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Mathematical Finance / Wiley Blackwell


1.25

Impact Factor

1.25

5-Years IF

43

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
19910.1171710.06298002 (%)0.04
19920.1163310.0338017177 (1.8%)10.060.04
19930.060.110.06215450.092503323322 (%)10.050.06
19940.110.120.09207470.094153745452 (%)10.050.05
19950.20.20.231993230.2549841874174 (%)50.260.07
19960.640.240.5319112590.53835392593495 (%)30.160.09
19970.710.280.6418130800.62808382795616 (%)60.330.1
19980.620.290.5420150820.55463372397524 (%)50.250.11
19990.660.330.72161661150.69136338259669 (%)70.440.14
20000.780.411.3281942151.114563628921203 (%)30.110.15
20010.550.411.07202142110.9928944241011086 (2.1%)30.150.15
20020.420.430.86242382040.864414820102882 (%)40.170.18
20030.450.450.89262642610.99187442010896 (%)20.080.19
20040.720.51.17302943571.2131650361141331 (%)50.170.2
20050.430.530.64293233210.99308562412882 (%)100.340.21
20060.590.520.69323553891.13035935129892 (%)80.250.21
20070.570.460.73273824621.212306135141103 (%)50.190.18
20080.530.490.59294114661.133495931144851 (%)110.380.2
20090.660.490.74224334971.1524056371471091 (%)70.320.19
20100.630.470.654335241.21513213991 (%)0.17
20111.270.540.954335261.212228110105 (%)0.21
20120.571.154335531.2807890 (%)0.21
20130.641.454336581.5205174 (%)0.23
20140.72.18164497451.666302248 (%)50.310.23
20150.560.790.56284777681.6128169169 (%)30.110.25
20161.251.111.253351010322.021944554455 (%)170.520.34
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
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Heath, David ; Eber, Jean-Marc ; Delbaen, Freddy . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

Full description at Econpapers || Download paper

1071
21996A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

Full description at Econpapers || Download paper

491
31995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

Full description at Econpapers || Download paper

226
41997Backward Stochastic Differential Equations in Finance. (1997). Quenez, M. C. ; Peng, S. ; El Karoui, N. ; ElKaroui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

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216
51997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

Full description at Econpapers || Download paper

163
61998Long memory in continuous-time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

Full description at Econpapers || Download paper

135
71994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

Full description at Econpapers || Download paper

96
81994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan . In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167.

Full description at Econpapers || Download paper

92
92000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

Full description at Econpapers || Download paper

92
101992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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92
111991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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91
121992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pagès, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86.

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89
131996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165.

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85
141997Bond Market Structure in the Presence of Marked Point Processes. (1997). Кабанов, Юрий ; Bjork, Tomas ; Kabanov, Yuri ; Runggaldier, Wolfgang . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239.

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85
151999Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348.

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80
162002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

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78
172000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

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76
181993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375.

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76
191997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

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72
202002A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298.

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68
211995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE. (1995). Sankarasubramanian, L. ; Ritchken, Peter . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72.

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67
222005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26.

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62
231998Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65.

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62
241995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, Elyès ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232.

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59
251993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

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57
261999Term Structure Models Driven by General Lévy Processes. (1999). Eberlein, Ernst ; Raible, Sebastian. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53.

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57
272000Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

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56
281996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL. (1996). Renault, Eric ; Touzi, Nizar . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302.

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55
291997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Whalley, A. E. ; Wilmott, P.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324.

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52
302002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373.

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52
311992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy. (1992). Jarrow, Robert ; Amin, Kaushik I.. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:4:p:217-237.

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51
322003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette . In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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50
332008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

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50
341999Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example. (1999). Hojgaard, Bjarne ; Taksar, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:2:p:153-182.

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49
351998On Feedback Effects from Hedging Derivatives. (1998). Platen, Eckhard ; Schweizer, Martin . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:67-84.

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48
362001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets. (2001). Platen, Eckhard ; Heath, David ; Schweizer, Martin . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:4:p:385-413.

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48
371998Robustness of the Black and Scholes Formula. (1998). Jeanblanc-Picque, Monique ; Shreve, Steven E. ; el Karoui, Nicole . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126.

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46
381997Contingent Claims and Market Completeness in a Stochastic Volatility Model. (1997). Romano, Marc ; Touzi, Nizar . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412.

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46
392001Robust Hedging of Barrier Options. (2001). Rogers, Leonard ; Hobson, David ; L. C. G. Rogers, ; Brown, Haydyn . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:3:p:285-314.

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45
402008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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45
411992Option Pricing Under Incompleteness and Stochastic Volatility. (1992). Platen, Eckhard ; Schweizer, Martin ; Hofmann, Norbert . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:3:p:153-187.

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45
421991Option Pricing With V. G. Martingale Components. (1991). Milne, Frank ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:4:p:39-55.

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45
432009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

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43
442002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; SAMPERI, DOMINICK . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

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43
452000On Models of Default Risk. (2000). JEANBLANC, M. ; Elliott, R. J. ; Yor, M.. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195.

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42
461991Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case. (1991). He, Hua ; Pearson, Neil D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:3:p:1-10.

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42
471997A Continuity Correction for Discrete Barrier Options. (1997). Broadie, Mark ; Kou, Steven ; Glasserman, Paul . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349.

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40
481998Complete Models with Stochastic Volatility. (1998). Rogers, Leonard ; Hobson, David G. ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48.

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40
492006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES. (2006). Scandolo, Giacomo ; Frittelli, Marco . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:4:p:589-612.

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40
502008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Dai, Min ; Zong, Jianping ; Kwok, YueKuen . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611.

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39

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


#YearTitleCited
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Heath, David ; Eber, Jean-Marc ; Delbaen, Freddy . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

Full description at Econpapers || Download paper

233
21996A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

Full description at Econpapers || Download paper

77
31997Backward Stochastic Differential Equations in Finance. (1997). Quenez, M. C. ; Peng, S. ; El Karoui, N. ; ElKaroui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

Full description at Econpapers || Download paper

54
41995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

Full description at Econpapers || Download paper

34
51997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

Full description at Econpapers || Download paper

30
61998Long memory in continuous-time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

Full description at Econpapers || Download paper

30
72000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

Full description at Econpapers || Download paper

26
82007THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14.

Full description at Econpapers || Download paper

25
91996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165.

Full description at Econpapers || Download paper

23
102008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Dai, Min ; Zong, Jianping ; Kwok, YueKuen . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611.

Full description at Econpapers || Download paper

23
111997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Whalley, A. E. ; Wilmott, P.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324.

Full description at Econpapers || Download paper

20
122008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

Full description at Econpapers || Download paper

20
132006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

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20
142001Robust Hedging of Barrier Options. (2001). Rogers, Leonard ; Hobson, David ; L. C. G. Rogers, ; Brown, Haydyn . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:3:p:285-314.

Full description at Econpapers || Download paper

20
152004The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. (2004). Schachermayer, Walter . In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:19-48.

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19
162004Blacks Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates. (2004). Gorovoy, Vyacheslav ; Gorovoi, Viatcheslav ; Linetsky, Vadim . In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:49-78.

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19
171994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

Full description at Econpapers || Download paper

19
182004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480.

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18
191994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan . In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167.

Full description at Econpapers || Download paper

17
201991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

Full description at Econpapers || Download paper

17
212005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

Full description at Econpapers || Download paper

16
221992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

Full description at Econpapers || Download paper

15
232000On Models of Default Risk. (2000). JEANBLANC, M. ; Elliott, R. J. ; Yor, M.. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195.

Full description at Econpapers || Download paper

15
242002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

Full description at Econpapers || Download paper

15
252002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373.

Full description at Econpapers || Download paper

15
261997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

Full description at Econpapers || Download paper

15
272000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

Full description at Econpapers || Download paper

14
282005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL. (2005). Muler, Nora ; Azcue, Pablo . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:261-308.

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14
292009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

Full description at Econpapers || Download paper

14
302002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; SAMPERI, DOMINICK . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

Full description at Econpapers || Download paper

14
311995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, Elyès ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232.

Full description at Econpapers || Download paper

13
322007DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE. (2007). Sørensen, Michael ; Larsen, Kristian Stegenborg . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:2:p:285-306.

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13
332006MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS. (2006). Muthuraman, Kumar ; Kumar, Sunil . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:301-335.

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13
342007AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476.

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12
352003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette . In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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361999Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348.

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372014MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Bjork, Tomas ; Yu, Xun ; Murgoci, Agatha . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24.

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381993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

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392009OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY-BASED PRICING. (2009). Gordan Žitković, ; Owen, Mark P.. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:1:p:129-159.

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402006A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151.

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412007DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES. (2007). Schweizer, Martin ; Kloppel, Susanne . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:4:p:599-627.

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421991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

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432005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26.

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442009REGULAR VARIATION AND SMILE ASYMPTOTICS. (2009). Friz, P. ; Benaim, S.. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:1:p:1-12.

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452000Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

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462005CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION. (2005). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, ; Bielecki, Tomasz R. ; Pliska, Stanley R.. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:213-244.

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472006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES. (2006). Scandolo, Giacomo ; Frittelli, Marco . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:4:p:589-612.

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481998Robustness of the Black and Scholes Formula. (1998). Jeanblanc-Picque, Monique ; Shreve, Steven E. ; el Karoui, Nicole . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126.

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492006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND. (2006). Guasoni, Paolo . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:569-582.

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501999Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example. (1999). Hojgaard, Bjarne ; Taksar, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:2:p:153-182.

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10

Citing documents used to compute impact factor 55:


YearTitle
2016Convex duality in optimal investment and contingent claim valuation in illiquid markets. (2016). Pennanen, Teemu ; Perkkio, Ari-Pekka . In: Papers. RePEc:arx:papers:1603.02867.

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2016Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. (2016). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian . In: Papers. RePEc:arx:papers:1604.04963.

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2016Hedging with Small Uncertainty Aversion. (2016). Herrmann, Sebastian ; Seifried, Frank Thomas ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1605.06429.

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2016A Primer on Portfolio Choice with Small Transaction Costs. (2016). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max . In: Papers. RePEc:arx:papers:1612.01302.

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2016Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer. (2016). Ghossoub, Mario . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:8:d:66161.

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2016Multi-period investment strategies under Cumulative Prospect Theory. (2016). Pirvu, Traian A ; Deng, Liurui . In: Papers. RePEc:arx:papers:1608.08490.

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2016The role of a representative reinsurer in optimal reinsurance. (2016). Zhuang, Sheng Chao ; Boonen, Tim J ; Tan, Ken Seng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:196-204.

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2016Contracting theory with competitive interacting agents. (2016). Elie, Romuald ; Possamai, Dylan . In: Papers. RePEc:arx:papers:1605.08099.

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2016Robust non-zero-sum stochastic differential reinsurance game. (2016). Pun, Chi Seng ; Wong, Hoi Ying . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:169-177.

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2016Existence and uniqueness results for BSDEs with jumps: the whole nine yards. (2016). Papapantoleon, Antonis ; Saplaouras, Alexandros ; Possamai, Dylan . In: Papers. RePEc:arx:papers:1607.04214.

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2016Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration. (2016). Kwok, Kai Yin ; Wong, Hoi Ying ; Chiu, Mei Choi . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:353-366.

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2016Endogenous Formation of Limit Order Books: Dynamics Between Trades. (2016). Nadtochiy, Sergey ; Gayduk, Roman . In: Papers. RePEc:arx:papers:1605.09720.

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2016Limit order trading with a mean reverting reference price. (2016). Ahuja, Saran ; Ren, Weiluo ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1607.00454.

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2016Mean Field Game of Controls and An Application To Trade Crowding. (2016). Cardaliaguet, Pierre ; Lehalle, Charles-Albert . In: Papers. RePEc:arx:papers:1610.09904.

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2016The loss given default of a low-default portfolio with weak contagion. (2016). Yuan, Zhongyi ; Wei, LI. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:113-123.

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2016Skorohods representation theorem and optimal strategies for markets with frictions. (2016). Chau, Huy N. In: Papers. RePEc:arx:papers:1606.07311.

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2016Hedging with regret. (2016). Rieger, Marc Oliver ; Korn, Olaf . In: CFR Working Papers. RePEc:zbw:cfrwps:1606.

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2016Covers universal portfolio, stochastic portfolio theory and the numeraire portfolio. (2016). Schachermayer, Walter ; Cuchiero, Christa ; Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1611.09631.

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2016Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver. (2016). Madan, Dilip ; Stadje, Mitja ; Pistorius, Martijn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:5:p:1553-1584.

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2016Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets. (2016). Hendricks, Dieter . In: Papers. RePEc:arx:papers:1603.06805.

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2016Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications. (2016). Pham, Huyen . In: Papers. RePEc:arx:papers:1604.06609.

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2016Stability of utility maximization in nonequivalent markets. (2016). Weston, Kim . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0289-z.

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2016Exponential utility maximization under model uncertainty for unbounded endowments. (2016). Bartl, Daniel . In: Papers. RePEc:arx:papers:1610.00999.

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2016Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps. (2016). Zeng, Yan ; Gu, Ailing ; Li, Danping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:138-152.

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2016Time-consistent stopping under decreasing impatience. (2016). Nguyen-Huu, Adrien ; Huang, Yu-Jui . In: Working Papers. RePEc:hal:wpaper:hal-01116414.

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2016Dynamic portfolio selection without risk-free assets. (2016). Yin, Guosheng ; Xu, Yuhong ; Lam, Chi Kin . In: Papers. RePEc:arx:papers:1602.04975.

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2016Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model. (2016). Sun, Jingyun ; Zeng, Yan ; Li, Zhongfei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:158-172.

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2016Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows. (2016). Zhou, Zhongbao ; Lin, Ling ; Zeng, Ximei ; Yin, Jialing ; Xiao, Helu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:187-202.

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2016A characterization of equilibrium strategies in continuous-time mean–variance problems for insurers. (2016). Alia, Ishak ; SOHAIL, AYESHA ; Chighoub, Farid . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:212-223.

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2016On pre-commitment aspects of a time-consistent strategy for a mean-variance investor. (2016). Cong, F ; Oosterlee, C W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:178-193.

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2016Optimal mean–variance efficiency of a family with life insurance under inflation risk. (2016). Zhao, Xiaoyang ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:164-178.

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2016Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums. (2016). Ruan, Xinfeng ; Zhang, Jin E ; Huang, Jiexiang ; Zhu, Wenli . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:326-338.

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2016Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes. (2016). TORRICELLI, LORENZO . In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:1:d:10.1007_s11147-015-9113-8.

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2016Catastrophe equity put options with target variance. (2016). Wang, Xingchun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:79-86.

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2016A PDE View of Games Options. (2016). Meyer, Gunter H. In: Research Paper Series. RePEc:uts:rpaper:369.

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2016Duality formulas for robust pricing and hedging in discrete time. (2016). Cheridito, Patrick ; Tangpi, Ludovic ; Kupper, Michael . In: Papers. RePEc:arx:papers:1602.06177.

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2016Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:1-50.

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2016Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0283-x.

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2016Model-free portfolio theory and its functional master formula. (2016). Schied, Alexander ; Speiser, Leo ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1606.03325.

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2016A superhedging approach to stochastic integration. (2016). Lochowski, Rafal M ; Perkowski, Nicolas ; Promel, David J. In: Papers. RePEc:arx:papers:1609.02349.

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2016Robust Trading of Implied Skew. (2016). Obloj, Jan ; Nadtochiy, Sergey . In: Papers. RePEc:arx:papers:1611.05518.

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2016Pointwise Arbitrage Pricing Theory in Discrete Time. (2016). Burzoni, Matteo ; Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco . In: Papers. RePEc:arx:papers:1612.07618.

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2016A Note on Realistic Dividends in Actuarial Surplus Models. (2016). Avanzi, Benjamin ; Wong, Bernard ; Tu, Vincent . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:37-:d:80958.

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2016Pricing derivatives with counterparty risk and collateralization: A fixed point approach. (2016). Leung, Tim ; Kim, Jinbeom . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:525-539.

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2016Arbitrage-Free XVA. (2016). Bichuch, Maxim ; Sturm, Stephan ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1608.02690.

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2016Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment. (2016). Brigo, Damiano . In: Papers. RePEc:arx:papers:1611.02877.

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2016Affine multiple yield curve models. (2016). Cuchiero, Christa ; Gnoatto, Alessandro ; Fontana, Claudio . In: Papers. RePEc:arx:papers:1603.00527.

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2016Time-consistent actuarial valuations. (2016). Pelsser, Antoon ; Ghalehjooghi, Ahmad Salahnejhad . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:97-112.

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2016Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver. (2016). Madan, Dilip ; Stadje, Mitja ; Pistorius, Martijn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:5:p:1553-1584.

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2016On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation. (2016). Pistorius, Martijn ; Stadje, Mitja . In: Papers. RePEc:arx:papers:1604.08037.

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2016Hydrodynamic limit of order book dynamics. (2016). Dieker, A. B. ; Gao, Xuefeng ; Deng, S. J. ; Dai, J. G.. In: Papers. RePEc:arx:papers:1411.7502.

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2016Limit order trading with a mean reverting reference price. (2016). Ahuja, Saran ; Ren, Weiluo ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1607.00454.

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2016Optimal execution in high-frequency trading with Bayesian learning. (2016). Zhao, Jingdong ; Du, Bian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:461:y:2016:i:c:p:767-777.

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2016OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET. (2016). Roch, Alexandre ; Chevalier, Etienne ; Scotti, Simone ; Ly, Vathana . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:01:p:1650004-01-1650004-26.

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2016ALGORITHMIC TRADING WITH LEARNING. (2016). Kinzebulatov, Damir ; Cartea, Alvaro ; Jaimungal, Sebastian . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650028-01-1650028-30.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1507.00671.

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2016Exponential utility maximization under model uncertainty for unbounded endowments. (2016). Bartl, Daniel . In: Papers. RePEc:arx:papers:1610.00999.

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2016Asymptotics for rough stochastic volatility models. (2016). Forde, Martin ; Zhang, Hongzhong . In: Papers. RePEc:arx:papers:1610.08878.

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2016Robust Utility Maximization in Discrete-Time Markets with Friction. (2016). Neufeld, Ariel ; Sikic, Mario . In: Papers. RePEc:arx:papers:1610.09230.

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2016Managing Systemic Risk in Financial Networks. (2016). Detering, Nils ; Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo . In: Papers. RePEc:arx:papers:1610.09542.

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2016Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David . In: Papers. RePEc:arx:papers:1610.09875.

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2016Liquidity induced asset bubbles via flows of ELMMs. (2016). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca . In: Papers. RePEc:arx:papers:1611.01440.

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2016Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2016). Graewe, Paulwin ; Horst, Ulrich . In: Papers. RePEc:arx:papers:1611.03435.

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2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851.

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2016Robust Trading of Implied Skew. (2016). Obloj, Jan ; Nadtochiy, Sergey . In: Papers. RePEc:arx:papers:1611.05518.

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2016Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1612.06133.

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2016Pointwise Arbitrage Pricing Theory in Discrete Time. (2016). Burzoni, Matteo ; Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco . In: Papers. RePEc:arx:papers:1612.07618.

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2016A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2016). Nutz, Marcel ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1612.09152.

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2016Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2016). , Alexander ; Oboj, Jan ; Hou, Zhaoxu ; Alexander, . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0293-3.

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2016An explicit martingale version of the one-dimensional Brenier theorem. (2016). Henry-Labordere, Pierre ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0299-x.

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2016Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. (2016). Figueroa-Lopez, Jose E ; Olafsson, Sveinn . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0313-3.

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2016Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David . In: Research Paper Series. RePEc:uts:rpaper:379.

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Recent citations received in 2015

YearCiting document
2015Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218.

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2015A risk analysis for a system stabilized by a central agent. (2015). Garnier, Josselin ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1507.08333.

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2015Equilibrium pricing under relative performance concerns. (2015). Lionnet, Arnaud ; Reis, Gonalo Dos . In: Working Papers. RePEc:hal:wpaper:hal-01245812.

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Recent citations received in 2014

YearCiting document
2014Optimal order placement in limit order markets. (2014). Kukanov, Arseniy ; Cont, Rama . In: Papers. RePEc:arx:papers:1210.1625.

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2014Optimal execution and block trade pricing: a general framework. (2014). Olivier Gu'eant, . In: Papers. RePEc:arx:papers:1210.6372.

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2014A convex duality method for optimal liquidation with participation constraints. (2014). Lasry, Jean-Michel ; Olivier Gu'eant, ; Pu, Jiang . In: Papers. RePEc:arx:papers:1407.4614.

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2014Central clearing of OTC derivatives: Bilateral vs multilateral netting. (2014). Rama, Cont ; Thomas, Kokholm . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:31:y:2014:i:1:p:20:n:1.

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2014Consumption–investment strategies with non-exponential discounting and logarithmic utility. (2014). Wei, Jiaqin ; Shen, Yang ; Zhao, Qian . In: European Journal of Operational Research. RePEc:eee:ejores:v:238:y:2014:i:3:p:824-835.

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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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 1 2017. Contact: CitEc Team