Citation analysis for Finance and Stochastics / Springer

Finance and Stochastics / Springer

1.26

Impact Factor

1.51

5-Years IF

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.1			0				0		0		(%)			0.04
1991		0.09			0				0		0		(%)			0.04
1992		0.09			0				0		0		(%)			0.04
1993		0.1			0				0		0		(%)			0.05
1994		0.11			0				0		0		(%)			0.05
1995		0.2			0	1			0		0		(%)			0.07
1996		0.23		4	4	4	1	64	0		0		2 (3.1%)			0.09
1997		0.27		16	20	17	0.85	447	4		4		19 (4.3%)	15	0.94	0.09
1998	0.55	0.29	0.55	21	41	14	0.34	355	20	11	20	11	35 (9.9%)	2	0.1	0.1
1999	0.59	0.32	0.56	25	66	32	0.48	400	37	22	41	23	27 (6.8%)	3	0.12	0.13
2000	0.37	0.4	0.55	17	83	41	0.49	269	46	17	66	36	11 (4.1%)	1	0.06	0.15
2001	0.55	0.4	0.61	29	112	61	0.54	528	42	23	83	51	29 (5.5%)	4	0.14	0.15
2002	0.43	0.42	0.57	38	150	77	0.51	655	46	20	108	62	37 (5.6%)	5	0.13	0.18
2003	0.69	0.44	0.61		150	121	0.81		67	46	130	79	(%)			0.19
2004	0.79	0.49	0.8	29	179	140	0.78	455	38	30	109	87	36 (7.9%)	7	0.24	0.2
2005	0.52	0.53	0.9	32	211	195	0.92	502	29	15	113	102	41 (8.2%)	9	0.28	0.21
2006	1	0.51	0.99	28	239	213	0.89	329	61	61	128	127	30 (9.1%)	2	0.07	0.2
2007	0.7	0.45	0.79	27	266	221	0.83	354	60	42	127	100	39 (11%)	6	0.22	0.18
2008	0.45	0.48	0.7	24	290	260	0.9	196	55	25	116	81	26 (13.3%)	7	0.29	0.2
2009	0.86	0.47	0.9	23	313	298	0.95	199	51	44	140	126	19 (9.5%)	8	0.35	0.19
2010	0.77	0.45	1	24	337	342	1.01	183	47	36	134	134	25 (13.7%)	5	0.21	0.16
2011	0.72	0.52	0.76	29	366	355	0.97	231	47	34	126	96	27 (11.7%)	10	0.34	0.2
2012	0.72	0.55	0.83	30	396	405	1.02	191	53	38	127	106	26 (13.6%)	6	0.2	0.2
2013	0.83	0.62	0.88	31	427	509	1.19	190	59	49	130	115	26 (13.7%)	9	0.29	0.22
2014	0.8	0.64	0.93	31	458	537	1.17	156	61	49	137	128	24 (15.4%)	17	0.55	0.21
2015	1.02	0.69	1.24	31	489	647	1.32	67	62	63	145	180	17 (25.4%)	5	0.16	0.22
2016	1.26	0.85	1.51	41	530	791	1.49	50	62	78	152	229	4 (8%)	13	0.32	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:

#	Year	Title	Cited
1	2002	Convex 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	219
2	1997	*LIBOR 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	162
3	1997	*From 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	112
4	2006	Generalized 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	93
5	1999	Hedging and liquidation under transaction costs in currency markets. (1999). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; 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	90
6	1998	Robust 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	89
7	2004	Liquidity 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
8	2005	Conditional 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	83
9	2002	Fourier 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
10	1999	Quantile 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	75
11	2005	Inf-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	72
12	2007	The numÃ©raire 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	71
13	2013	Model-independent bounds for option pricesâa 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	66
14	1999	Applications 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. Full description at Econpapers \|\| Download paper	62
15	2007	Moment 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	62
16	2005	Local 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	56
17	2001	Utility 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	56
18	2011	Robust 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	55
19	2001	A 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	53
20	2001	The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341. Full description at Econpapers \|\| Download paper	53
21	2002	Optimal stopping and perpetual options for LÃ©vy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493. Full description at Econpapers \|\| Download paper	48
22	2004	Asymptotic 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	47
23	2004	Vector-valued coherent risk measures. (2004). Jouini, ElyÃÂ¨s ; 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	46
24	1997	*Continuous-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*. Full description at Econpapers \|\| Download paper	45
25	2000	Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463. Full description at Econpapers \|\| Download paper	45
26	2009	Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; SchÃÂ¶neborn, 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	43
27	2002	An 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. Full description at Econpapers \|\| Download paper	43
28	2000	Optimal 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
29	2006	A 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. Full description at Econpapers \|\| Download paper	41
30	2001	Coherent 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. Full description at Econpapers \|\| Download paper	40
31	2000	Efficient 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	40
32	2001	The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154. Full description at Econpapers \|\| Download paper	39
33	1996	*Irreversible 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	39
34	1997	Processes 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. Full description at Econpapers \|\| Download paper	38
35	1998	Optimization 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. Full description at Econpapers \|\| Download paper	38
36	2005	Diversity 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
37	2001	Fractional 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. Full description at Econpapers \|\| Download paper	35
38	1998	Local 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. Full description at Econpapers \|\| Download paper	35
39	2004	Optimizing 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	35
40	2004	An 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. Full description at Econpapers \|\| Download paper	35
41	1999	On 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. Full description at Econpapers \|\| Download paper	35
42	2007	Optimal 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. Full description at Econpapers \|\| Download paper	35
43	2008	Dynamic 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. Full description at Econpapers \|\| Download paper	35
44	1998	Option 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. Full description at Econpapers \|\| Download paper	35
45	2002	A 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. Full description at Econpapers \|\| Download paper	34
46	1997	*On 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*. Full description at Econpapers \|\| Download paper	34
47	2002	Optimal 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. Full description at Econpapers \|\| Download paper	33
48	2001	Analytical value-at-risk with jumps and credit risk. (2001). pan, jun ; Duffie, Darrell. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:155-180. Full description at Econpapers \|\| Download paper	33
49	2001	Minimax 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. Full description at Econpapers \|\| Download paper	33
50	2009	Quadratic 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. Full description at Econpapers \|\| Download paper	32

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

#	Year	Title	Cited
1	2002	Convex 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	77
2	1998	Robust 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	61
3	2013	Model-independent bounds for option pricesâa 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	61
4	2007	The numÃ©raire 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	46
5	2011	Robust 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	40
6	2006	Generalized 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	40
7	2007	Moment 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	31
8	2004	Liquidity 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	30
9	2005	Conditional 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
10	2005	Local 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
11	2009	Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; SchÃÂ¶neborn, 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	24
12	2007	On 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	23
13	2005	Inf-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	22
14	2004	Asymptotic 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	21
15	1999	Hedging and liquidation under transaction costs in currency markets. (1999). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; 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	21
16	2012	Model-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	20
17	2012	Market 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	19
18	2014	Asymptotics 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
19	2004	Vector-valued coherent risk measures. (2004). Jouini, ElyÃÂ¨s ; 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	18
20	2004	Optimizing 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	17
21	2000	Optimal 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
22	2001	A 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	17
23	1998	Option 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. Full description at Econpapers \|\| Download paper	16
24	2005	Diversity 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	16
25	1997	*LIBOR 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
26	2001	Utility 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
27	2011	Asymptotic 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. Full description at Econpapers \|\| Download paper	15
28	2006	A 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. Full description at Econpapers \|\| Download paper	15
29	1997	*From 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	15
30	2014	A 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. Full description at Econpapers \|\| Download paper	15
31	2015	Robust 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. Full description at Econpapers \|\| Download paper	15
32	1999	Quantile 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	14
33	2014	Comparative and qualitative robustness for law-invariant risk measures. (2014). Schied, Alexander ; Kratschmer, Volker ; Zahle, Henryk . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:271-295. Full description at Econpapers \|\| Download paper	14
34	2014	Transaction 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	14
35	2002	An 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. Full description at Econpapers \|\| Download paper	14
36	2013	Bounds 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. Full description at Econpapers \|\| Download paper	14
37	2005	A 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. Full description at Econpapers \|\| Download paper	14
38	2009	Quadratic 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. Full description at Econpapers \|\| Download paper	13
39	2014	On 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. Full description at Econpapers \|\| Download paper	13
40	2010	Option 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. Full description at Econpapers \|\| Download paper	13
41	2012	Polynomial 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. Full description at Econpapers \|\| Download paper	13
42	2002	Fourier 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	13
43	2000	Efficient 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
44	1999	Applications 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. Full description at Econpapers \|\| Download paper	13
45	2014	Robust 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. Full description at Econpapers \|\| Download paper	13
46	2010	Hedging 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. Full description at Econpapers \|\| Download paper	13
47	1996	*Irreversible 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
48	2006	A super-replication theorem in Kabanovâs 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. Full description at Econpapers \|\| Download paper	12
49	2014	Superreplication 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. Full description at Econpapers \|\| Download paper	12
50	1998	Perfect 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. Full description at Econpapers \|\| Download paper	12

Citing documents used to compute impact factor 78:

Year	Title
2016	Facelifting 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. Full description at Econpapers \|\| Download paper
2016	Facelifting 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. Full description at Econpapers \|\| Download paper
2016	No arbitrage of the first kind and local martingale numÃ©raires. (2016). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; 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. Full description at Econpapers \|\| Download paper
2016	Robust Optimization of Credit Portfolios. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1603.08169. Full description at Econpapers \|\| Download paper
2016	Conditional 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. Full description at Econpapers \|\| Download paper
2016	Who would invest only in the risk-free asset?. (2016). Azevedo, Nuno ; Yannacopoulos, Athanasios ; Xanthopoulos, Stylianos ; Pinheiro, Diogo . In: Papers. RePEc:arx:papers:1608.02446. Full description at Econpapers \|\| Download paper
2016	Arbitrage 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. Full description at Econpapers \|\| Download paper
2016	Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. (2016). Bayraktar, Erhan ; Zhou, Zhou . In: Papers. RePEc:arx:papers:1502.06681. Full description at Econpapers \|\| Download paper
2016	The 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. Full description at Econpapers \|\| Download paper
2016	Optimal Consumption and Investment with Fixed and Proportional Transaction Costs. (2016). Altarovici, Albert ; Soner, Mete H ; Reppen, Max . In: Papers. RePEc:arx:papers:1610.03958. Full description at Econpapers \|\| Download paper
2016	Utility 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. Full description at Econpapers \|\| Download paper
2016	Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1612.06133. Full description at Econpapers \|\| Download paper
2016	A recursive algorithm for multivariate risk measures and a set-valued Bellmans principle. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1508.02367. Full description at Econpapers \|\| Download paper
2016	A Supermartingale Relation for Multivariate Risk Measures. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1510.05561. Full description at Econpapers \|\| Download paper
2016	Risk Arbitrage and Hedging to Acceptability. (2016). LÃÂ©pinette, Emmanuel ; Molchanov, Ilya . In: Papers. RePEc:arx:papers:1605.07884. Full description at Econpapers \|\| Download paper
2016	Additive 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. Full description at Econpapers \|\| Download paper
2016	Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. (2016). Czichowsky, Christoph ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1505.02416. Full description at Econpapers \|\| Download paper
2016	Single 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. Full description at Econpapers \|\| Download paper
2016	Robust 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. Full description at Econpapers \|\| Download paper
2016	Superreplication 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. Full description at Econpapers \|\| Download paper
2016	Superreplication 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. Full description at Econpapers \|\| Download paper
2016	Optimal Skorokhod embedding under finitely-many marginal constraints. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1506.04063. Full description at Econpapers \|\| Download paper
2016	Tightness and duality of martingale transport on the Skorokhod space. (2016). Guo, Gaoyue ; Touzi, Nizar ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1507.01125. Full description at Econpapers \|\| Download paper
2016	No-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. Full description at Econpapers \|\| Download paper
2016	Canonical Supermartingale Couplings. (2016). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867. Full description at Econpapers \|\| Download paper
2016	An explicit martingale version of the one-dimensional Brenierâs 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. Full description at Econpapers \|\| Download paper
2016	A Duality Result for Robust Optimization with Expectation Constraints. (2016). Miller, Christopher W. In: Papers. RePEc:arx:papers:1610.01227. Full description at Econpapers \|\| Download paper
2016	Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1507.00671. Full description at Econpapers \|\| Download paper
2016	A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2016). Nutz, Marcel ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1612.09152. Full description at Econpapers \|\| Download paper
2016	Semi-static completeness and robust pricing by informed investors. (2016). Acciaio, Beatrice ; Larsson, Martin . In: Papers. RePEc:arx:papers:1510.01890. Full description at Econpapers \|\| Download paper
2016	Consistent 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. Full description at Econpapers \|\| Download paper
2016	Consistent 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. Full description at Econpapers \|\| Download paper
2016	Canonical Supermartingale Couplings. (2016). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867. Full description at Econpapers \|\| Download paper
2016	A Duality Result for Robust Optimization with Expectation Constraints. (2016). Miller, Christopher W. In: Papers. RePEc:arx:papers:1610.01227. Full description at Econpapers \|\| Download paper
2016	Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1507.00671. Full description at Econpapers \|\| Download paper
2016	Semi-static completeness and robust pricing by informed investors. (2016). Larsson, Martin ; Acciaio, Beatrice . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68502. Full description at Econpapers \|\| Download paper
2016	A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2016). Nutz, Marcel ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1612.09152. Full description at Econpapers \|\| Download paper
2016	General smile asymptotics with bounded maturity. (2016). Caravenna, Francesco ; Corbetta, Jacopo . In: Papers. RePEc:arx:papers:1411.1624. Full description at Econpapers \|\| Download paper
2016	Uniform bounds for Black--Scholes implied volatility. (2016). Tehranchi, Michael R. In: Papers. RePEc:arx:papers:1512.06812. Full description at Econpapers \|\| Download paper
2016	Short-time expansions for close-to-the-money options under a LÃ©vy 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. Full description at Econpapers \|\| Download paper
2016	Option Pricing in the Moderate Deviations Regime. (2016). Friz, Peter ; Pinter, Arpad ; Gerhold, Stefan . In: Papers. RePEc:arx:papers:1604.01281. Full description at Econpapers \|\| Download paper
2016	Large-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. Full description at Econpapers \|\| Download paper
2016	Short-time expansions for close-to-the-money options under a LÃ©vy 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. Full description at Econpapers \|\| Download paper
2016	Short-term asymptotics for the implied volatility skew under a stochastic volatility model with LÃ©vy 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. Full description at Econpapers \|\| Download paper
2016	Short Maturity Asian Options in Local Volatility Models. (2016). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:1609.07559. Full description at Econpapers \|\| Download paper
2016	Asymptotics for rough stochastic volatility models. (2016). Forde, Martin ; Zhang, Hongzhong . In: Papers. RePEc:arx:papers:1610.08878. Full description at Econpapers \|\| Download paper
2016	Dynamic portfolio selection without risk-free assets. (2016). Yin, Guosheng ; Xu, Yuhong ; Lam, Chi Kin . In: Papers. RePEc:arx:papers:1602.04975. Full description at Econpapers \|\| Download paper
2016	The 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. Full description at Econpapers \|\| Download paper
2016	Martingale 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. Full description at Econpapers \|\| Download paper
2016	Relative 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. Full description at Econpapers \|\| Download paper
2016	Exponential functionals of Levy processes and variable annuity guaranteed benefits. (2016). Feng, Runhuan ; Yang, Fenghao ; Kuznetsov, Alexey . In: Papers. RePEc:arx:papers:1610.00577. Full description at Econpapers \|\| Download paper
2016	Arbitrage 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. Full description at Econpapers \|\| Download paper
2016	Drift 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. Full description at Econpapers \|\| Download paper
2016	Arbitrage 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. Full description at Econpapers \|\| Download paper
2016	Local 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. Full description at Econpapers \|\| Download paper
2016	No arbitrage of the first kind and local martingale numÃ©raires. (2016). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; 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. Full description at Econpapers \|\| Download paper
2016	Intrinsic risk measures. (2016). Farkas, W ; Smirnow, A. In: Papers. RePEc:arx:papers:1610.08782. Full description at Econpapers \|\| Download paper
2016	Model-free Superhedging Duality. (2016). Burzoni, Matteo ; Maggis, Marco ; Frittelli, Marco. In: Papers. RePEc:arx:papers:1506.06608. Full description at Econpapers \|\| Download paper
2016	Arbitrage and Hedging in model-independent markets with frictions. (2016). Burzoni, Matteo . In: Papers. RePEc:arx:papers:1512.01488. Full description at Econpapers \|\| Download paper
2016	Robust Utility Maximization in Discrete-Time Markets with Friction. (2016). Neufeld, Ariel ; Sikic, Mario . In: Papers. RePEc:arx:papers:1610.09230. Full description at Econpapers \|\| Download paper
2016	Law invariant risk measures and information divergences. (2016). Lacker, Daniel . In: Papers. RePEc:arx:papers:1510.07030. Full description at Econpapers \|\| Download paper
2016	A 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. Full description at Econpapers \|\| Download paper
2016	Risk 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. Full description at Econpapers \|\| Download paper
2016	Nonparametric 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. Full description at Econpapers \|\| Download paper
2016	Convex duality in optimal investment and contingent claim valuation in illiquid markets. (2016). Pennanen, Teemu ; Perkkio, Ari-Pekka . In: Papers. RePEc:arx:papers:1603.02867. Full description at Econpapers \|\| Download paper
2016	Pricing Bermudan options under local L\evy models with default. (2016). Pascucci, Andrea ; Borovykh, Anastasia ; Oosterlee, Cornelis W. In: Papers. RePEc:arx:papers:1604.08735. Full description at Econpapers \|\| Download paper
2016	Financial Models with Defaultable NumÃ©raires. (2016). Fisher, Travis ; Ruf, Johannes ; Pulido, Sergio . In: Working Papers. RePEc:hal:wpaper:hal-01240736. Full description at Econpapers \|\| Download paper
2016	Minimal 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. Full description at Econpapers \|\| Download paper
2016	Robust 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. Full description at Econpapers \|\| Download paper
2016	Polynomial 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. Full description at Econpapers \|\| Download paper
2016	Economically Consistent Valuations and Put-Call Parity. (2016). Herdegen, Martin ; Schweizer, Martin . In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1602. Full description at Econpapers \|\| Download paper
2016	Representation 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. Full description at Econpapers \|\| Download paper
2016	Pricing 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. Full description at Econpapers \|\| Download paper
2016	Robust Optimal Risk Sharing and Risk Premia in Expanding Pools. (2016). Laeven, Roger ; Knispel, Thomas ; Svindland, Gregor . In: Papers. RePEc:arx:papers:1601.06979. Full description at Econpapers \|\| Download paper
2016	Robust optimal risk sharing and risk premia in expanding pools. (2016). Laeven, Roger ; Svindland, Gregor ; Knispel, Thomas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:182-195. Full description at Econpapers \|\| Download paper
2016	Asymptotic 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. Full description at Econpapers \|\| Download paper
2016	Utility 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. Full description at Econpapers \|\| Download paper
2016	Optimal Consumption and Investment with Fixed and Proportional Transaction Costs. (2016). Altarovici, Albert ; Soner, Mete H ; Reppen, Max . In: Papers. RePEc:arx:papers:1610.03958. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2016

Year	Citing document
2016	Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1507.00671. Full description at Econpapers \|\| Download paper
2016	Canonical Supermartingale Couplings. (2016). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867. Full description at Econpapers \|\| Download paper
2016	Asymptotics for rough stochastic volatility models. (2016). Forde, Martin ; Zhang, Hongzhong . In: Papers. RePEc:arx:papers:1610.08878. Full description at Econpapers \|\| Download paper
2016	Robust Trading of Implied Skew. (2016). Obloj, Jan ; Nadtochiy, Sergey . In: Papers. RePEc:arx:papers:1611.05518. Full description at Econpapers \|\| Download paper
2016	Shot-Noise Processes in Finance. (2016). Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1612.06616. Full description at Econpapers \|\| Download paper
2016	Pointwise Arbitrage Pricing Theory in Discrete Time. (2016). Burzoni, Matteo ; Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco. In: Papers. RePEc:arx:papers:1612.07618. Full description at Econpapers \|\| Download paper
2016	Scenario 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. Full description at Econpapers \|\| Download paper
2016	Polynomial 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. Full description at Econpapers \|\| Download paper
2016	An explicit martingale version of the one-dimensional Brenierâs 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. Full description at Econpapers \|\| Download paper
2016	Semi-static completeness and robust pricing by informed investors. (2016). Larsson, Martin ; Acciaio, Beatrice . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68502. Full description at Econpapers \|\| Download paper
2016	Change 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. Full description at Econpapers \|\| Download paper
2016	Stability 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. Full description at Econpapers \|\| Download paper
2016	Robust 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Radner equilibrium in incomplete Levy models. (2015). Larsen, Kasper ; Sue, Tanawit Sae . In: Papers. RePEc:arx:papers:1507.02974. Full description at Econpapers \|\| Download paper
2015	Implied volatility in strict local martingale models. (2015). Jacquier, Antoine ; Keller-Ressel, Martin . In: Papers. RePEc:arx:papers:1508.04351. Full description at Econpapers \|\| Download paper
2015	Dependence 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. Full description at Econpapers \|\| Download paper
2015	A 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. Full description at Econpapers \|\| Download paper
2015	A 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Law-invariant risk measures: extension properties and qualitative robustness. (2014). Munari, Cosimo ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3121. Full description at Econpapers \|\| Download paper
2014	Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3133. Full description at Econpapers \|\| Download paper
2014	Representation of infinite dimensional forward price models in commodity markets. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1403.4111. Full description at Econpapers \|\| Download paper
2014	Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu . In: Papers. RePEc:arx:papers:1405.3769. Full description at Econpapers \|\| Download paper
2014	Consistent Price Systems under Model Uncertainty. (2014). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1408.5510. Full description at Econpapers \|\| Download paper
2014	Long Term Optimal Investment in Matrix Valued Factor Models. (2014). Xing, Hao ; Robertson, Scott . In: Papers. RePEc:arx:papers:1408.7010. Full description at Econpapers \|\| Download paper
2014	Efficient price dynamics in a limit order market: an utility indifference approach. (2014). Fukasawa, Masaaki . In: Papers. RePEc:arx:papers:1410.8224. Full description at Econpapers \|\| Download paper
2014	Risk measures with the CxLS property. (2014). Bellini, Fabio ; Bignozzi, Valeria ; Ziegel, Johanna F. ; Delbaen, Freddy . In: Papers. RePEc:arx:papers:1411.0426. Full description at Econpapers \|\| Download paper
2014	Derivatives pricing in energy markets: an infinite dimensional approach. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1412.7943. Full description at Econpapers \|\| Download paper
2014	Law-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. Full description at Econpapers \|\| Download paper
2014	Capital 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. Full description at Econpapers \|\| Download paper
2014	Information, 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. Full description at Econpapers \|\| Download paper
2014	A 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. Full description at Econpapers \|\| Download paper
2014	Robust Fundamental Theorem for Continuous Processes. (2014). Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos ; Bouchard, Bruno . In: Working Papers. RePEc:hal:wpaper:hal-01076062. Full description at Econpapers \|\| Download paper
2014	Large 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. Full description at Econpapers \|\| Download paper
2014	Fundamental 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. Full description at Econpapers \|\| Download paper
2014	On 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	On arbitrages arising from honest times. (2013). Fontana, Claudio ; Song, Shiqi ; Jeanblanc, Monique. In: Papers. RePEc:arx:papers:1207.1759. Full description at Econpapers \|\| Download paper
2013	Pricing American options via multi-level approximation methods. (2013). Belomestny, Denis ; Nagapetyan, Tigran ; Dickmann, Fabian . In: Papers. RePEc:arx:papers:1303.1334. Full description at Econpapers \|\| Download paper
2013	A 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. Full description at Econpapers \|\| Download paper
2013	Fast 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. Full description at Econpapers \|\| Download paper
2013	Optimal robust bounds for variance options. (2013). Alexander M. G. Cox, ; Wang, Jiajie . In: Papers. RePEc:arx:papers:1308.4363. Full description at Econpapers \|\| Download paper
2013	Complete 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. Full description at Econpapers \|\| Download paper
2013	Model 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. Full description at Econpapers \|\| Download paper
2013	Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions . (2013). Bouchard, Bruno ; Nutz, Marcel . In: Working Papers. RePEc:hal:wpaper:hal-00846830*. Full description at Econpapers \|\| Download paper
2013	On 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. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	477
2	Finance and Stochastics / Springer	135
3	Stochastic Processes and their Applications / Elsevier	70
4	Insurance: Mathematics and Economics / Elsevier	52
5	Working Papers / HAL	30
6	European Journal of Operational Research / Elsevier	26
7	LSE Research Online Documents on Economics / London School of Economics and Political Science, LSE Library	19
8	Statistics & Risk Modeling / De Gruyter	16
9	Post-Print / HAL	15
10	Statistics & Probability Letters / Elsevier	14
11	Journal of Economic Dynamics and Control / Elsevier	13

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.