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Monte Carlo Methods and Applications / De Gruyter


0.12

Impact Factor

0.07

5-Years IF

6

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.09000 (%)0.04
19920.1000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.05
19950.19171700 (%)0.07
19960.221835181717 (%)0.09
19970.27175213535 (%)0.09
19980.2719713552 (%)0.1
19990.31168710.0133671 (%)10.060.13
20000.40.011910610.01135871 (%)0.15
20010.43914523589 (%)0.15
20020.422316810.0118581101 (5.6%)0.18
20030.030.440.022219060.0386221162 (%)10.050.18
20040.020.490.024123160.03114511192 (%)0.2
20050.020.530.011524620.01256311442 (%)0.21
20060.040.510.042326990.03125621406 (%)10.040.2
20070.110.440.0717286100.0323841249 (%)0.18
20080.030.470.012330940.0134011181 (%)0.2
20090.470.0518327100.036401196 (%)0.19
20100.020.440.022134880.023411962 (%)0.16
20110.030.510.021736560.0213911022 (%)0.2
20120.050.560.0515380180.055382965 (%)0.21
20130.060.660.0315395180.051322943 (%)0.23
20140.070.670.031941490.024302863 (%)0.22
20150.120.820.0723437130.032344876 (%)10.040.27
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:


#YearTitleCited
12005On the discretization schemes for the CIR (and Bessel squared) processes. (2005). Aurelien, Alfonsi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:355-384:n:5.

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18
21996The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density. (1996). Vlad, Bally ; Denis, TALAY . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:2:p:93-128:n:7.

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10
31996On the use of low discrepancy sequences in Monte Carlo methods. (1996). Bruno, Tuffin . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:4:p:295-320:n:4.

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8
42006Balanced Milstein Methods for Ordinary SDEs. (2006). Kahl, Christian ; Christian, Kahl ; Henri, Schurz . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:143-170:n:2.

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8
52002Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps. (2002). Platen, Eckhard ; Eckhard, Platen ; Kestutis, Kubilius . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:1:p:83-96:n:6.

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7
62004Adaptative Monte Carlo Method, A Variance Reduction Technique. (2004). Bouhari, Arouna . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:1:p:1-24:n:1.

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6
72003Optimal quadratic quantization for numerics: the Gaussian case. (2003). Gilles, Pages ; Jacques, PRINTEMS . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:2:p:135-165:n:2.

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6
82012The identification of price jumps. (2012). Kočenda, Evžen ; Hanousek, Jan ; Even, Koenda . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:53-77:n:2.

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5
92005Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. (2005). Huyen, Pham ; Afef, Sellami ; Wolfgang, Runggaldier . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:1:p:57-81:n:5.

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4
102004Upper Bounds for Bermudan Style Derivatives. (2004). Kolodko A., ; Schoenmakers J., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:331-343:n:15.

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4
112002Simulation of ruin probabilities for risk processes of Markovian type. (2002). Hansjorg, Albrecher ; Josef, Kantor . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:2:p:111-128:n:1.

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4
121999Applications of the balanced method to stochastic differential equations in filtering. (1999). Platen, Eckhard ; Eckhard, Platen ; Paul, Fischer . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:1:p:19-38:n:3.

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3
132005Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. (2005). Vlad, Bally ; Antonino, Zanette ; Lucia, Caramellino . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:2:p:97-133:n:1.

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3
142002Minimal Entropy Approximations and Optimal Algorithms. (2002). Dan, Crisan ; Terry, Lyons . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:4:p:343-356:n:2.

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3
152006Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. (2006). Leobacher G., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:231-238:n:2.

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2
162006First Order Strong Approximations of Jump Diffusions. (2006). Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina ; Nicola, Bruti-Liberati ; Eckhard, Platen ; Christina, Nikitopoulos-Sklibosios . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:191-209:n:6.

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2
172009A central limit theorem for the functional estimation of the spot volatility. (2009). Hoang-Long, Ngo ; Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:353-380:n:4.

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2
182008Quasi-Monte Carlo methods for the Kou model. (2008). Jan, Baldeaux . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:14:y:2008:i:4:p:281-302:n:1.

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2
192006An importance sampling method based on the density transformation of Lévy processes. (2006). Reiichiro, Kawai . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:171-186:n:1.

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2
202002Edgeworth type expansions for Euler schemes for stochastic differential equations.. (2002). Valentin, Konakov ; Enno, Mammen . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:3:p:271-286:n:3.

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2
212009Multiple stochastic volatility extension of the Libor market model and its implementation. (2009). Denis, Belomestny ; John, Schoenmakers ; Stanley, Mathew . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:285-310:n:1.

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2
222010Exact simulation of Bessel diffusions. (2010). Makarov Roman N., ; Devin, Glew . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:3-4:p:283-306:n:3.

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2
232014A benchmark study of the Wigner Monte Carlo method. (2014). Michel, Sellier Jean ; Siegfried, Selberherr ; Mihail, Nedjalkov ; Ivan, Dimov . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:1:p:43-51:n:4.

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1
242002Jointly Distributed Mean and Mixing Coefficients for Bayesian Source Separation using MCMC and ICM. (2002). Rowe Daniel B., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:4:p:395-404:n:5.

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1
252010Adaptive weak approximation of reflected and stopped diffusions. (2010). Christian, Bayer ; Raul, Tempone ; Anders, Szepessy . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:1:p:1-67:n:1.

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1
262015A new numerical scheme for the CIR process. (2015). Nikolaos, Halidias . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:21:y:2015:i:3:p:245-253:n:1.

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1
272008Real-time scheme for the volatility estimation in the presence of microstructure noise. (2008). Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:14:y:2008:i:4:p:331-342:n:4.

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1
282013Preliminary control variates to improve empirical regression methods. (2013). Tarik, Ben Zineb ; Emmanuel, Gobet . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:19:y:2013:i:4:p:331-354:n:4.

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1
291997COMPARISON OF A STOCHASTIC PARTICLE METHOD AND A FINITE VOLUME DETERMINISTIC METHOD APPLIED TO BURGERS EQUATION. (1997). Mireille, BOSSY ; Serge, PIPERNO ; Loula, FEZOUI . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:2:p:113-140:n:1.

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1
302014Multilevel Monte Carlo for Asian options and limit theorems. (2014). Mohamed, Ben Alaya ; Ahmed, Kebaier . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:3:p:181-194:n:2.

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1
312001On a class of SPDEs called Brownian particle equation – Model for nonlinear diffusions. (2001). Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:7:y:2001:i:3-4:p:321-328:n:10.

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1
322003Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model. (2003). Mantalos, Panagiotis. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:257-269:n:6.

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1
332014Quasi-Monte Carlo: A high-dimensional experiment. (2014). Sobol Ilya M., ; Boris, Shukhman . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:3:p:167-171:n:1.

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1
342004On the Scrambled Halton Sequence. (2004). Michael, Mascagni ; Hongmei, Chi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:435-442:n:25.

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1
352001A stochastic quantization method for nonlinear problems. (2001). Vlad, Bally ; Jacques, PRINTEMS ; Gilles, Pages . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:7:y:2001:i:1-2:p:21-34:n:14.

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1
362007Mixed initial-boundary value problem in particle modeling of microelectronic devices. (2007). Nedjalkov M., ; Arsov G., ; Dimov I., ; Vasileska D., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:13:y:2007:i:4:p:299-331:n:4.

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1
372003Arithmetic average options in the hyperbolic model. (2003). Gerhard, Larcher ; Tichy Robert F., ; Martin, Predota . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:227-239:n:4.

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1
382011Diffusion approximation of Lévy processes with a view towards finance. (2011). Jonas, Kiessling ; Raul, Tempone . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:1:p:11-45:n:3.

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1
392002A Monte Carlo method without grid for a fractured porous domain model. (2002). Fabien, Campillo ; Antoine, Lejay . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:2:p:129-148:n:2.

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1
402009Sparsified Randomization Algorithms for large systems of linear equations and a new version of the Random Walk on Boundary method. (2009). Sabelfeld K., ; Mozartova N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:257-284:n:5.

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1
412014A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. (2014). Idris, Kharroubi ; Huyen, Pham ; Nicolas, Langrene . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:2:p:145-165:n:5.

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1
422000Factorization of Separable and Patterned Covariance Matrices for Gibbs Sampling. (2000). Rowe Daniel B., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:6:y:2000:i:3:p:205-210:n:4.

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1
432007Exact retrospective Monte Carlo computation of arithmetic average Asian options. (2007). Benjamin, JOURDAIN ; Mohamed, Sbai . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:13:y:2007:i:2:p:135-171:n:3.

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1
442015Constructing positivity preserving numerical schemes for the two-factor CIR model. (2015). Nikolaos, Halidias . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:21:y:2015:i:4:p:313-323:n:4.

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1
452009Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. (2009). Bardou O., ; Pages G., ; Frikha N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:173-210:n:1.

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1

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12005On the discretization schemes for the CIR (and Bessel squared) processes. (2005). Aurelien, Alfonsi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:355-384:n:5.

Full description at Econpapers || Download paper

4
22012The identification of price jumps. (2012). Kočenda, Evžen ; Hanousek, Jan ; Even, Koenda . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:53-77:n:2.

Full description at Econpapers || Download paper

3
32006Balanced Milstein Methods for Ordinary SDEs. (2006). Kahl, Christian ; Christian, Kahl ; Henri, Schurz . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:143-170:n:2.

Full description at Econpapers || Download paper

3
42009A central limit theorem for the functional estimation of the spot volatility. (2009). Hoang-Long, Ngo ; Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:353-380:n:4.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 4:


YearTitle
2015Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis. (2015). Bianchetti, Marco ; Kucherenko, Sergei ; Scoleri, Stefano . In: Papers. RePEc:arx:papers:1504.02896.

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2015Reflected BSDEs with nonpositive jumps, and controller-and-stopper games. (2015). Cosso, Andrea ; Choukroun, Sebastien ; Pham, Huyen . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:2:p:597-633.

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2015A comparison of approaches for the solution of the Wigner equation. (2015). Dimov, I. ; Selberherr, S. ; Nedjalkov, M. ; Sellier, J. M.. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:107:y:2015:i:c:p:108-119.

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2015An Introduction to Multilevel Monte Carlo for Option Valuation. (2015). Higham, Desmond J.. In: Papers. RePEc:arx:papers:1505.00965.

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Recent citations (cites in year: CiY)


Recent citations received in 2015

YearCiting document
2015Approximating explicitly the mean reverting CEV process. (2015). Stamatiou, Ioannis ; Halidias, Nikolaos . In: Papers. RePEc:arx:papers:1502.03018.

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Recent citations received in 2014

YearCiting document

Recent citations received in 2012

YearCiting document

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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team