Applied Mathematical Finance

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

Create citation feed for this series

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.09 1997 0.21 11 7 0 0 0.08 1998 0.25 12 25 11 0 0.1 1999 0.04 0.32 15 5 23 1 100 0.15 2000 0.07 0.43 14 18 27 2 100 0.19 2001 0.07 0.41 13 7 29 2 50 1 0.08 0.17 2002 0.22 0.44 16 24 27 6 0 0.2 2003 0.47 16 18 29 0 0.22 2004 0.09 0.52 15 8 32 3 0 1 0.07 0.23 2005 0.26 0.56 4 12 31 8 0 3 0.75 0.25 2006 0.05 0.57 16 21 19 1 0 5 0.31 0.24 2007 0.25 0.48 4 0 20 5 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).
Cited: 15 times.

(2) RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335 ().
Cited: 15 times.

(3) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20 On modelling and pricing weather derivatives (2002).
Cited: 13 times.

(4) RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163 A framework for valuing corporate securities (1998).
Cited: 8 times.

(5) 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).
Cited: 8 times.

(6) RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52 The Dynamic Interaction of Speculation and Diversification (2005).
Cited: 7 times.

(7) 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).
Cited: 6 times.

(8) RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85 Bivariate option pricing with copulas (2002).
Cited: 6 times.

(9) 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).
Cited: 5 times.

(10) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18 Optimal execution with nonlinear impact functions and trading-enhanced risk (2003).
Cited: 4 times.

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

(12) RePEc:taf:apmtfi:v:5:y:1998:i:2:p:107-116 Optimal exercise boundary for an American put option (1998).
Cited: 4 times.

(13) RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85 Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005).
Cited: 4 times.

(14) RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346 On the pricing and hedging of volatility derivatives (2004).
Cited: 4 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).
Cited: 3 times.

(16) 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).
Cited: 3 times.

(17) 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).
Cited: 3 times.

(18) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43 Energy futures prices: term structure models with Kalman filter estimation (2002).
Cited: 2 times.

(19) 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).
Cited: 2 times.

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

(21) 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).
Cited: 2 times.

(22) RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38 On the Distributional Characterization of Daily Log-Returns of a World Stock Index (2006).
Cited: 2 times.

(23) 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).
Cited: 2 times.

(24) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:17-43 An explicit finite difference approach to the pricing of barrier options (1998).
Cited: 2 times.

(25) RePEc:taf:apmtfi:v:13:y:2006:i:3:p:265-284 Efficient Pricing of Derivatives on Assets with Discrete Dividends (2006).
Cited: 2 times.

(26) 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).
Cited: 2 times.

(27) RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129 Interpolation Methods for Curve Construction (2006).
Cited: 2 times.

(28) 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).
Cited: 1 times.

(29) RePEc:taf:apmtfi:v:11:y:2004:i:3:p:207-225 Pricing American currency options in an exponential Lévy model (2004).
Cited: 1 times.

(30) RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152 ().
Cited: 1 times.

(31) 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).
Cited: 1 times.

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

(33) RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50 Multiple time scales in volatility and leverage correlations: a stochastic volatility model (2004).
Cited: 1 times.

(34) 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).
Cited: 1 times.

(35) RePEc:taf:apmtfi:v:12:y:2005:i:1:p:87-100 A Re-Examination of Sharpes Ratio for Log-Normal Prices (2005).
Cited: 1 times.

(36) RePEc:taf:apmtfi:v:13:y:2006:i:3:p:245-263 On Estimation of Volatility Surface and Prediction of Future Spot Volatility (2006).
Cited: 1 times.

(37) RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195 Multigrid for American option pricing with stochastic volatility (1999).
Cited: 1 times.

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

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

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

(41) RePEc:taf:apmtfi:v:13:y:2006:i:2:p:143-153 Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution (2006).
Cited: 1 times.

(42) RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:227-240 Random walk duality and the valuation of discrete lookback options (1998).
Cited: 1 times.

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

(44) 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).
Cited: 1 times.

(45) RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121 Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (2008).
Cited: 1 times.

(46) RePEc:taf:apmtfi:v:7:y:2000:i:2:p:75-100 Hedging lookback and partial lookback options using Malliavin calculus (2000).
Cited: 1 times.

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

(48) 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).
Cited: 1 times.

(49) RePEc:taf:apmtfi:v:13:y:2006:i:4:p:333-352 Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes (2006).
Cited: 1 times.

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

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

Recent citations received in: 2006

(1) RePEc:osk:wpaper:0626 Random Correlation Matrix and De-Noising (2006). Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) / Discussion Papers in Economics and Business

(2) RePEc:pra:mprapa:1423 TIPS Options in the Jarrow-Yildirim model (2006). University Library of Munich, Germany / MPRA Paper

(3) RePEc:pra:mprapa:2001 Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning (2006). University Library of Munich, Germany / MPRA Paper

(4) RePEc:pra:mprapa:2249 Bonds futures: Delta? No gamma! (2006). University Library of Munich, Germany / MPRA Paper

(5) RePEc:wai:econwp:06/16 A Yield Curve Perspective on Uncovered Interest Parity (2006). University of Waikato, Department of Economics / Working Papers in Economics

Recent citations received in: 2005

(1) RePEc:sap:wpaper:88 Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays (2005). University of Rome La Sapienza, Department of Public Economics / Working Papers

(2) RePEc:uts:rpaper:166 Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(3) RePEc:wpa:wuwpfi:0510026 Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays (2005). EconWPA / Finance

Recent citations received in: 2004

(1) RePEc:ecm:feam04:797 The Markovian Dynamics of "Smart Money" (2004). Econometric Society / Econometric Society 2004 Far Eastern Meetings

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.