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  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

 
 

Applied Mathematical Finance / Taylor and Francis Journals

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2010), Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII
19900.090000.04
19910.090000.05
19920.080000.04
19930.090000.05
19940.11126000.05
19950.090.12145811100.06
19960.1616262500.08
19970.230.21141430785.70.08
19980.070.22122330200.09
19990.040.281572611000.13
20000.070.3714212721000.16
20010.070.381382925010.080.16
20020.220.41163427600.2
20030.4316352900.2
20040.090.491611323010.060.22
20050.280.521551329080.530.24
20060.130.51632314050.310.23
20070.350.422393111010.040.19
20080.210.4322739800.21
20090.110.4324445500.19
20100.130.36236466010.040.15
 
 
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

 

Main indicators

Most cited documents in this series:
YearTitleCited
1995Pricing and hedging derivative securities in markets with uncertain volatilities
RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88 [Citation Analysis]
30
2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335 [Citation Analysis]
26
2002On modelling and pricing weather derivatives
RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20 [Citation Analysis]
19
2000Volatility skews and extensions of the Libor market model
RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32 [Citation Analysis]
18
1994Stock market bubbles in the laboratory
RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128 [Citation Analysis]
15
2003Optimal execution with nonlinear impact functions and trading-enhanced risk
RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18 [Citation Analysis]
14
1995Uncertain volatility and the risk-free synthesis of derivatives
RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133 [Citation Analysis]
14
2005The Dynamic Interaction of Speculation and Diversification
RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52 [Citation Analysis]
13
1998A framework for valuing corporate securities
RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163 [Citation Analysis]
11
1996Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52 [Citation Analysis]
10
1995Statistical modelling of asymmetric risk in asset returns
RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172 [Citation Analysis]
10
1997Calibrating volatility surfaces via relative-entropy minimization
RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64 [Citation Analysis]
9
2002Bivariate option pricing with copulas
RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85 [Citation Analysis]
7
2003A note on arbitrage-free pricing of forward contracts in energy markets
RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336 [Citation Analysis]
7
2006A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
RePEc:taf:apmtfi:v:13:y:2006:i:1:p:39-59 [Citation Analysis]
7
2006Interpolation Methods for Curve Construction
RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129 [Citation Analysis]
6
1994Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
RePEc:taf:apmtfi:v:1:y:1994:i:2:p:165-194 [Citation Analysis]
6
2006A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model
RePEc:taf:apmtfi:v:13:y:2006:i:1:p:1-18 [Citation Analysis]
5
1996The use and pricing of convertible bonds
RePEc:taf:apmtfi:v:3:y:1996:i:3:p:167-190 [Citation Analysis]
5
1995Two extensions to barrier option valuation
RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209 [Citation Analysis]
5
2006On the Distributional Characterization of Daily Log-Returns of a World Stock Index
RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38 [Citation Analysis]
4
2008Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121 [Citation Analysis]
4
2005Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85 [Citation Analysis]
4
2007On American Options Under the Variance Gamma Process
RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152 [Citation Analysis]
4
2003A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
RePEc:taf:apmtfi:v:10:y:2003:i:1:p:49-74 [Citation Analysis]
3
1999A finite element approach to the pricing of discrete lookbacks with stochastic volatility
RePEc:taf:apmtfi:v:6:y:1999:i:2:p:87-106 [Citation Analysis]
3
2005Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
RePEc:taf:apmtfi:v:12:y:2005:i:2:p:187-199 [Citation Analysis]
3
2004On the pricing and hedging of volatility derivatives
RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346 [Citation Analysis]
3
2003Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47 [Citation Analysis]
3
2004Multiple time scales in volatility and leverage correlations: a stochastic volatility model
RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50 [Citation Analysis]
3
1994Delta, gamma and bucket hedging of interest rate derivatives
RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48 [Citation Analysis]
3
2005Stochastic Volatility Model with Time-dependent Skew
RePEc:taf:apmtfi:v:12:y:2005:i:2:p:147-185 [Citation Analysis]
3
1998Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
RePEc:taf:apmtfi:v:5:y:1998:i:1:p:1-15 [Citation Analysis]
3
2010Optimal Basket Liquidation for CARA Investors is Deterministic
RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489 [Citation Analysis]
3
2003On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324 [Citation Analysis]
3
1998Optimal exercise boundary for an American put option
RePEc:taf:apmtfi:v:5:y:1998:i:2:p:107-116 [Citation Analysis]
3
2002Energy futures prices: term structure models with Kalman filter estimation
RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43 [Citation Analysis]
3
1999Multigrid for American option pricing with stochastic volatility
RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195 [Citation Analysis]
3
1996A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
RePEc:taf:apmtfi:v:3:y:1996:i:4:p:295-317 [Citation Analysis]
3
1998General Black-Scholes models accounting for increased market volatility from hedging strategies
RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82 [Citation Analysis]
3
2004Modelling credit default swap spreads by means of normal mixtures and copulas
RePEc:taf:apmtfi:v:11:y:2004:i:2:p:125-146 [Citation Analysis]
2
1998An explicit finite difference approach to the pricing of barrier options
RePEc:taf:apmtfi:v:5:y:1998:i:1:p:17-43 [Citation Analysis]
2
1996Toward real-time pricing of complex financial derivatives
RePEc:taf:apmtfi:v:3:y:1996:i:1:p:1-20 [Citation Analysis]
2
2006Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes
RePEc:taf:apmtfi:v:13:y:2006:i:4:p:333-352 [Citation Analysis]
2
1996The pricing of Asian options under stochastic interest rates
RePEc:taf:apmtfi:v:3:y:1996:i:3:p:209-236 [Citation Analysis]
2
1995Lookback options with discrete and partial monitoring of the underlying price
RePEc:taf:apmtfi:v:2:y:1995:i:4:p:273-284 [Citation Analysis]
2
2007A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169 [Citation Analysis]
2
1997Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
RePEc:taf:apmtfi:v:4:y:1997:i:4:p:181-199 [Citation Analysis]
2
2006Efficient Pricing of Derivatives on Assets with Discrete Dividends
RePEc:taf:apmtfi:v:13:y:2006:i:3:p:265-284 [Citation Analysis]
2
1996Binomial models for option valuation - examining and improving convergence
RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346 [Citation Analysis]
2

Citing documents used to compute impact factor 6:
YearTitleSee
2010An empirical comparison of alternate regime-switching models for electricity spot prices
RePEc:pra:mprapa:20546
[Citation Analysis]
2010Multi-Factor Bottom-Up Model for Pricing Credit Derivatives
RePEc:pra:mprapa:23090
[Citation Analysis]
2010Exact and high order discretization schemes for Wishart processes and their affine extensions
RePEc:hal:wpaper:hal-00491371
[Citation Analysis]
2010Exact and high order discretization schemes for Wishart processes and their affine extensions
RePEc:arx:papers:1006.2281
[Citation Analysis]
2010Stochastic Switching Games and Duopolistic Competition in Emissions Markets
RePEc:arx:papers:1001.3455
[Citation Analysis]
2010Evaluation of hydropower upgrade projects - a real options approach
RePEc:pra:mprapa:23005
[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

YearTitleSee
2010Optimal trade execution and absence of price manipulations in limit order book models
RePEc:hal:journl:hal-00397652
[Citation Analysis]

Recent citations received in: 2009

YearTitleSee

Recent citations received in: 2008

YearTitleSee

Recent citations received in: 2007

YearTitleSee
2007A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
RePEc:pra:mprapa:1952
[Citation Analysis]

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.

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