providing citation data for Economics since 2001
[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [
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| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CDO: Cumulative number of documents published until year y CCU: Cumulative number of citations to papers published until year y CIF: Cumulative impact factor CIT: Number of citations to papers published 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 |
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Most cited documents in this series:
| Year | Title | Cited |
|---|---|---|
| 2007 | Option pricing when correlations are stochastic: an analytical framework. (2007). DA FONSECA, José ; Tebaldi, Claudio ; Grasselli, Martino . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180. Full description at Econpapers || Download paper | 23 |
| 20 | ||
| 2004 | Assessing the Least Squares Monte-Carlo Approach to American Option Valuation. (2004). Stentoft, Lars. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:129-168. Full description at Econpapers || Download paper | 16 |
| 16 | ||
| 15 | ||
| 14 | ||
| 2004 | On the Information in the Interest Rate Term Structure and Option Prices. (2004). Pelsser, Antoon ; Driessen, Joost ; de Jong, Frank. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:99-127. Full description at Econpapers || Download paper | 13 |
| 2007 | A new approach for option pricing under stochastic volatility. (2007). Sun, Jian ; Carr, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150. Full description at Econpapers || Download paper | 12 |
| 2007 | Modelling jumps in electricity prices: theory and empirical evidence. (2007). Seifert, Jan ; Uhrig-Homburg, Marliese . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85. Full description at Econpapers || Download paper | 8 |
| 7 | ||
| 2010 | Pricing swaps and options on quadratic variation under stochastic time change modelsdiscrete observations case. (2010). Itkin, Andrey ; Carr, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176. Full description at Econpapers || Download paper | 6 |
| 2004 | Theory of Storage and the Pricing of Commodity Claims. (2004). Schwartz, Eduardo S. ; Nielsen, Martin J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24. Full description at Econpapers || Download paper | 6 |
| 2007 | The valuation of a firmâs investment opportunities: a reduced form credit risk perspective. (2007). Purnanandam, Amiyatosh ; Jarrow, Robert. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:39-58. Full description at Econpapers || Download paper | 4 |
| 4 | ||
| 2009 | Microstructural biases in empirical tests of option pricing models. (2009). Mayhew, Stewart ; Dennis, Patrick . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:3:p:169-191. Full description at Econpapers || Download paper | 4 |
| 4 | ||
| 2008 | Distressed debt prices and recovery rate estimation. (2008). Jarrow, Robert ; Lin, Haizhi ; Guo, Xin . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:3:p:171-204. Full description at Econpapers || Download paper | 4 |
| 2004 | A Model of the Convenience Yields in On-the-Run Treasuries. (2004). Jarrow, Robert ; Cherian, Joseph A. ; Jacquier, Eric. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:79-97. Full description at Econpapers || Download paper | 3 |
| 2009 | Option market making under inventory risk. (2009). Salam, Mehmet ; Stoikov, Sasha . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79. Full description at Econpapers || Download paper | 3 |
| 3 | ||
| 2010 | Pricing distressed CDOs with stochastic recovery. (2010). Zagst, Rudi ; STEPHAN HÖCHT, ; Hocht, Stephan . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:3:p:219-244. Full description at Econpapers || Download paper | 2 |
| 2010 | A fast Fourier transform technique for pricing American options under stochastic volatility. (2010). Zhylyevskyy, Oleksandr . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:1-24. Full description at Econpapers || Download paper | 2 |
| 2 | ||
| 2011 | Foreign currency bubbles. (2011). Jarrow, Robert ; Protter, Philip . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83. Full description at Econpapers || Download paper | 2 |
| 2006 | Static versus dynamic hedges: an empirical comparison for barrier options. (2006). Fengler, Matthias ; Engelmann, Bernd ; Schwendner, Peter ; Nalholm, Morten. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264. Full description at Econpapers || Download paper | 2 |
| 2011 | Modelling default contagion using multivariate phase-type distributions. (2011). Herbertsson, Alexander . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:1-36. Full description at Econpapers || Download paper | 2 |
| 2006 | Two-dimensional risk-neutral valuation relationships for the pricing of options. (2006). Franke, Günter ; Huang, James ; Stapleton, Richard. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:3:p:213-237. Full description at Econpapers || Download paper | 1 |
| 2011 | A recombining lattice option pricing model that relaxes the assumption of lognormality. (2011). Brorsen, B ; Ji, Dasheng . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:3:p:349-367. Full description at Econpapers || Download paper | 1 |
| 1 | ||
| 2007 | Discount curve construction with tension splines. (2007). Andersen, Leif . In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267. Full description at Econpapers || Download paper | 1 |
| 2009 | A general framework for the derivation of asset price bounds: an application to stochastic volatility option models. (2009). Longarela, Iaki ; Bondarenko, Oleg . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:2:p:81-107. Full description at Econpapers || Download paper | 1 |
| 2006 | Seasonal and stochastic effects in commodity forward curves. (2006). Geman, Helyette ; Borovkova, Svetlana . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:167-186. Full description at Econpapers || Download paper | 1 |
| 2011 | A remark on static hedging of options written on the last exit time. (2011). Imamura, Yuri . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:3:p:333-347. Full description at Econpapers || Download paper | 1 |
| 1 | ||
| 2013 | Capital adequacy rules, catastrophic firm failure, and systemic risk. (2013). Jarrow, Robert. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:219-231. Full description at Econpapers || Download paper | 1 |
| 1 | ||
| 2006 | Model misspecification analysis for bond options and Markovian hedging strategies. (2006). Talay, Denis ; Gibson, Rajna ; Pistre, Nathalie ; Bossy, Mireille ; Lhabitant, Francois-Serge . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:109-135. Full description at Econpapers || Download paper | 1 |
| 2011 | Corporate governance and hedge fund activism. (2011). Boyson, Nicole ; Mooradian, Robert . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204. Full description at Econpapers || Download paper | 1 |
| 2012 | Option pricing and hedging under a stochastic volatility Lévy process model. (2012). Fabozzi, Frank ; Lin, Zuodong ; Kim, Young ; Rachev, Svetlozar . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:81-97. Full description at Econpapers || Download paper | 1 |
| 1 | ||
| 2009 | Auto-static for the people: risk-minimizing hedges of barrier options. (2009). Siven, Johannes ; Poulsen, Rolf . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:3:p:193-211. Full description at Econpapers || Download paper | 1 |
| 2012 | Calibration risk: Illustrating the impact of calibration risk under the Heston model. (2012). Guillaume, Florence ; Schoutens, Wim . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:57-79. Full description at Econpapers || Download paper | 1 |
| 2008 | Making the best of best-of. (2008). Guillaume, Tristan. In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:1:p:1-39. Full description at Econpapers || Download paper | 1 |
Citing documents used to compute impact factor 10:
| Year | Title | See |
|---|---|---|
| 2012 | HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING. (2012). Leccadito, Arturo ; Tunaru, Radu S. ; TOSCANO, PIETRO . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:08:p:1250058-1-1250058-36. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
(Previous title: Dynamic Modeling of Portfolio Credit Risk with Common
Shocks). (2012). Herbertsson, Alexander ; Bielecki, Tomasz R. ; Crepey, Stephane ; Cousin, Areski . In: Working Papers in Economics. RePEc:hhs:gunwpe:0502. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Voting with their feet or activism? Institutional investorsâ impact on CEO turnover. (2012). Zhang, Andrew ; Intintoli, Vincent J. ; Helwege, Jean . In: Journal of Corporate Finance. RePEc:eee:corfin:v:18:y:2012:i:1:p:22-37. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Quasi-Monte Carlo methods for the Heston model. (2012). Baldeaux, Jan ; Roberts, Dale . In: Papers. RePEc:arx:papers:1202.3217. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps
Model. (2012). Baldeaux, Jan ; Badran, Alexander . In: Papers. RePEc:arx:papers:1203.5903. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | New solvable stochastic volatility models for pricing volatility
derivatives. (2012). Itkin, Andrey . In: Papers. RePEc:arx:papers:1205.3550. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2012). Baldeaux, Jan ; Badran, Alexander . In: Research Paper Series. RePEc:uts:rpaper:306. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Quasi-Monte Carol Methods for the Heston Model. (2012). Baldeaux, Jan ; Roberts, Dale . In: Research Paper Series. RePEc:uts:rpaper:307. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Efficient Pricing of European-Style Options Under Hestons Stochastic Volatility Model. (2012). Zhylyevskyy, Oleksandr . In: Staff General Research Papers. RePEc:isu:genres:34827. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications. (2012). Zhylyevskyy, Oleksandr . In: Staff General Research Papers. RePEc:isu:genres:35559. Full description at Econpapers || Download paper | [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.