:v:10:y:2003:i:2:p:121-147 Stock options as barrier contingent claims (2003). Applied Mathematical Finance
Cited: 1 times.

(27) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:1-15 Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism (1998). Applied Mathematical Finance
Cited: 1 times.

(28) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60 Basics of electricity derivative pricing in competitive markets (2002). Applied Mathematical Finance
Cited: 1 times.

(29) RePEc:taf:apmtfi:v:6:y:1999:i:3:p:209-232 Phenomenology of the interest rate curve (1999). Applied Mathematical Finance
Cited: 1 times.

(30) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47 Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory (2003). Applied Mathematical Finance
Cited: 1 times.

(31) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20 On modelling and pricing weather derivatives (2002). Applied Mathematical Finance
Cited: 1 times.

(32) RePEc:taf:apmtfi:v:11:y:2004:i:2:p:125-146 Modelling credit default swap spreads by means of normal mixtures and copulas (2004). Applied Mathematical Finance
Cited: 1 times.

(33) RePEc:taf:apmtfi:v:13:y:2006:i:4:p:309-331 An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling (2006). Applied Mathematical Finance
Cited: 1 times.

(34) RePEc:taf:apmtfi:v:7:y:2000:i:2:p:115-125 Estimating fees for managed futures: a continuous-time model with a knockout feature (2000). Applied Mathematical Finance
Cited: 1 times.

(35) RePEc:taf:apmtfi:v:10:y:2003:i:2:p:163-181 Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints (2003). Applied Mathematical Finance
Cited: 1 times.

(36) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:17-43 An explicit finite difference approach to the pricing of barrier options (1998). Applied Mathematical Finance
Cited: 1 times.

(37) RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85 Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005). Applied Mathematical Finance
Cited: 1 times.

(38) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43 Energy futures prices: term structure models with Kalman filter estimation (2002). Applied Mathematical Finance
Cited: 1 times.

Latest citations received in: | 2003 | 2002 | 2001 | 2000

Latest citations received in: 2003

Latest citations received in: 2002

Latest citations received in: 2001

(1) RePEc:taf:apmtfi:v:8:y:2001:i:4:p:197-208 Valuation formulae for window barrier options (2001). Applied Mathematical Finance

Latest citations received in: 2000

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.