0.13
Impact Factor
0.35
5-Years IF
17
5-Years H index
CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated December, 3 2015 760.408 documents
processed, 20.499.313 references and 8.066.571 citations
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [
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| IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.09 | 0 | 0 | 0 | (%) | 0.03 | ||||||||||
| 1991 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1993 | 0.1 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.11 | 11 | 11 | 61 | 0 | 0 | 3 (4.9%) | 0.05 | ||||||||
| 1995 | 0.09 | 0.19 | 0.09 | 14 | 25 | 1 | 0.04 | 122 | 11 | 1 | 11 | 1 | 17 (13.9%) | 0.07 | ||
| 1996 | 0.23 | 16 | 41 | 82 | 25 | 25 | 8 (9.8%) | 0.09 | ||||||||
| 1997 | 0.33 | 0.27 | 0.29 | 14 | 55 | 13 | 0.24 | 31 | 30 | 10 | 41 | 12 | (%) | 0.09 | ||
| 1998 | 0.1 | 0.27 | 0.13 | 12 | 67 | 7 | 0.1 | 45 | 30 | 3 | 55 | 7 | 2 (4.4%) | 0.1 | ||
| 1999 | 0.04 | 0.31 | 0.19 | 15 | 82 | 14 | 0.17 | 17 | 26 | 1 | 67 | 13 | 1 (5.9%) | 0.13 | ||
| 2000 | 0.11 | 0.39 | 0.25 | 14 | 96 | 25 | 0.26 | 36 | 27 | 3 | 71 | 18 | 2 (5.6%) | 0.15 | ||
| 2001 | 0.1 | 0.41 | 0.14 | 13 | 109 | 16 | 0.15 | 22 | 29 | 3 | 71 | 10 | 1 (4.5%) | 1 | 0.08 | 0.16 |
| 2002 | 0.22 | 0.43 | 0.13 | 16 | 125 | 21 | 0.17 | 124 | 27 | 6 | 68 | 9 | 4 (3.2%) | 0.19 | ||
| 2003 | 0.07 | 0.45 | 0.13 | 16 | 141 | 37 | 0.26 | 105 | 29 | 2 | 70 | 9 | (%) | 0.19 | ||
| 2004 | 0.16 | 0.51 | 0.18 | 16 | 157 | 34 | 0.22 | 39 | 32 | 5 | 74 | 13 | 1 (2.6%) | 1 | 0.06 | 0.21 |
| 2005 | 0.25 | 0.54 | 0.33 | 15 | 172 | 50 | 0.29 | 162 | 32 | 8 | 75 | 25 | 1 (%) | 7 | 0.47 | 0.22 |
| 2006 | 0.29 | 0.52 | 0.38 | 16 | 188 | 64 | 0.34 | 72 | 31 | 9 | 76 | 29 | 1 (1.4%) | 5 | 0.31 | 0.21 |
| 2007 | 0.39 | 0.45 | 0.41 | 23 | 211 | 56 | 0.27 | 80 | 31 | 12 | 79 | 32 | 1 (1.3%) | 1 | 0.04 | 0.18 |
| 2008 | 0.38 | 0.48 | 0.49 | 22 | 233 | 76 | 0.33 | 53 | 39 | 15 | 86 | 42 | 2 (3.8%) | 0.2 | ||
| 2009 | 0.24 | 0.48 | 0.33 | 24 | 257 | 72 | 0.28 | 59 | 45 | 11 | 92 | 30 | (%) | 0.19 | ||
| 2010 | 0.26 | 0.44 | 0.35 | 24 | 281 | 70 | 0.25 | 52 | 46 | 12 | 100 | 35 | (%) | 1 | 0.04 | 0.16 |
| 2011 | 0.1 | 0.53 | 0.24 | 23 | 304 | 81 | 0.27 | 34 | 48 | 5 | 109 | 26 | (%) | 1 | 0.04 | 0.21 |
| 2012 | 0.13 | 0.58 | 0.33 | 21 | 325 | 119 | 0.37 | 14 | 47 | 6 | 116 | 38 | (%) | 3 | 0.14 | 0.22 |
| 2013 | 0.36 | 0.71 | 0.48 | 27 | 352 | 165 | 0.47 | 13 | 44 | 16 | 114 | 55 | (%) | 2 | 0.07 | 0.25 |
| 2014 | 0.13 | 0.81 | 0.35 | 21 | 373 | 151 | 0.4 | 6 | 48 | 6 | 119 | 42 | (%) | 1 | 0.05 | 0.28 |
| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y IF5: Impact Factor: C5Y / D5Y 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 D5Y: Number of articles published in y-1 until y-5 C5Y: Cites in y to articles published in y-1 until y-5 %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 |
|
50 most cited documents in this series:
[Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2005 | Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers || Download paper | 75 |
| 1995 | Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers || Download paper | 60 |
| 2002 | On modelling and pricing weather derivatives. (2002). Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers || Download paper | 50 |
| 2003 | Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers || Download paper | 46 |
| 2005 | The Dynamic Interaction of Speculation and Diversification. (2005). Dieci, Roberto . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers || Download paper | 38 |
| 1995 | Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, T. J.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers || Download paper | 33 |
| 1994 | Stock market bubbles in the laboratory. (1994). Smith, Vernon . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers || Download paper | 27 |
| 2002 | Bivariate option pricing with copulas. (2002). Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers || Download paper | 26 |
| 2000 | Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32. Full description at Econpapers || Download paper | 25 |
| 2002 | Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers || Download paper | 24 |
| 1998 | A framework for valuing corporate securities. (1998). . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers || Download paper | 22 |
| 2006 | Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers || Download paper | 22 |
| 2005 | Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers || Download paper | 19 |
| 2010 | Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers || Download paper | 18 |
| 2010 | Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers || Download paper | 18 |
| 1994 | Delta, gamma and bucket hedging of interest rate derivatives. (1994). Turnbull, Stuart . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48. Full description at Econpapers || Download paper | 17 |
| 2007 | A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers || Download paper | 17 |
| 2006 | On the Distributional Characterization of Daily Log-Returns of a World Stock Index. (2006). Fergusson, Kevin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38. Full description at Econpapers || Download paper | 16 |
| 1996 | Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. (1996). ParAS, Antonio ; Avellaneda, Marco . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52. Full description at Econpapers || Download paper | 15 |
| 2003 | A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers || Download paper | 15 |
| 2009 | Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, alvaro ; Figueroa, Marcelo ; Geman, Helyette . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers || Download paper | 15 |
| 1997 | Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64. Full description at Econpapers || Download paper | 15 |
| 1995 | Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers || Download paper | 14 |
| 1995 | Statistical modelling of asymmetric risk in asset returns. (1995). Knight, J. L. ; Satchell, S. E. ; Tran, K. C.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172. Full description at Econpapers || Download paper | 14 |
| 1996 | The use and pricing of convertible bonds. (1996). Nyborg, K. G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:3:p:167-190. Full description at Econpapers || Download paper | 13 |
| 2009 | On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers || Download paper | 12 |
| 1996 | Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers || Download paper | 12 |
| 2006 | A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models. (2006). . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:39-59. Full description at Econpapers || Download paper | 11 |
| 2008 | Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers || Download paper | 11 |
| 2003 | On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. (2003). Benth, Fred Espen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324. Full description at Econpapers || Download paper | 10 |
| 2007 | Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Chan, Leunglung ; Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers || Download paper | 10 |
| 2002 | Basics of electricity derivative pricing in competitive markets. (2002). Vehvilainen, Iivo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60. Full description at Econpapers || Download paper | 10 |
| 1996 | Bond, futures and option evaluation in the quadratic interest rate model. (1996). Jamshidian, Farshid . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:2:p:93-115. Full description at Econpapers || Download paper | 9 |
| 2007 | On American Options Under the Variance Gamma Process. (2007). Almendral, Ariel . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152. Full description at Econpapers || Download paper | 9 |
| 2004 | On the pricing and hedging of volatility derivatives. (2004). Rafailidis, Avraam ; Howison, Sam ; Rasmussen, Henrik . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346. Full description at Econpapers || Download paper | 9 |
| 1994 | Dynamic hedging portfolios for derivative securities in the presence of large transaction costs. (1994). Marco, Avellaneda ; Antonio, ParaS . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:165-194. Full description at Econpapers || Download paper | 9 |
| 2004 | Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). Bouchaud, Jean-Philippe . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50. Full description at Econpapers || Download paper | 9 |
| 2005 | Sharp Upper and Lower Bounds for Basket Options. (2005). Laurence, Peter ; Wang, Tai-Ho . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers || Download paper | 8 |
| 1996 | Toward real-time pricing of complex financial derivatives. (1996). Ninomiya, S. ; Tezuka, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:1-20. Full description at Econpapers || Download paper | 8 |
| 2008 | General Lower Bounds for Arithmetic Asian Option Prices. (2008). Albrecher, H. ; Schoutens, W. ; Mayer, P. A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:123-149. Full description at Econpapers || Download paper | 8 |
| 2008 | Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers || Download paper | 8 |
| 1998 | General Black-Scholes models accounting for increased market volatility from hedging strategies. (1998). K. Ronnie Sircar, George Papanicolaou, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82. Full description at Econpapers || Download paper | 8 |
| 2004 | Multi-asset portfolio optimization with transaction cost. (2004). Atkinson, C. ; Mokkhavesa, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:2:p:95-123. Full description at Econpapers || Download paper | 7 |
| 1999 | Multigrid for American option pricing with stochastic volatility. (1999). Nigel Clarke, Kevin Parrott, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195. Full description at Econpapers || Download paper | 7 |
| 2013 | Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes. (2013). Elliott, Robert J. ; Siu, Tak Kuen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:1:p:1-25. Full description at Econpapers || Download paper | 7 |
| 2011 | Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model. (2011). Forde, Martin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:6:p:517-535. Full description at Econpapers || Download paper | 7 |
| 1995 | A simple class of square-root interest-rate models. (1995). Jamshidian, F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:1:p:61-72. Full description at Econpapers || Download paper | 7 |
| 2003 | Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory. (2003). Hamada, Mahmoud ; Sherris, Michael . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47. Full description at Econpapers || Download paper | 7 |
| 2005 | Calibration of the SABR Model in Illiquid Markets. (2005). West, Graeme . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:371-385. Full description at Econpapers || Download paper | 7 |
| 2011 | Markowitzs Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model. (2011). Yang, Hailiang ; Chen, Ping . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:29-50. Full description at Econpapers || Download paper | 6 |
50 most relevant documents in this series:
Papers most cited in the last two years. [Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2003 | Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers || Download paper | 26 |
| 2005 | Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers || Download paper | 26 |
| 1995 | Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers || Download paper | 17 |
| 2010 | Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers || Download paper | 17 |
| 2010 | Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers || Download paper | 16 |
| 1995 | Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, T. J.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers || Download paper | 13 |
| 2002 | On modelling and pricing weather derivatives. (2002). Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers || Download paper | 13 |
| 2007 | A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers || Download paper | 10 |
| 2002 | Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers || Download paper | 10 |
| 2005 | The Dynamic Interaction of Speculation and Diversification. (2005). Dieci, Roberto . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers || Download paper | 10 |
| 2006 | Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers || Download paper | 10 |
| 2009 | Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, alvaro ; Figueroa, Marcelo ; Geman, Helyette . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers || Download paper | 9 |
| 2009 | On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers || Download paper | 9 |
| 2008 | Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers || Download paper | 9 |
| 2004 | Multi-asset portfolio optimization with transaction cost. (2004). Atkinson, C. ; Mokkhavesa, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:2:p:95-123. Full description at Econpapers || Download paper | 7 |
| 2013 | Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes. (2013). Elliott, Robert J. ; Siu, Tak Kuen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:1:p:1-25. Full description at Econpapers || Download paper | 7 |
| 2005 | Sharp Upper and Lower Bounds for Basket Options. (2005). Laurence, Peter ; Wang, Tai-Ho . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers || Download paper | 6 |
| 2003 | A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers || Download paper | 6 |
| 2008 | Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers || Download paper | 6 |
| 2002 | Bivariate option pricing with copulas. (2002). Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers || Download paper | 6 |
| 2007 | Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Chan, Leunglung ; Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers || Download paper | 6 |
| 2011 | Closed Form Approximations for Spread Options. (2011). Venkatramanan, Aanand . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:5:p:447-472. Full description at Econpapers || Download paper | 6 |
| 2005 | Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers || Download paper | 5 |
| 2008 | General Lower Bounds for Arithmetic Asian Option Prices. (2008). Albrecher, H. ; Schoutens, W. ; Mayer, P. A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:123-149. Full description at Econpapers || Download paper | 5 |
| 1994 | Delta, gamma and bucket hedging of interest rate derivatives. (1994). Turnbull, Stuart . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48. Full description at Econpapers || Download paper | 5 |
| 2012 | The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing. (2012). Taschini, Luca ; Chesney, Marc . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers || Download paper | 5 |
| 2011 | Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model. (2011). Forde, Martin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:6:p:517-535. Full description at Econpapers || Download paper | 5 |
| 2011 | Markowitzs Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model. (2011). Yang, Hailiang ; Chen, Ping . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:29-50. Full description at Econpapers || Download paper | 5 |
| 1995 | Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers || Download paper | 5 |
| 2005 | Calibration of the SABR Model in Illiquid Markets. (2005). West, Graeme . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:371-385. Full description at Econpapers || Download paper | 5 |
| 2009 | Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). Belanger, A. C. ; Forsyth, P. A. ; Labahn, G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers || Download paper | 4 |
| 2002 | Basics of electricity derivative pricing in competitive markets. (2002). Vehvilainen, Iivo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60. Full description at Econpapers || Download paper | 4 |
| 1998 | A framework for valuing corporate securities. (1998). . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers || Download paper | 4 |
| 2011 | Calibration of Stock Betas from Skews of Implied Volatilities. (2011). Kollman, Eli ; Fouque, Jean-Pierre . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:2:p:119-137. Full description at Econpapers || Download paper | 4 |
| 2007 | Level-Slope-Curvature - Fact or Artefact?. (2007). . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:105-130. Full description at Econpapers || Download paper | 4 |
| 2007 | Optimal Financial Portfolios. (2007). Fabozzi, F. J. ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers || Download paper | 4 |
| 2011 | On Modelling and Pricing Rainfall Derivatives with Seasonality. (2011). Leobacher, Gunther ; Ngare, Philip . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:71-91. Full description at Econpapers || Download paper | 4 |
| 2009 | Orderings and Probability Functionals Consistent with Preferences. (2009). Fabozzi, Frank ; Rachev, Svetlozar ; Ortobelli, Sergio . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:81-102. Full description at Econpapers || Download paper | 4 |
| 2009 | Optimal Quantization for the Pricing of Swing Options. (2009). Pages, Gilles ; Bouthemy, Sandrine ; Bardou, Olivier . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers || Download paper | 4 |
| 2007 | Convex Hedging in Incomplete Markets. (2007). Rudloff, Birgit . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:437-452. Full description at Econpapers || Download paper | 3 |
| 2008 | Pricing of Swing Options in a Mean Reverting Model with Jumps. (2008). Kjaer, Mats. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:479-502. Full description at Econpapers || Download paper | 3 |
| 1996 | Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers || Download paper | 3 |
| 1997 | Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64. Full description at Econpapers || Download paper | 3 |
| 2007 | Approximate Formulas for Zero-coupon Bonds. (2007). Tourrucoo, Fabricio ; Hagan, Patrick S. ; Schleiniger, Gilberto F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:3:p:207-226. Full description at Econpapers || Download paper | 3 |
| 2007 | Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Benth, Fred Espen ; Kufakunesu, Rodwell ; GROTH, MARTIN. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363. Full description at Econpapers || Download paper | 3 |
| 1999 | Multigrid for American option pricing with stochastic volatility. (1999). Nigel Clarke, Kevin Parrott, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195. Full description at Econpapers || Download paper | 3 |
| 2010 | Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility. (2010). Jacquier, Antoine ; Forde, Martin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:241-259. Full description at Econpapers || Download paper | 3 |
| 2003 | Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory. (2003). Hamada, Mahmoud ; Sherris, Michael . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47. Full description at Econpapers || Download paper | 3 |
| 2003 | Tail behaviour of credit loss distributions for general latent factor models. (2003). Spreij, Peter ; Straetmans, Stefan ; Klaassen, Pieter . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:337-357. Full description at Econpapers || Download paper | 3 |
| 2007 | On American Options Under the Variance Gamma Process. (2007). Almendral, Ariel . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152. Full description at Econpapers || Download paper | 3 |
Citing documents used to compute impact factor 6:
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Hedging Market Risk in Optimal Liquidation. (2014). Monin, Phillip . In: Working Papers. RePEc:ofr:wpaper:14-08. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Martingale approach to optimal portfolio-consumption problems in
Markov-modulated pure-jump models. (2014). Lopez, Oscar ; Serrano, Rafael . In: Papers. RePEc:arx:papers:1406.3112. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market. (2014). JunYu, . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:21:y:2014:i:4:p:317-330. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Experimental comparison between markets on dynamic permit trading and investment in irreversible abatement with and without non-regulated companies. (2014). Taschini, Luca ; Wang, Mei ; Chesney, Marc . In: Journal of Regulatory Economics. RePEc:kap:regeco:v:46:y:2014:i:1:p:23-50. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Price and Market Behavior in Phase II of the EU ETS. (2014). Hintermann, Beat ; Rickels, Wilfried ; Peterson, Sonja . In: Kiel Working Papers. RePEc:kie:kieliw:1962. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Catching two European birds with one renewable stone: Mitigating climate change and Eurozone crisis by an energy transition. (2014). Fernandez, Blanca ; Susca, Tiziana ; Lohrey, Steffen ; Jakob, Michael ; Wiegandt, Konstantin ; Goldschmidt, Jan Christoph ; von Blucher, Felix ; Creutzig, Felix ; Breyer, Christian ; Knopf, Brigitte . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:38:y:2014:i:c:p:1015-1028. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2014
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Volatility swaps and volatility options on discretely sampled realized variance. (2014). Lian, GuangHua ; Kalev, Petko S.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:47:y:2014:i:c:p:239-262. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2013
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2013 | Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. (2013). Siu, Tak Kuen ; Shen, Yang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:757-768. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Drift dependence of optimal trade execution strategies under transient price impact. (2013). Schied, Alexander ; Lorenz, Christopher . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2012 | Pricing Multi-Asset Cross Currency Options. (2012). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf290. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Pricing Multi-Asset Cross Currency Optionss. (2012). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2012cf844. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | . Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2011 | Implied Volatility Surface: Construction Methodologies and
Characteristics. (2011). Homescu, Cristian . In: Papers. RePEc:arx:papers:1107.1834. Full description at Econpapers || Download paper | [Citation Analysis] |
10 most frequent citing series:
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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.