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  Updated February, 5 2013 465.484 documents processed, 11.198.332 references and 4.512.497 citations

 

  
 

Mathematical Finance / Blackwell Publishers

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2011), 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
19900.080000.04
19910.0817137000.04
19920.081621917010.060.04
19930.030.092189331010.050.05
19940.080.12019137300.05
19950.070.1919251413040.210.07
19960.380.23194323915010.050.1
19970.580.29183013822020.110.1
19980.430.29201773716020.10.11
19990.550.34165883821070.440.15
20000.50.43281663618030.110.17
20010.50.450442200.17
20020.210.4614150286020.140.21
20030.430.48014600.21
20041.290.550141800.23
20050.570000.24
20060.540000.22
20070.486160010.170.19
20080.170.5299861090.310.22
20090.510.5122633518040.180.21
20100.510.460512600.17
20110.910.640222000.26
 
 
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
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Main indicators

Most cited documents in this series:
YearTitleCited
1999Coherent Measures of Risk
RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228 [Citation Analysis]		469
1996A YIELD-FACTOR MODEL OF INTEREST RATES
RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406 [Citation Analysis]		247
1995THE GARCH OPTION PRICING MODEL
RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32 [Citation Analysis]		98
1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS
RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86 [Citation Analysis]		59
1998Long memory in continuous-time stochastic volatility models
RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323 [Citation Analysis]		54

repec:bla:mathfi:v:7:y:1997:i:2:p:211-239 [Citation Analysis]		52
1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106 [Citation Analysis]		50
1991Optimal Stopping and the American Put
RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14 [Citation Analysis]		49
1994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167 [Citation Analysis]		47
1997The Market Model of Interest Rate Dynamics
RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155 [Citation Analysis]		44
1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204 [Citation Analysis]		43
2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52 [Citation Analysis]		42
1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72 [Citation Analysis]		41
1997Backward Stochastic Differential Equations in Finance
RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71 [Citation Analysis]		39
1995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232 [Citation Analysis]		36
1999Interest Rate Dynamics and Consistent Forward Rate Curves
RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348 [Citation Analysis]		36
1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302 [Citation Analysis]		35
2002Monte Carlo valuation of American options
RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286 [Citation Analysis]		34
1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy
RePEc:bla:mathfi:v:2:y:1992:i:4:p:217-237 [Citation Analysis]		31
1997The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
RePEc:bla:mathfi:v:7:y:1997:i:2:p:157-176 [Citation Analysis]		30
1992Option Pricing Under Incompleteness and Stochastic Volatility
RePEc:bla:mathfi:v:2:y:1992:i:3:p:153-187 [Citation Analysis]		29
1998Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65 [Citation Analysis]		29
1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2
RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165 [Citation Analysis]		28
2002A DIFFUSION MODEL FOR ELECTRICITY PRICES
RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298 [Citation Analysis]		27
1997Arbitrage with Fractional Brownian Motion
RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105 [Citation Analysis]		27
1997Contingent Claims and Market Completeness in a Stochastic Volatility Model
RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412 [Citation Analysis]		27
1996CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
RePEc:bla:mathfi:v:6:y:1996:i:3:p:323-330 [Citation Analysis]		26
1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
RePEc:bla:mathfi:v:4:y:1994:i:3:p:223-245 [Citation Analysis]		26
2008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292 [Citation Analysis]		25

RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26 [Citation Analysis]		25
2002MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
RePEc:bla:mathfi:v:12:y:2002:i:4:p:329-339 [Citation Analysis]		22
1998Complete Models with Stochastic Volatility
RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48 [Citation Analysis]		21
1999Term Structure Models Driven by General Lévy Processes
RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53 [Citation Analysis]		20

RePEc:bla:mathfi:v:11:y:2001:i:4:p:385-413 [Citation Analysis]		20
1997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324 [Citation Analysis]		19
1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276 [Citation Analysis]		19
1991Option Pricing With V. G. Martingale Components
RePEc:bla:mathfi:v:1:y:1991:i:4:p:39-55 [Citation Analysis]		18

RePEc:bla:mathfi:v:16:y:2006:i:4:p:589-612 [Citation Analysis]		18
1995OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
RePEc:bla:mathfi:v:5:y:1995:i:4:p:311-336 [Citation Analysis]		18
1995DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
RePEc:bla:mathfi:v:5:y:1995:i:3:p:187-195 [Citation Analysis]		18
1997A Continuity Correction for Discrete Barrier Options
RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349 [Citation Analysis]		17
2002Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
RePEc:bla:mathfi:v:12:y:2002:i:3:p:239-269 [Citation Analysis]		17

RePEc:bla:mathfi:v:11:y:2001:i:4:p:447-474 [Citation Analysis]		17
2000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406 [Citation Analysis]		17
1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375 [Citation Analysis]		16

RePEc:bla:mathfi:v:12:y:2002:i:2:p:125-134 [Citation Analysis]		16
1997Market Volatility and Feedback Effects from Dynamic Hedging
RePEc:bla:mathfi:v:7:y:1997:i:4:p:351-374 [Citation Analysis]		16
1994THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
RePEc:bla:mathfi:v:4:y:1994:i:3:p:247-258 [Citation Analysis]		16
1996MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
RePEc:bla:mathfi:v:6:y:1996:i:3:p:303-322 [Citation Analysis]		15
1991Universal Portfolios
RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29 [Citation Analysis]		15

Citing documents used to compute impact factor 20:
YearTitleSee
2011A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk
RePEc:eee:ecmode:v:28:y:2011:i:5:p:2143-2153		[Citation Analysis]
2011Investment/consumption problem in illiquid markets with regimes switching
RePEc:hal:wpaper:hal-00610214		[Citation Analysis]
2011Interval scalability of rank-dependent utility
RePEc:kap:theord:v:70:y:2011:i:3:p:255-282		[Citation Analysis]
2011Entrepreneurial Choice and Knightian Uncertainty with Borrowing Constraints
RePEc:kyo:wpaper:803		[Citation Analysis]
2011Preference Relativity, Ambiguity and Social Welfare Evaluation
RePEc:hkm:wpaper:352011		[Citation Analysis]
2011Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature
RePEc:igi:igierp:417		[Citation Analysis]
2011The β-variance gamma model
RePEc:kap:revdev:v:14:y:2011:i:3:p:263-282		[Citation Analysis]
2011Good Deals and compatible modification of risk and pricing rule: a regulatory treatment.
RePEc:ner:carlos:info:hdl:10016/12967		[Citation Analysis]
2011A Note on Utility Maximization with Unbounded Random Endowment
RePEc:kap:apfinm:v:18:y:2011:i:1:p:89-103		[Citation Analysis]
2011Multivariate utility maximization with proportional transaction costs
RePEc:spr:finsto:v:15:y:2011:i:3:p:461-499		[Citation Analysis]
2011Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
RePEc:arx:papers:1201.0075		[Citation Analysis]
2011Pricing executive stock options under employment shocks
RePEc:eee:dyncon:v:35:y:2011:i:1:p:97-114		[Citation Analysis]
2011Convex risk measures for good deal bounds
RePEc:arx:papers:1108.1273		[Citation Analysis]
2011Risk measures in ordered normed linear spaces with non-empty cone-interior
RePEc:eee:insuma:v:48:y:2011:i:1:p:111-122		[Citation Analysis]
2011Optimal stopping with dynamic variational preferences
RePEc:eee:jetheo:v:146:y:2011:i:5:p:2042-2074		[Citation Analysis]
2011The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
RePEc:arx:papers:1107.0190		[Citation Analysis]
2011Risk-averse asymptotics for reservation prices
RePEc:kap:annfin:v:7:y:2011:i:3:p:375-387		[Citation Analysis]
2011Implied Volatility Surface: Construction Methodologies and Characteristics
RePEc:arx:papers:1107.1834		[Citation Analysis]
2011Marginal density expansions for diffusions and stochastic volatility
RePEc:arx:papers:1111.2462		[Citation Analysis]
2011The large-maturity smile for the Heston model
RePEc:spr:finsto:v:15:y:2011:i:4:p:755-780		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2009

YearTitleSee
2009Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
RePEc:arx:papers:0906.0394		[Citation Analysis]
2009RISK MEASURES ON ORLICZ HEARTS
RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214		[Citation Analysis]
2009Recent Advances in Credit Risk Modeling
RePEc:imf:imfwpa:09/162		[Citation Analysis]
2009Orderings and Probability Functionals Consistent with Preferences
RePEc:taf:apmtfi:v:16:y:2009:i:1:p:81-102		[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008On Agents Agreement and Partial-Equilibrium Pricing in Incomplete Markets
RePEc:arx:papers:0803.2198		[Citation Analysis]
2008On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility
RePEc:cca:wpaper:79		[Citation Analysis]
2008The effect of modelling parameters on the value of GMWB guarantees
RePEc:eee:insuma:v:43:y:2008:i:1:p:165-173		[Citation Analysis]
2008Weighted risk capital allocations
RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269		[Citation Analysis]
2008Méthodes numériques pour la valorisation doptions swings et autres problèmes sur les matières premières.
RePEc:ner:dauphi:urn:hdl:123456789/116		[Citation Analysis]
2008Stochastic Local Volatility
RePEc:rdg:icmadp:icma-dp2008-02		[Citation Analysis]
2008Optimal capital and risk allocations for law- and cash-invariant convex functions
RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439		[Citation Analysis]
2008Arbitrage-free market models for option prices: the multi-strike case
RePEc:spr:finsto:v:12:y:2008:i:4:p:469-505		[Citation Analysis]
2008EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:325-343		[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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