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Mathematical Finance / Wiley Blackwell


1.07

Impact Factor

1.07

5-Years IF

44

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
19910.09171710.06302002 (%)0.04
19920.09163310.0338717177 (1.8%)10.060.04
19930.060.110.06215450.092563323323 (1.2%)10.050.06
19940.110.120.09207470.094273745452 (%)10.050.05
19950.20.20.231993230.2550941874174 (%)50.260.07
19960.640.240.5319112590.53851392593495 (%)30.160.09
19970.710.280.6418130800.62828382795616 (%)60.330.09
19980.620.290.5420150820.55468372397524 (%)50.250.1
19990.660.320.72161661150.69138738259669 (%)70.440.13
20000.780.41.3281942151.114693628921203 (%)30.110.15
20010.550.41.0920214213129944241011106 (2%)30.150.15
20020.420.420.89242382110.894524820102912 (%)40.170.18
20030.450.440.89262642651200442010896 (%)30.120.19
20040.740.491.18302943661.2432450371141351 (%)50.170.2
20050.50.520.71293233351.04317562812891 (%)100.340.21
20060.590.520.69323553901.13145935129893 (1%)80.250.2
20070.570.450.73273824651.222416135141103 (%)60.220.18
20080.530.480.6294114711.153525931144861 (%)110.380.2
20090.660.480.74224334981.1525156371471091 (%)70.320.19
20100.630.460.654335241.21513213991 (%)0.17
20111.270.520.954335231.212228110105 (%)0.2
20120.561.154335541.2807890 (%)0.21
20130.631.454336661.5405174 (%)0.22
20140.672.18164497541.686502248 (%)50.310.22
20150.630.740.63284777671.613416101610 (%)30.110.23
20161.070.981.07335109911.943244474447 (%)170.520.3
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

1088
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

504
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

232
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.

Full description at Econpapers || Download paper

222
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

165
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

137
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

98
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

97
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

94
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.

Full description at Econpapers || Download paper

93
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.

Full description at Econpapers || Download paper

92
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
131997Bond 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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86
141996HEDGING 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
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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83
162000The 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

80
172002Monte 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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79
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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78
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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73
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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69
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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69
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.

Full description at Econpapers || Download paper

62
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.

Full description at Econpapers || Download paper

60
262000Pricing 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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58
271999Term 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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58
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
292003Stochastic 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.

Full description at Econpapers || Download paper

54
301997An 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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54
312002VALUATION 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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53
321992Pricing 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
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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49
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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49
371997Contingent 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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48
381998Robustness 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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47
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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47
402002Exponential 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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46
412008OPTIMAL 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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46
422009RISK 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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45
431992Option 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
441991Option 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
451991Consumption 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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43
462000On 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
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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42
482006RISK 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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41
492008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Dai, Min ; Zong, Jianping ; Kwok, Yue Kuen . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611.

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40
501998Complete 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

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

249
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

82
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

58
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

40
51998Long 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

32
61997The 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

31
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

28
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

27
92008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Dai, Min ; Zong, Jianping ; Kwok, Yue Kuen . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611.

Full description at Econpapers || Download paper

24
101996HEDGING 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
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

22
122006MODEL 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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22
132001Robust 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

22
142004The 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.

Full description at Econpapers || Download paper

21
151994MODELING 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

20
161994MAXIMUM 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

20
172008BEHAVIORAL 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
182004Blacks 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
192004THE 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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19
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

17
222000The 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

17
231993OPTIMAL 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.

Full description at Econpapers || Download paper

16
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

16
252003Stochastic 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.

Full description at Econpapers || Download paper

16
261995ARBITRAGE 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

16
272009RISK 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

16
282002VALUATION 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
292007DIFFUSION 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.

Full description at Econpapers || Download paper

15
301997Arbitrage 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
312000On 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
322005OPTIMAL 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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15
332002Exponential 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

15
341992ALTERNATIVE 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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15
352007AN 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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14
362006A 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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14
372009OPTIMAL 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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13
382006MULTIDIMENSIONAL 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
391999Interest 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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13
402000Pricing 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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13
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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13
422014MEAN–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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12
432016A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Beiglbock, M ; Schachermayer, W ; Penkner, F ; Acciaio, B. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:233-251.

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11
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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11
452006RISK 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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11
462005DEFAULT 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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11
471991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

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11
482005CONTINUOUS-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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11
491991Consumption 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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11
501998Robustness 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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11

Citing documents used to compute impact factor 47:


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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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). Amarante, Massimiliano ; 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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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). LEHALLE, Charles-Albert ; Cardaliaguet, Pierre . 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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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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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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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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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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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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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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2016Multinomial var backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander ; Lok, Yen . In: Working Papers. RePEc:hal:wpaper:hal-01424279.

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2016Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2016). Alexander, ; Oboj, Jan ; Hou, Zhaoxu . 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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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 June, 1st 2017. Contact: CitEc Team