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Finance and Stochastics / Springer


1.37

Impact Factor

1.64

5-Years IF

36

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
19930.11000 (%)0.05
19940.12000 (%)0.05
19950.20100 (%)0.07
19960.24444163002 (3.2%)0.09
19970.281620170.854624419 (4.1%)150.940.1
19980.550.290.552141140.343462011201133 (9.5%)20.10.1
19990.650.330.612566340.523943724412527 (6.9%)30.120.14
20000.460.40.621783510.612714621664110 (3.7%)40.240.15
20010.550.410.6329112630.565224223835228 (5.4%)40.140.15
20020.430.420.5738150770.5163646201086237 (5.8%)50.130.18
20030.690.450.611501210.81674613079 (%)0.19
20040.790.50.8291791420.7944538301098736 (8.1%)70.240.2
20050.520.530.93322112010.95499291511310541 (8.2%)90.280.21
20061.020.521.01282392210.92313616212812930 (9.6%)20.070.2
20070.730.460.8272662260.85332604412710236 (10.8%)60.220.18
20080.470.490.72242902660.9219555261168424 (12.3%)80.330.2
20090.880.480.91233133040.97191514514012718 (9.4%)80.350.19
20100.770.461.01243373431.02169473613413524 (14.2%)50.210.17
20110.770.530.79293663701.01214473612610025 (11.7%)100.340.2
20120.740.560.84303964081.03173533912710724 (13.9%)60.20.2
20130.830.630.89314275171.21171594913011624 (14%)90.290.22
20140.80.670.95314585531.21142614913713022 (15.5%)170.550.22
20151.020.741.25314896601.3558626314518114 (24.1%)60.190.23
20161.370.981.64415308601.622962851522494 (13.8%)140.340.3
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
12002Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447.

Full description at Econpapers || Download paper

207
21997LIBOR and swap market models and measures (*). (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330.

Full description at Econpapers || Download paper

174
31997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*). (1997). Olsen, Richard ; Dacorogna, Michel ; Guillaume, Dominique M. ; Muller, Ulrich A. ; Dave, Rakhal R. ; Pictet, Olivier V.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129.

Full description at Econpapers || Download paper

113
41999Hedging and liquidation under transaction costs in currency markets. (1999). Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

Full description at Econpapers || Download paper

89
52004Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Protter, Philip ; Etin, Umut . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341.

Full description at Econpapers || Download paper

88
62006Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

Full description at Econpapers || Download paper

83
72002Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61.

Full description at Econpapers || Download paper

82
82005Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561.

Full description at Econpapers || Download paper

82
91998Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347.

Full description at Econpapers || Download paper

80
101999Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

Full description at Econpapers || Download paper

74
112005Inf-convolution of risk measures and optimal risk transfer. (2005). el Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

Full description at Econpapers || Download paper

70
122007The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

Full description at Econpapers || Download paper

64
131999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

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60
142005Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

Full description at Econpapers || Download paper

57
152001Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272.

Full description at Econpapers || Download paper

57
162007Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

Full description at Econpapers || Download paper

57
172013Model-independent bounds for option prices—a mass transport approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501.

Full description at Econpapers || Download paper

56
182001A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82.

Full description at Econpapers || Download paper

52
192001The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341.

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52
202011Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

Full description at Econpapers || Download paper

51
211997Continuous-time term structure models: Forward measure approach (*). (1997). Musiela, Marek ; Rutkowski, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291.

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48
222004Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206.

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45
232002Optimal stopping and perpetual options for Lévy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493.

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44
242004Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Meddeb, Moncef ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

Full description at Econpapers || Download paper

44
252000Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463.

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44
262000Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146.

Full description at Econpapers || Download paper

44
272002An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; Clement, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471.

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42
282000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Hojgaard, Bjarne ; Asmussen, Soren ; Taksar, Michael . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

Full description at Econpapers || Download paper

41
292009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

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41
302001Coherent risk measures and good-deal bounds. (2001). Jaschke, Stefan ; Kuchler, Uwe . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200.

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39
312001The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154.

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39
322006A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim . In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330.

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38
331998Optimization of consumption with labor income. (1998). Jeanblanc-Picque, Monique ; el Karoui, Nicole . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440.

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38
341996Irreversible investment and industry equilibrium (*). (1996). Baldursson, Fridrik ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89.

Full description at Econpapers || Download paper

38
351997Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68.

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37
362004Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Sass, Jorn ; Haussmann, Ulrich . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577.

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36
372002A multicurrency extension of the lognormal interest rate Market Models. (2002). Schlogl, Erik. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:173-196.

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36
382005Diversity and relative arbitrage in equity markets. (2005). Kardaras, Constantinos ; Fernholz, Robert ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27.

Full description at Econpapers || Download paper

36
392007Optimal investments for risk- and ambiguity-averse preferences: a duality approach. (2007). Schied, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:107-129.

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35
401998Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Shiryaev, A. N. ; Jacod, J.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273.

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35
411998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; Soner, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

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34
422004An example of indifference prices under exponential preferences. (2004). Musiela, Marek ; Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239.

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34
431999On dynamic measures of risk. (1999). Cvitanic, Jaksa ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:451-482.

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34
442008Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244.

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34
452001Minimax and minimal distance martingale measures and their relationship to portfolio optimization. (2001). Ruschendorf, Ludger ; Goll, Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:4:p:557-581.

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34
462002Optimal capital structure and endogenous default. (2002). Rogers, Leonard ; Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263.

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33
471997On the range of options prices (*). (1997). Eberlein, Ernst ; Jacod, Jean . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140.

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33
482001Fractional Brownian motion, random walks and binary market models. (2001). Sottinen, Tommi. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:343-355.

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33
492009Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. (2009). Morlais, Marie-Amelie . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:1:p:121-150.

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32
501998Asymptotic arbitrage in large financial markets. (1998). Kramkov, Dmitry ; Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172.

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32

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


#YearTitleCited
12002Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447.

Full description at Econpapers || Download paper

65
21998Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347.

Full description at Econpapers || Download paper

52
32013Model-independent bounds for option prices—a mass transport approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501.

Full description at Econpapers || Download paper

51
42007The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

Full description at Econpapers || Download paper

39
52011Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

Full description at Econpapers || Download paper

36
62005Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561.

Full description at Econpapers || Download paper

29
72006Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

Full description at Econpapers || Download paper

29
82004Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Protter, Philip ; Etin, Umut . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341.

Full description at Econpapers || Download paper

29
92005Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

Full description at Econpapers || Download paper

28
102007Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

Full description at Econpapers || Download paper

26
112009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

Full description at Econpapers || Download paper

22
122012Market viability via absence of arbitrage of the first kind. (2012). Kardaras, Constantinos . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:651-667.

Full description at Econpapers || Download paper

20
132005Inf-convolution of risk measures and optimal risk transfer. (2005). el Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

Full description at Econpapers || Download paper

19
141999Hedging and liquidation under transaction costs in currency markets. (1999). Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

Full description at Econpapers || Download paper

19
152014Asymptotics of implied volatility to arbitrary order. (2014). Gao, Kun ; Lee, Roger . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:349-392.

Full description at Econpapers || Download paper

19
162004Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Sass, Jorn ; Haussmann, Ulrich . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577.

Full description at Econpapers || Download paper

18
172004Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206.

Full description at Econpapers || Download paper

18
182000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Hojgaard, Bjarne ; Asmussen, Soren ; Taksar, Michael . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

Full description at Econpapers || Download paper

17
192012Model-independent hedging strategies for variance swaps. (2012). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:611-649.

Full description at Econpapers || Download paper

17
202001A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82.

Full description at Econpapers || Download paper

16
212001Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272.

Full description at Econpapers || Download paper

16
221997LIBOR and swap market models and measures (*). (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330.

Full description at Econpapers || Download paper

16
232004Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Meddeb, Moncef ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

Full description at Econpapers || Download paper

15
242005Diversity and relative arbitrage in equity markets. (2005). Kardaras, Constantinos ; Fernholz, Robert ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27.

Full description at Econpapers || Download paper

15
252007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Alos, Elisa ; Vives, Josep ; Leon, Jorge . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589.

Full description at Econpapers || Download paper

15
261997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*). (1997). Olsen, Richard ; Dacorogna, Michel ; Guillaume, Dominique M. ; Muller, Ulrich A. ; Dave, Rakhal R. ; Pictet, Olivier V.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129.

Full description at Econpapers || Download paper

14
272014A note on the condition of no unbounded profit with bounded risk. (2014). Takaoka, Koichiro ; Schweizer, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:393-405.

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14
282010Option hedging for small investors under liquidity costs. (2010). Soner, H. ; Etin, Umut ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:317-341.

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13
292014Transaction costs, trading volume, and the liquidity premium. (2014). Muhle-Karbe, Johannes ; Schachermayer, Walter ; Gerhold, Stefan ; Guasoni, Paolo . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:1-37.

Full description at Econpapers || Download paper

13
301996Irreversible investment and industry equilibrium (*). (1996). Baldursson, Fridrik ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89.

Full description at Econpapers || Download paper

13
312000Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146.

Full description at Econpapers || Download paper

13
322015Robust price bounds for the forward starting straddle. (2015). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:189-214.

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13
332014On the hedging of options on exploding exchange rates. (2014). Ruf, Johannes ; Fisher, Travis ; Carr, Peter . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:115-144.

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13
342013Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. (2013). Yang, Jingping ; Wang, Ruodu ; Peng, Liang . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:2:p:395-417.

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13
351999Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

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12
362006A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim . In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330.

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372002Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61.

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12
382014Robust hedging with proportional transaction costs. (2014). Soner, H. ; Dolinsky, Yan . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:327-347.

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12
392002An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; Clement, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471.

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12
401998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; Soner, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

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12
412010Hedging variance options on continuous semimartingales. (2010). Carr, Peter ; Lee, Roger . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:2:p:179-207.

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12
422009Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. (2009). Morlais, Marie-Amelie . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:1:p:121-150.

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12
432011Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654.

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11
442008Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244.

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11
452012Polynomial processes and their applications to mathematical finance. (2012). Cuchiero, Christa ; Keller-Ressel, Martin ; Teichmann, Josef . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740.

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11
462012Optimal dividend distribution under Markov regime switching. (2012). Pistorius, Martijn ; Jiang, Zhengjun . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:3:p:449-476.

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11
472005A note on Wick products and the fractional Black-Scholes model. (2005). Hult, Henrik ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:197-209.

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482014Superreplication under model uncertainty in discrete time. (2014). Nutz, Marcel . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:4:p:791-803.

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492006A super-replication theorem in Kabanov’s model of transaction costs. (2006). Campi, Luciano ; Schachermayer, Walter . In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:4:p:579-596.

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11
501998Perfect option hedging for a large trader. (1998). Frey, Rudiger . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141.

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11

Citing documents used to compute impact factor 85:


YearTitle
2016Facelifting in utility maximization. (2016). Itkovi, Gordan ; Larsen, Kasper ; Soner, Halil . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:99-121.

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2016Facelifting in utility maximization. (2016). Larsen, Kasper ; Itkovi, Gordan ; Soner, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0274-y.

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2016No arbitrage of the first kind and local martingale numéraires. (2016). Кабанов, Юрий ; Kardaras, Constantinos ; Song, Shiqi ; Kabanov, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0310-6.

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2016Robust Optimization of Credit Portfolios. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1603.08169.

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2016Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits. (2016). Kluppelberg, Claudia ; Seifert, Miriam Isabel . In: Papers. RePEc:arx:papers:1612.07132.

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2016Who would invest only in the risk-free asset?. (2016). Azevedo, Nuno ; Yannacopoulos, Athanasios ; Xanthopoulos, Stylianos ; Pinheiro, Diogo . In: Papers. RePEc:arx:papers:1608.02446.

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2016Arbitrage of the first kind and filtration enlargements in semimartingale financial models. (2016). Acciaio, Beatrice ; Kardaras, Constantinos ; Fontana, Claudio . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:6:p:1761-1784.

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2016Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. (2016). Bayraktar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1502.06681.

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2016The pricing of contingent claims and optimal positions in asymptotically complete markets. (2016). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott . In: Papers. RePEc:arx:papers:1509.06210.

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2016Optimal Consumption and Investment with Fixed and Proportional Transaction Costs. (2016). Altarovici, Albert ; Soner, Mete H ; Reppen, Max . In: Papers. RePEc:arx:papers:1610.03958.

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2016Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point. (2016). Janke, Oliver . In: Papers. RePEc:arx:papers:1610.08644.

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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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2016A recursive algorithm for multivariate risk measures and a set-valued Bellmans principle. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1508.02367.

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2016A Supermartingale Relation for Multivariate Risk Measures. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1510.05561.

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2016Risk Arbitrage and Hedging to Acceptability. (2016). Lépinette, Emmanuel ; Molchanov, Ilya . In: Papers. RePEc:arx:papers:1605.07884.

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2016Additive subordination and its applications in finance. (2016). Li, Lingfei ; Mendoza-Arriaga, Rafael . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0300-8.

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2016THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE. (2016). Xu, Guangli ; Song, Shiyu ; Wang, Yongjin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:03:p:1650020-01-1650020-19.

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2016Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. (2016). Czichowsky, Christoph ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1505.02416.

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2016Single jump processes and strict local martingales. (2016). Herdegen, Martin ; Herrmann, Sebastian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:2:p:337-359.

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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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2016Superreplication when trading at market indifference prices. (2016). Gokay, Selim ; Bank, Peter . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:153-182.

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2016Superreplication when trading at market indifference prices. (2016). Bank, Peter ; Gokay, Selim . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0278-7.

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2016Optimal Skorokhod embedding under finitely-many marginal constraints. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1506.04063.

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2016Tightness and duality of martingale transport on the Skorokhod space. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1507.01125.

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2016No-arbitrage bounds for the forward smile given marginals. (2016). Badikov, Sergey ; Roome, Patrick ; Liu, Daphne Qing ; Jacquier, Antoine . In: Papers. RePEc:arx:papers:1603.06389.

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2016Canonical Supermartingale Couplings. (2016). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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2016An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint. (2016). Henry-Labordere, Pierre ; Touzi, Nizar ; Tan, Xiaolu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2800-2834.

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2016A Duality Result for Robust Optimization with Expectation Constraints. (2016). Miller, Christopher W. In: Papers. RePEc:arx:papers:1610.01227.

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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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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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2016Semi-static completeness and robust pricing by informed investors. (2016). Acciaio, Beatrice ; Larsson, Martin . In: Papers. RePEc:arx:papers:1510.01890.

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2016Consistent price systems under model uncertainty. (2016). Bouchard, Bruno ; Nutz, Marcel . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:83-98.

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2016Consistent price systems under model uncertainty. (2016). Bouchard, Bruno ; Nutz, Marcel . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0286-7.

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2016Canonical Supermartingale Couplings. (2016). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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2016A Duality Result for Robust Optimization with Expectation Constraints. (2016). Miller, Christopher W. In: Papers. RePEc:arx:papers:1610.01227.

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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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2016Semi-static completeness and robust pricing by informed investors. (2016). Larsson, Martin ; Acciaio, Beatrice . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68502.

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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 Optimal Risk Sharing and Risk Premia in Expanding Pools. (2016). Laeven, Roger ; Knispel, Thomas ; Svindland, Gregor . In: Papers. RePEc:arx:papers:1601.06979.

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2016Robust optimal risk sharing and risk premia in expanding pools. (2016). Laeven, Roger ; Knispel, Thomas ; Svindland, Gregor . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:182-195.

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2016Asymptotic analysis for target asset portfolio allocation with small transaction costs. (2016). Liu, Cong ; Zheng, Harry . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:59-68.

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2016Utility maximization problem with random endowment and transaction costs: when wealth may become negative. (2016). Lin, Yiqing ; Yang, Junjian . In: Papers. RePEc:arx:papers:1604.08224.

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2016Optimal Consumption and Investment with Fixed and Proportional Transaction Costs. (2016). Altarovici, Albert ; Soner, Mete H ; Reppen, Max . In: Papers. RePEc:arx:papers:1610.03958.

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2016General smile asymptotics with bounded maturity. (2016). Caravenna, Francesco ; Corbetta, Jacopo . In: Papers. RePEc:arx:papers:1411.1624.

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2016The asymptotic smile of a multiscaling stochastic volatility model. (2016). Caravenna, Francesco ; Corbetta, Jacopo . In: Papers. RePEc:arx:papers:1501.03387.

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2016Uniform bounds for Black--Scholes implied volatility. (2016). Tehranchi, Michael R. In: Papers. RePEc:arx:papers:1512.06812.

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2016Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. (2016). Figueroa-Lopez, Jose ; Olafsson, Sveinn . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:219-265.

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2016Option Pricing in the Moderate Deviations Regime. (2016). Friz, Peter ; Pinter, Arpad ; Gerhold, Stefan . In: Papers. RePEc:arx:papers:1604.01281.

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2016Large-maturity regimes of the Heston forward smile. (2016). Jacquier, Antoine ; Roome, Patrick . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:4:p:1087-1123.

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2016Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. (2016). Olafsson, Sveinn ; Figueroa-Lopez, Jose E. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0281-z.

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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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2016Short Maturity Asian Options in Local Volatility Models. (2016). Pirjol, Dan ; Zhu, Lingjiong . In: Papers. RePEc:arx:papers:1609.07559.

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2016.

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2016GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING. (2016). Yamazaki, Akira . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650024-01-1650024-34.

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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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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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2016The Sound of Silence: equilibrium filtering and optimal censoring in financial markets. (2016). Gietzmann, Miles B ; Ostaszewski, Adam J. In: Papers. RePEc:arx:papers:1606.04039.

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2016Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models. (2016). Criens, David ; Grbac, Zorana ; Glau, Kathrin . In: Papers. RePEc:arx:papers:1506.08127.

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2016Relative asset price bubbles. (2016). Jarrow, Robert ; Protter, Philip ; Falafala, Roseline Bilina . In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:2:d:10.1007_s10436-016-0274-8.

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2016Exponential functionals of Levy processes and variable annuity guaranteed benefits. (2016). Feng, Runhuan ; Yang, Fenghao ; Kuznetsov, Alexey . In: Papers. RePEc:arx:papers:1610.00577.

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2016Arbitrage of the first kind and filtration enlargements in semimartingale financial models. (2016). Acciaio, Beatrice ; Kardaras, Constantinos ; Fontana, Claudio . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:6:p:1761-1784.

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2016Drift operator in a viable expansion of information flow. (2016). Song, Shiqi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:8:p:2297-2322.

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2016Arbitrage of the first kind and filtration enlargements in semimartingale financial models. (2016). Acciaio, Beatrice ; Fontana, Claudio ; Kardaras, Constantinos . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:65150.

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2016Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$. (2016). Song, Shiqi . In: Papers. RePEc:arx:papers:1405.4474.

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2016No arbitrage of the first kind and local martingale numéraires. (2016). Кабанов, Юрий ; Kardaras, Constantinos ; Song, Shiqi ; Kabanov, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0310-6.

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2016STRONG BUBBLES AND STRICT LOCAL MARTINGALES. (2016). Schweizer, Martin ; Herdegen, Martin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650022-01-1650022-44.

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2016Intrinsic risk measures. (2016). Farkas, W ; Smirnow, A. In: Papers. RePEc:arx:papers:1610.08782.

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2016Model-free Superhedging Duality. (2016). Burzoni, Matteo ; Maggis, Marco ; Frittelli, Marco . In: Papers. RePEc:arx:papers:1506.06608.

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2016Arbitrage and Hedging in model-independent markets with frictions. (2016). Burzoni, Matteo . In: Papers. RePEc:arx:papers:1512.01488.

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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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2016Constrained Optimal Transport. (2016). Soner, Mete H ; Ekren, Ibrahim . In: Papers. RePEc:arx:papers:1610.02940.

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2016Law invariant risk measures and information divergences. (2016). Lacker, Daniel . In: Papers. RePEc:arx:papers:1510.07030.

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2016A definition of qualitative robustness for general point estimators, and examples. (2016). Zahle, Henryk . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:143:y:2016:i:c:p:12-31.

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2016Risk measures with the CxLS property. (2016). Delbaen, Freddy ; Ziegel, Johanna F ; Bignozzi, Valeria ; Bellini, Fabio . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-015-0279-6.

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2016Nonparametric estimation of risk measures of collective risks. (2016). Alexandra, Lauer ; Henryk, Zahle . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:32:y:2016:i:2:p:89-102:n:3.

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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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2016Pricing Bermudan options under local L\evy models with default. (2016). Pascucci, Andrea ; Borovykh, Anastasia ; Oosterlee, Cornelis W. In: Papers. RePEc:arx:papers:1604.08735.

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2016Financial Models with Defaultable Num\eraires. (2016). Fisher, Travis ; Ruf, Johannes ; Pulido, Sergio . In: Papers. RePEc:arx:papers:1511.04314.

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2016Financial Models with Defaultable Numéraires. (2016). Fisher, Travis ; Ruf, Johannes ; Pulido, Sergio . In: Working Papers. RePEc:hal:wpaper:hal-01240736.

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2016Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. (2016). Kruse, T ; Popier, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2554-2592.

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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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2016Polynomial diffusions and applications in finance. (2016). Larsson, Martin ; Filipovi, Damir . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0304-4.

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2016Economically Consistent Valuations and Put-Call Parity. (2016). Herdegen, Martin ; Schweizer, Martin . In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1602.

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2016Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. (2016). Liang, Gechun ; Zariphopoulou, Thaleia . In: Papers. RePEc:arx:papers:1511.04863.

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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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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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2016Canonical Supermartingale Couplings. (2016). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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2016Dependent Defaults and Losses with Factor Copula Models. (2016). Ackerer, Damien ; Vatter, Thibault . In: Papers. RePEc:arx:papers:1610.03050.

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

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2016Shot-Noise Processes in Finance. (2016). Schmidt, Thorsten . In: Papers. RePEc:arx:papers:1612.06616.

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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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2016Scenario aggregation method for portfolio expectile optimization. (2016). Edgars, Jakobsons . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:51-65:n:4.

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2016Polynomial diffusion models for life insurance liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:114-129.

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2016An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint. (2016). Henry-Labordere, Pierre ; Touzi, Nizar ; Tan, Xiaolu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2800-2834.

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2016Semi-static completeness and robust pricing by informed investors. (2016). Larsson, Martin ; Acciaio, Beatrice . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68502.

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2016Change of numeraire in the two-marginals martingale transport problem. (2016). Laachir, Ismail ; Campi, Luciano ; Martini, Claude . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68783.

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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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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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Recent citations received in 2015

YearCiting document
2015Radner equilibrium in incomplete Levy models. (2015). Larsen, Kasper ; Sue, Tanawit Sae . In: Papers. RePEc:arx:papers:1507.02974.

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2015Implied volatility in strict local martingale models. (2015). Jacquier, Antoine ; Keller-Ressel, Martin . In: Papers. RePEc:arx:papers:1508.04351.

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2015Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385.

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2015A model for a large investor trading at market indifference prices. I: Single-period case. (2015). Kramkov, Dmitry ; Bank, Peter . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:2:p:449-472.

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2015A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing. (2015). Teichmann, Josef ; Cuchiero, Christa . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:743-761.

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2015Model Risk in Financial Markets:From Financial Engineering to Risk Management. (2015). Tunaru, Radu . In: World Scientific Books. RePEc:wsi:wsbook:9524.

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Recent citations received in 2014

YearCiting document
2014Law-invariant risk measures: extension properties and qualitative robustness. (2014). Munari, Cosimo ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3121.

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2014Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3133.

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2014Representation of infinite dimensional forward price models in commodity markets. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1403.4111.

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2014Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu . In: Papers. RePEc:arx:papers:1405.3769.

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2014Consistent Price Systems under Model Uncertainty. (2014). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1408.5510.

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2014Long Term Optimal Investment in Matrix Valued Factor Models. (2014). Xing, Hao ; Robertson, Scott . In: Papers. RePEc:arx:papers:1408.7010.

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2014Efficient price dynamics in a limit order market: an utility indifference approach. (2014). Fukasawa, Masaaki . In: Papers. RePEc:arx:papers:1410.8224.

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2014Risk measures with the CxLS property. (2014). Bellini, Fabio ; Bignozzi, Valeria ; Ziegel, Johanna F. ; Delbaen, Freddy . In: Papers. RePEc:arx:papers:1411.0426.

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2014Derivatives pricing in energy markets: an infinite dimensional approach. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1412.7943.

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2014Law-invariant risk measures: Extension properties and qualitative robustness. (2014). Pablo, Koch-Medina ; Cosimo, Munari . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:31:y:2014:i:3-4:p:22:n:4.

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2014Capital requirements with defaultable securities. (2014). Munari, Cosimo ; Farkas, Walter ; Koch-Medina, Pablo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:58-67.

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2014Information, no-arbitrage and completeness for asset price models with a change point. (2014). Fontana, Claudio ; Grbac, Zorana ; Li, Qinghua ; Jeanblanc, Monique . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:9:p:3009-3030.

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2014A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty. (2014). Bayraktar, Erhan ; Zhou, Zhou ; Zhang, Yuchong . In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:4:p:425-433:d:41048.

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2014Robust Fundamental Theorem for Continuous Processes. (2014). Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos ; Bouchard, Bruno . In: Working Papers. RePEc:hal:wpaper:hal-01076062.

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2014Large Deviations for the Extended Heston Model: The Large-Time Case. (2014). Mijatovi, Aleksandar ; Jacquier, Antoine . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:21:y:2014:i:3:p:263-280.

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2014Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension. (2014). Strong, Winslow . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:487-514.

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2014On arbitrages arising with honest times. (2014). Fontana, Claudio ; Song, Shiqi ; Jeanblanc, Monique . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:515-543.

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Recent citations received in 2013

YearCiting document
2013On arbitrages arising from honest times. (2013). Fontana, Claudio ; Song, Shiqi ; Jeanblanc, Monique . In: Papers. RePEc:arx:papers:1207.1759.

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2013Pricing American options via multi-level approximation methods. (2013). Belomestny, Denis ; Nagapetyan, Tigran ; Dickmann, Fabian . In: Papers. RePEc:arx:papers:1303.1334.

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2013A variation of the Canadisation algorithm for the pricing of American options driven by L\evy processes. (2013). Kleinert, Florian ; van Schaik, Kees . In: Papers. RePEc:arx:papers:1304.4534.

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2013Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes. (2013). Zhou, Enlu ; Zhu, Helin ; Ye, Fan . In: Papers. RePEc:arx:papers:1305.4321.

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2013Optimal robust bounds for variance options. (2013). Alexander M. G. Cox, ; Wang, Jiajie . In: Papers. RePEc:arx:papers:1308.4363.

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2013Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates. (2013). Wang, Bin ; Puccetti, Giovanni . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:821-828.

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2013Model uncertainty and VaR aggregation. (2013). Puccetti, Giovanni ; Embrechts, Paul ; Ruschendorf, Ludger . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:8:p:2750-2764.

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2013Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions *. (2013). Bouchard, Bruno ; Nutz, Marcel . In: Working Papers. RePEc:hal:wpaper:hal-00846830.

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2013On the game interpretation of a shadow price process in utility maximization problems under transaction costs. (2013). Rokhlin, Dmitry. In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:819-838.

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