Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

Applied Mathematical Finance / Taylor & Francis Journals

0.35

Impact Factor

0.34

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		11	11			68	0		0		3 (4.4%)			0.05
1995	0.09	0.2	0.09	14	25	1	0.04	162	11	1	11	1	17 (10.5%)			0.07
1996		0.23		16	41			103	25		25		8 (7.8%)			0.09
1997	0.37	0.27	0.34	14	55	16	0.29	35	30	11	41	14	(%)			0.09
1998	0.17	0.29	0.18	12	67	10	0.15	46	30	5	55	10	2 (4.3%)			0.1
1999	0.04	0.32	0.21	15	82	15	0.18	21	26	1	67	14	1 (4.8%)			0.13
2000	0.11	0.4	0.3	14	96	29	0.3	39	27	3	71	21	2 (5.1%)			0.15
2001	0.07	0.4	0.13	13	109	14	0.13	25	29	2	71	9	1 (4%)	1	0.08	0.15
2002	0.22	0.42	0.15	16	125	23	0.18	152	27	6	68	10	4 (2.6%)			0.18
2003	0.07	0.44	0.14	16	141	40	0.28	141	29	2	70	10	(%)			0.19
2004	0.16	0.49	0.19	16	157	35	0.22	54	32	5	74	14	2 (3.7%)	1	0.06	0.2
2005	0.38	0.53	0.39	15	172	55	0.32	215	32	12	75	29	1 (%)	7	0.47	0.21
2006	0.35	0.51	0.46	16	188	72	0.38	94	31	11	76	35	1 (1.1%)	5	0.31	0.2
2007	0.45	0.45	0.41	23	211	62	0.29	122	31	14	79	32	1 (%)	1	0.04	0.18
2008	0.38	0.48	0.51	22	233	81	0.35	72	39	15	86	44	2 (2.8%)			0.2
2009	0.29	0.47	0.34	24	257	81	0.32	92	45	13	92	31	(%)			0.19
2010	0.28	0.45	0.37	24	281	76	0.27	73	46	13	100	37	(%)	1	0.04	0.16
2011	0.19	0.52	0.28	23	304	100	0.33	55	48	9	109	30	1 (1.8%)	1	0.04	0.2
2012	0.13	0.55	0.32	21	325	124	0.38	34	47	6	116	37	(%)	4	0.19	0.2
2013	0.41	0.62	0.55	27	352	184	0.52	21	44	18	114	63	(%)	2	0.07	0.22
2014	0.13	0.64	0.37	21	373	165	0.44	31	48	6	119	44	1 (3.2%)	1	0.05	0.21
2015	0.25	0.69	0.41	22	395	187	0.47	18	48	12	116	48	(%)	3	0.14	0.22
2016	0.35	0.85	0.34	3	398	168	0.42	1	43	15	114	39	(%)			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	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	114
2	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	91
3	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	63
4	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	62
5	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	54
6	2005	The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers \|\| Download paper	37
7	2002	Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers \|\| Download paper	34
8	2006	Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	32
9	1994	Stock market bubbles in the laboratory. (1994). Smith, Vernon ; Porter, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers \|\| Download paper	30
10	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	30
11	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	27
12	2000	Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32. Full description at Econpapers \|\| Download paper	25
13	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	25
14	1998	A framework for valuing corporate securities. (1998). Ericsson, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers \|\| Download paper	24
15	2005	Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers \|\| Download paper	23
16	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	23
17	2003	A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers \|\| Download paper	21
18	2006	On the Distributional Characterization of Daily Log-Returns of a World Stock Index. (2006). Platen, Eckhard ; Fergusson, Kevin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38. Full description at Econpapers \|\| Download paper	21
19	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	20
20	1994	Delta, gamma and bucket hedging of interest rate derivatives. (1994). Jarrow, Robert ; Turnbull, Stuart . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48. Full description at Econpapers \|\| Download paper	19
21	1996	Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. (1996). ParAS, Antonio ; Avellaneda, Marco . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52. Full description at Econpapers \|\| Download paper	19
22	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, ÃÂlvaro ; Figueroa, Marcelo ; Geman, Helyette. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers \|\| Download paper	17
23	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). Belanger, A. C. ; Forsyth, P. A. ; Labahn, G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	16
24	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	16
25	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	16
26	1995	Statistical modelling of asymmetric risk in asset returns. (1995). Tran, Kien ; Knight, John ; Satchell, S. E.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172. Full description at Econpapers \|\| Download paper	15
27	1997	Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64. Full description at Econpapers \|\| Download paper	15
28	2009	On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers \|\| Download paper	15
29	1996	Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	14
30	1996	The use and pricing of convertible bonds. (1996). Nyborg, Kjell. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:3:p:167-190. Full description at Econpapers \|\| Download paper	14
31	2005	Sharp Upper and Lower Bounds for Basket Options. (2005). Laurence, Peter ; Wang, Tai-Ho. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers \|\| Download paper	13
32	1996	Toward real-time pricing of complex financial derivatives. (1996). Ninomiya, S. ; Tezuka, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:1-20. Full description at Econpapers \|\| Download paper	13
33	2004	On the pricing and hedging of volatility derivatives. (2004). Rafailidis, Avraam ; Howison, Sam ; Rasmussen, Henrik . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346. Full description at Econpapers \|\| Download paper	12
34	2003	On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. (2003). Benth, Fred Espen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324. Full description at Econpapers \|\| Download paper	12
35	2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). PerellÃÂ³, Josep ; Masoliver, Jaume ; Bouchaud, Jean-Philippe. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50. Full description at Econpapers \|\| Download paper	12
36	2007	On American Options Under the Variance Gamma Process. (2007). Oosterlee, Cornelis ; Almendral, Ariel . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152. Full description at Econpapers \|\| Download paper	12
37	2006	A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models. (2006). Krippner, Leo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:39-59. Full description at Econpapers \|\| Download paper	11
38	2002	Basics of electricity derivative pricing in competitive markets. (2002). Vehvilainen, Iivo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	11
39	2011	Markowitzs Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model. (2011). Yang, Hailiang ; Chen, Ping . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:29-50. Full description at Econpapers \|\| Download paper	11
40	2008	General Lower Bounds for Arithmetic Asian Option Prices. (2008). Albrecher, H. ; Schoutens, W. ; Mayer, P. A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:123-149. Full description at Econpapers \|\| Download paper	11
41	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	11
42	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	11
43	2011	Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model. (2011). Jacquier, Antoine ; Forde, Martin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:6:p:517-535. Full description at Econpapers \|\| Download paper	10
44	2003	Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory. (2003). Hamada, Mahmoud ; Sherris, Michael . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47. Full description at Econpapers \|\| Download paper	10
45	2005	Calibration of the SABR Model in Illiquid Markets. (2005). West, Graeme . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:371-385. Full description at Econpapers \|\| Download paper	10
46	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Badran, Alexander ; Baldeaux, Jan . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	10
47	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	9
48	1996	Bond, futures and option evaluation in the quadratic interest rate model. (1996). Jamshidian, Farshid . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:2:p:93-115. Full description at Econpapers \|\| Download paper	9
49	2013	Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes. (2013). Siu, Tak Kuen ; Elliott, Robert J.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:1:p:1-25. Full description at Econpapers \|\| Download paper	9
50	2004	Multi-asset portfolio optimization with transaction cost. (2004). Atkinson, C. ; Mokkhavesa, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:2:p:95-123. Full description at Econpapers \|\| Download paper	8

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

#	Year	Title	Cited
1	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	33
2	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	30
3	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	26
4	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	23
5	2006	Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	15
6	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	14
7	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	12
8	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	12
9	2002	Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers \|\| Download paper	11
10	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	11
11	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	11
12	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). Belanger, A. C. ; Forsyth, P. A. ; Labahn, G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	10
13	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Badran, Alexander ; Baldeaux, Jan . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	10
14	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Bernard, Carole ; Cui, Zhenyu . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	7
15	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	7
16	2011	Mean--Variance Optimal Adaptive Execution. (2011). Lorenz, Julian ; Almgren, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:5:p:395-422. Full description at Econpapers \|\| Download paper	6
17	2007	A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options. (2007). Steinberg, Mario ; Howison, Sam . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:63-89. Full description at Econpapers \|\| Download paper	6
18	2003	A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers \|\| Download paper	6
19	2013	Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes. (2013). Siu, Tak Kuen ; Elliott, Robert J.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:1:p:1-25. Full description at Econpapers \|\| Download paper	6
20	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	6
21	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	6
22	2007	A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options. (2007). Howison, Sam . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:91-104. Full description at Econpapers \|\| Download paper	5
23	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	5
24	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	5
25	2015	Implied Volatility of Leveraged ETF Options. (2015). Leung, Tim ; Sircar, Ronnie . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:2:p:162-188. Full description at Econpapers \|\| Download paper	5
26	2011	Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model. (2011). Jacquier, Antoine ; Forde, Martin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:6:p:517-535. Full description at Econpapers \|\| Download paper	5
27	2011	Markowitzs Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model. (2011). Yang, Hailiang ; Chen, Ping . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:29-50. Full description at Econpapers \|\| Download paper	5
28	2005	Sharp Upper and Lower Bounds for Basket Options. (2005). Laurence, Peter ; Wang, Tai-Ho. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers \|\| Download paper	5
29	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Pages, Gilles ; Bouthemy, Sandrine ; Bardou, Olivier . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	4
30	2015	Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process. (2015). Pages, Gilles ; Sagna, Abass . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:5:p:463-498. Full description at Econpapers \|\| Download paper	4
31	2002	Basics of electricity derivative pricing in competitive markets. (2002). Vehvilainen, Iivo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	4
32	1994	Delta, gamma and bucket hedging of interest rate derivatives. (1994). Jarrow, Robert ; Turnbull, Stuart . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48. Full description at Econpapers \|\| Download paper	4
33	2005	Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers \|\| Download paper	4
34	2005	Calibration of the SABR Model in Illiquid Markets. (2005). West, Graeme . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:371-385. Full description at Econpapers \|\| Download paper	4
35	2014	Variational Solutions of the Pricing PIDEs for European Options in LÃ©vy Models. (2014). Eberlein, Ernst ; Glau, Kathrin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:5:p:417-450. Full description at Econpapers \|\| Download paper	4
36	2007	Approximate Formulas for Zero-coupon Bonds. (2007). Tourrucoo, Fabricio ; Hagan, Patrick S. ; Schleiniger, Gilberto F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:3:p:207-226. Full description at Econpapers \|\| Download paper	4
37	1996	Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. (1996). ParAS, Antonio ; Avellaneda, Marco . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52. Full description at Econpapers \|\| Download paper	4
38	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	4
39	2005	The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers \|\| Download paper	4
40	2007	On American Options Under the Variance Gamma Process. (2007). Oosterlee, Cornelis ; Almendral, Ariel . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152. Full description at Econpapers \|\| Download paper	4
41	2015	Semi-Markov Model for Market Microstructure. (2015). Fodra, Pietro ; Pham, Huyen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:261-295. Full description at Econpapers \|\| Download paper	4
42	2009	On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers \|\| Download paper	3
43	2004	Multi-asset portfolio optimization with transaction cost. (2004). Atkinson, C. ; Mokkhavesa, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:2:p:95-123. Full description at Econpapers \|\| Download paper	3
44	2009	A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries. (2009). Konstandatos, Otto ; Buchen, Peter . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:497-515. Full description at Econpapers \|\| Download paper	3
45	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, ÃÂlvaro ; Figueroa, Marcelo ; Geman, Helyette. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers \|\| Download paper	3
46	1996	Arbitrage pricing with incomplete markets. (1996). Neuberger, Anthony ; Britten-Jones, Mark ; Britten -Jones, Mark. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:347-363. Full description at Econpapers \|\| Download paper	3
47	2013	Robust Strategies for Optimal Order Execution in the Almgren--Chriss Framework. (2013). Schied, Alexander . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:3:p:264-286. Full description at Econpapers \|\| Download paper	3
48	2013	American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations. (2013). Boyarchenko, Svetlana. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:1:p:26-49. Full description at Econpapers \|\| Download paper	3
49	2008	Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models. (2008). HIKSPOORS, SAMUEL ; Jaimungal, Sebastian. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:449-477. Full description at Econpapers \|\| Download paper	3
50	2004	Pricing American currency options in an exponential Levy model. (2004). JEANBLANC, M.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:3:p:207-225. Full description at Econpapers \|\| Download paper	3

Citing documents used to compute impact factor 15:

Year	Title
2016	Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach. (2016). Leung, Tim ; Park, Hyungbin . In: Papers. RePEc:arx:papers:1612.01013. Full description at Econpapers \|\| Download paper
2016
2016	An approximation method for pricing barrier options under multi-dimensional diffusion models. (2016). Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf397. Full description at Econpapers \|\| Download paper
2016	A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds. (2016). Platen, Eckhard ; Gnoatto, Alessandro ; Grasselli, Martino . In: Papers. RePEc:arx:papers:1608.04683. Full description at Econpapers \|\| Download paper
2016	A Flexible Galerkin Scheme for Option Pricing in L\evy Models. (2016). Gass, Maximilian ; Glau, Kathrin . In: Papers. RePEc:arx:papers:1603.08216. Full description at Econpapers \|\| Download paper
2016	A FeynmanâKac-type formula for LÃ©vy processes with discontinuous killing rates. (2016). Glau, Kathrin . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0301-7. Full description at Econpapers \|\| Download paper
2016	A Note on the Impact of Parameter Uncertainty on Barrier Derivatives. (2016). Escobar Anel, Marcos ; Panz, Sven . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:35-:d:79467. Full description at Econpapers \|\| Download paper
2016	An investigation of model risk in a market with jumps and stochastic volatility. (2016). Coqueret, Guillaume ; Tavin, Bertrand . In: European Journal of Operational Research. RePEc:eee:ejores:v:253:y:2016:i:3:p:648-658. Full description at Econpapers \|\| Download paper
2016	Model-Free Discretisation-Invariant Swap Contracts. (2016). Alexander, Carol ; Rauch, Johannes. In: Papers. RePEc:arx:papers:1602.00235. Full description at Econpapers \|\| Download paper
2016	Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching. (2016). Cao, Jiling ; Zhang, Wenjun ; Nazirah, Teh Raihana . In: Papers. RePEc:arx:papers:1603.08289. Full description at Econpapers \|\| Download paper
2016	Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure. (2016). Cao, Jiling ; Nazirah, Teh Raihana ; Zhang, Wenjun . In: Papers. RePEc:arx:papers:1610.09714. Full description at Econpapers \|\| Download paper
2016	Multivariate tail conditional expectation for elliptical distributions. (2016). Makov, Udi ; Landsman, Zinoviy ; Shushi, Tomer . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:216-223. Full description at Econpapers \|\| Download paper
2016	Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models. (2016). Lung, Ron Tat . In: Computational Economics. RePEc:kap:compec:v:47:y:2016:i:4:d:10.1007_s10614-016-9563-6. Full description at Econpapers \|\| Download paper
2016	Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo. (2016). Guo, Ivan ; Loeper, Gregoire . In: Papers. RePEc:arx:papers:1611.00464. Full description at Econpapers \|\| Download paper
2016	Catastrophe equity put options with target variance. (2016). Wang, Xingchun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:79-86. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	Leveraged {ETF} implied volatilities from {ETF} dynamics. (2015). Pascucci, Andrea ; Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.6792. Full description at Econpapers \|\| Download paper
2015	The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs. (2015). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1501.02276. Full description at Econpapers \|\| Download paper
2015	Optimal Static Quadratic Hedging. (2015). Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1506.02074. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Volatility swaps and volatility options on discretely sampled realized variance. (2014). Chiarella, Carl ; Lian, Guanghua ; Kalev, Petko S.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:47:y:2014:i:c:p:239-262. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching LÃ©vy model. (2013). Siu, Tak Kuen ; Shen, Yang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:757-768. Full description at Econpapers \|\| Download paper
2013	Drift dependence of optimal trade execution strategies under transient price impact. (2013). Schied, Alexander ; Lorenz, Christopher . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	128
2	Insurance: Mathematics and Economics / Elsevier	24
3	Energy Economics / Elsevier	19
4	European Journal of Operational Research / Elsevier	12
5	Journal of Economic Dynamics and Control / Elsevier	12
6	MPRA Paper / University Library of Munich, Germany	10
7	Finance and Stochastics / Springer	9
8	Journal of Banking & Finance / Elsevier	9
9	Stochastic Processes and their Applications / Elsevier	9
10	Mathematical Methods of Operations Research / Springer	8
11	Review of Derivatives Research / Springer	7

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.