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Monte Carlo Methods and Applications / De Gruyter


0.02

Impact Factor

0.04

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
19920.09000 (%)0.04
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.2171700 (%)0.07
19960.231835181717 (%)0.09
19970.27175213535 (%)0.09
19980.2919713552 (%)0.1
19990.32168710.0143671 (%)10.060.13
20000.40.011910610.01135871 (%)0.15
20010.43914523589 (%)0.15
20020.422316810.0118581101 (5.6%)0.18
20030.030.440.022219060.031062211622 (20%)10.050.19
20040.020.490.024123160.03114511192 (%)0.2
20050.030.530.021524630.01256321443 (%)0.21
20060.040.510.042326990.03145621406 (%)10.040.2
20070.110.450.0717286100.0313841249 (%)0.18
20080.480.012330940.013401181 (%)0.2
20090.470.0518327100.036401196 (%)0.19
20100.020.450.022134880.0244119621 (25%)0.16
20110.030.520.021736560.0243911022 (%)0.2
20120.050.550.0515380180.056382965 (%)0.2
20130.060.620.0415395200.051322944 (%)0.22
20140.070.640.031941490.024302863 (%)0.21
20150.120.690.0723437140.032344876 (%)10.040.22
20160.020.850.042045770.0214218941 (100%)0.26
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
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.

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10
41996On 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
52002Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps. (2002). Platen, Eckhard ; Kestutis, Kubilius ; Eckhard, Platen . 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
72012The 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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6
82003Optimal 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
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
102002Simulation 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
111999Applications of the balanced method to stochastic differential equations in filtering. (1999). Platen, Eckhard ; Paul, Fischer ; Eckhard, Platen . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:1:p:19-38:n:3.

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4
122004Upper 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
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
142011Pricing of barrier options by marginal functional quantization. (2011). Sagna, Abass . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:371-398:n:3.

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3
152002Minimal 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
162006Stratified 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
172002Edgeworth 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
182006First 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
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
202009A 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
212008Quasi-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
222009Multiple 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
232003Stochastic particle methods for Smoluchowski coagulation equation: variance reduction and error estimations. (2003). Kolodko A., ; Sabelfeld K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:4:p:315-339:n:3.

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2
242010Exact 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
252013Preliminary 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
262010Approximate formulas for expectations of functionals of solutions to stochastic differential equations. (2010). Egorov A., ; Sabelfeld K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:2:p:95-127:n:1.

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1
272014Multilevel 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
282001A 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
292009Computing 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
302003Arithmetic 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
312002A 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
322010Adaptive 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
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
342000Factorization 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
352008Real-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
362016Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators. (2016). Gerbi, AL ; Emmanuelle, Clement ; Benjamin, JOURDAIN . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:22:y:2016:i:3:p:197-228:n:1.

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1
372014A 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
382004On 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
392002Jointly 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
402011Diffusion 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
412015Constructing 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
422014A 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
431997COMPARISON 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
442007Mixed 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
452015A 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
462001On 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
472009Sparsified 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
482003Bootstrapping 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

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


#YearTitleCited
12006Balanced 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

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
32011Pricing of barrier options by marginal functional quantization. (2011). Sagna, Abass . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:371-398:n:3.

Full description at Econpapers || Download paper

3
42005On 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

2

Citing documents used to compute impact factor 1:


YearTitle
2016On construction of boundary preserving numerical schemes. (2016). Halidias, Nikolaos . In: Papers. RePEc:arx:papers:1601.07864.

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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

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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 December, 1st 2017. Contact: CitEc Team