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Mathematical Finance / Wiley Blackwell


1.39

Impact Factor

1.49

5-Years IF

49

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.09171710.06335006 (1.8%)0.04
19920.09163310.03429171711 (2.6%)10.060.04
19930.060.110.06215450.092863323325 (1.7%)10.050.05
19940.140.120.11207490.124673755463 (%)10.050.05
19950.220.20.281993290.3154941974217 (1.3%)60.320.07
19960.640.230.5419112600.549243925935010 (1.1%)30.160.09
19970.740.270.6618130860.669343828956315 (1.6%)60.330.09
19980.620.280.5520150850.57530372397536 (1.1%)50.250.1
19990.610.320.71161661150.691621382396689 (%)70.440.13
20000.810.391.36281942251.165513629921259 (1.6%)20.070.15
20010.550.391.07202142110.9933444241011088 (2.4%)30.150.14
20020.460.410.93242382170.9152148221029510 (1.9%)40.170.17
20030.450.430.9262642721.032304420108973 (1.3%)30.120.18
20040.740.481.21302943731.27382503711413814 (3.7%)50.170.2
20050.520.520.73293233431.0638656291289310 (2.6%)110.380.2
20060.640.50.74323554071.1539159381299512 (3.1%)80.250.2
20070.570.440.73273824681.233036135141103 (%)60.220.18
20080.590.480.68294114981.214285935144984 (%)110.380.2
20090.710.490.86224335561.2830456401471263 (1%)80.360.19
20100.630.460.714335501.27513213998 (%)0.17
20111.270.50.974335291.222228110107 (%)0.19
20120.531.184335611.307892 (%)0.19
20130.611.574336851.5805180 (%)0.21
20140.612.32164497871.7511002251 (%)50.310.2
20150.630.640.63284777881.658616101610 (%)30.110.2
20161.050.721.05335101020211044464446 (%)150.450.21
20171.390.831.49355459731.7928618577115 (%)10.030.24
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Heath, David ; Eber, Jean-Marc ; Delbaen, Freddy . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

Full description at Econpapers || Download paper

1292
21996A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

Full description at Econpapers || Download paper

540
31997Backward Stochastic Differential Equations in Finance. (1997). Quenez, M. C. ; Peng, S. ; El Karoui, N. ; ElKaroui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

Full description at Econpapers || Download paper

260
41995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

Full description at Econpapers || Download paper

250
51997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

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167
61998Long memory in continuous-time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

Full description at Econpapers || Download paper

159
72000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

Full description at Econpapers || Download paper

122
81994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

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109
91994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167.

Full description at Econpapers || Download paper

104
101992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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103
111991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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100
121992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pagès, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86.

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97
132002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

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96
141996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165.

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93
151999Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348.

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92
162000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

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90
171997Bond Market Structure in the Presence of Marked Point Processes. (1997). Кабанов, Юрий ; Bjork, Tomas ; Kabanov, Yuri ; Runggaldier, Wolfgang . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239.

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89
181993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375.

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89
191997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

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83
202002A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298.

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80
211993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

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72
222005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26.

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71
231995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE. (1995). Sankarasubramanian, L. ; Ritchken, Peter . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72.

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70
241998Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65.

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68
252000Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

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67
262003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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66
271995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, Elyès ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232.

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66
281997Contingent Claims and Market Completeness in a Stochastic Volatility Model. (1997). Romano, Marc ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412.

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61
291996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL. (1996). Renault, Eric ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302.

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61
301997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Whalley, A. E. ; Wilmott, P.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324.

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60
311999Term Structure Models Driven by General Lévy Processes. (1999). Eberlein, Ernst ; Raible, Sebastian. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53.

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60
322002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

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59
332002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373.

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58
342008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

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58
352001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets. (2001). Platen, Eckhard ; Heath, David ; Schweizer, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:4:p:385-413.

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57
362009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

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56
372008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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56
381992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy. (1992). Jarrow, Robert ; Amin, Kaushik I.. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:4:p:217-237.

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55
391998On Feedback Effects from Hedging Derivatives. (1998). Platen, Eckhard ; Schweizer, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:67-84.

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55
401992Option Pricing Under Incompleteness and Stochastic Volatility. (1992). Platen, Eckhard ; Schweizer, Martin ; Hofmann, Norbert . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:3:p:153-187.

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55
411997A Continuity Correction for Discrete Barrier Options. (1997). Broadie, Mark ; Kou, Steven ; Glasserman, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349.

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54
422001Robust Hedging of Barrier Options. (2001). Rogers, Leonard ; Hobson, David ; L. C. G. Rogers, ; Brown, Haydyn . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:3:p:285-314.

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53
432006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

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53
442004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480.

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52
451999Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example. (1999). Hojgaard, Bjarne ; Taksar, Michael. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:2:p:153-182.

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51
461991Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case. (1991). He, Hua ; Pearson, Neil D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:3:p:1-10.

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50
471998Robustness of the Black and Scholes Formula. (1998). Jeanblanc-Picque, Monique ; Shreve, Steven E. ; el Karoui, Nicole. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126.

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50
482000On Models of Default Risk. (2000). JEANBLANC, M. ; Elliott, R. J. ; Yor, M.. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195.

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49
491991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

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49
501991Option Pricing With V. G. Martingale Components. (1991). Milne, Frank ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:4:p:39-55.

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49

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


#YearTitleCited
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Heath, David ; Eber, Jean-Marc ; Delbaen, Freddy . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

Full description at Econpapers || Download paper

311
21996A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

Full description at Econpapers || Download paper

70
31997Backward Stochastic Differential Equations in Finance. (1997). Quenez, M. C. ; Peng, S. ; El Karoui, N. ; ElKaroui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

Full description at Econpapers || Download paper

59
42000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

Full description at Econpapers || Download paper

42
51998Long memory in continuous-time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

Full description at Econpapers || Download paper

34
61995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

Full description at Econpapers || Download paper

32
72016A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Beiglbock, M ; Schachermayer, W ; Penkner, F ; Acciaio, B. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:233-251.

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29
82007AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476.

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27
91997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

Full description at Econpapers || Download paper

25
102002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

Full description at Econpapers || Download paper

25
112009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

Full description at Econpapers || Download paper

24
122004The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. (2004). Schachermayer, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:19-48.

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24
132007THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14.

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24
142006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

Full description at Econpapers || Download paper

23
152002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

Full description at Econpapers || Download paper

23
162004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480.

Full description at Econpapers || Download paper

23
172001Robust Hedging of Barrier Options. (2001). Rogers, Leonard ; Hobson, David ; L. C. G. Rogers, ; Brown, Haydyn . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:3:p:285-314.

Full description at Econpapers || Download paper

22
181997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Whalley, A. E. ; Wilmott, P.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324.

Full description at Econpapers || Download paper

22
192000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

Full description at Econpapers || Download paper

22
201997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

Full description at Econpapers || Download paper

22
212000On Models of Default Risk. (2000). JEANBLANC, M. ; Elliott, R. J. ; Yor, M.. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195.

Full description at Econpapers || Download paper

21
221993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

Full description at Econpapers || Download paper

20
231994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167.

Full description at Econpapers || Download paper

19
241996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165.

Full description at Econpapers || Download paper

19
252008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Dai, Min ; Zong, Jianping ; Kwok, Yue Kuen. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611.

Full description at Econpapers || Download paper

19
262003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

Full description at Econpapers || Download paper

19
272005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

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19
282000Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

Full description at Econpapers || Download paper

19
292008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

Full description at Econpapers || Download paper

19
302014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS. (2014). Pallavicini, Andrea ; Brigo, Damiano ; Capponi, Agostino. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146.

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18
311994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

Full description at Econpapers || Download paper

18
321992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

Full description at Econpapers || Download paper

17
331995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, Elyès ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232.

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342014MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Bjork, Tomas ; Yu, Xun ; Murgoci, Agatha . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24.

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17
352006DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY. (2006). Weber, Stefan . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441.

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17
362009OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY-BASED PRICING. (2009). Gordan Žitković, ; Owen, Mark P.. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:1:p:129-159.

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17
371997A Continuity Correction for Discrete Barrier Options. (1997). Broadie, Mark ; Kou, Steven ; Glasserman, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349.

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17
382008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH. (2008). Mingfeng, LI ; Linetsky, Vadim. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:337-384.

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16
391997Market Volatility and Feedback Effects from Dynamic Hedging. (1997). Stremme, Alexander ; Frey, Rudiger. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:351-374.

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16
401991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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16
412005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL. (2005). Muler, Nora ; Azcue, Pablo . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:261-308.

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16
422008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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16
431991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

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16
442006A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151.

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15
451993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375.

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15
462007DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES. (2007). Schweizer, Martin ; Kloppel, Susanne . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:4:p:599-627.

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15
472002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373.

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15
482016COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918.

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15
492005CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION. (2005). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, ; Bielecki, Tomasz R. ; Pliska, Stanley R.. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:213-244.

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15
502006MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS. (2006). Muthuraman, Kumar ; Kumar, Sunil. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:301-335.

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14

Citing documents used to compute impact factor 85:


YearTitle
2017Optimal insurance design with a bonus. (2017). Li, Yongwu ; Xu, Zuo Quan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:111-118.

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2017Portfolio Optimization with Entropic Value-at-Risk. (2017). Ahmadi-Javid, Amir ; Fallah-Tafti, Malihe . In: Papers. RePEc:arx:papers:1708.05713.

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2017Investing for the Long Run. (2017). Platen, Eckhard ; Leisen, Dietmar . In: Papers. RePEc:arx:papers:1705.03929.

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2017Market Efficiency and Growth Optimal Portfolio. (2017). Platen, Eckhard ; Rendek, Renata . In: Papers. RePEc:arx:papers:1706.06832.

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2017Investing for the Long Run. (2017). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:381.

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2017Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity. (2017). Platen, Eckhard ; Fergusson, Kevin. In: Papers. RePEc:arx:papers:1711.02808.

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2017Market Efficiency and the Growth Optimal Portfolio. (2017). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:386.

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2017Model uncertainty and the pricing of American options. (2017). Hobson, David ; Neuberger, Anthony . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0314-2.

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2017Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model. (2017). Chen, Shumin ; Hao, Zhifeng ; Zeng, Yan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:31-45.

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2017Optimal investment of variance-swaps in jump-diffusion market with regime-switching. (2017). Wang, Yongjin ; Bo, Lijun ; Tang, Dan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:175-197.

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2017INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS. (2017). Cui, Zhenyu ; Nguyen, Duy ; Lian, Guanghua ; Kirkby, Lars J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500558.

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2017Exponential utility maximization under model uncertainty for unbounded endowments. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1610.00999.

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2017Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. (2017). Kallblad, Sigrid . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-016-0318-y.

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2017Convergence of utility indifference prices to the superreplication price in a multiple-priors framework. (2017). Blanchard, Romain ; Carassus, Laurence. In: Papers. RePEc:arx:papers:1709.09465.

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2017Managing Default Contagion in Inhomogeneous Financial Networks. (2017). Detering, Nils ; Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo. In: Papers. RePEc:arx:papers:1610.09542.

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2017Contagion in financial systems: A Bayesian network approach. (2017). Chong, Carsten ; Kluppelberg, Claudia. In: Papers. RePEc:arx:papers:1702.04287.

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2017The Economic Consequences of Social-Network Structure. (2017). Zenou, Yves ; Jackson, Matthew ; Rogers, Brian W. In: Journal of Economic Literature. RePEc:aea:jeclit:v:55:y:2017:i:1:p:49-95.

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2017Monitoring vulnerability and impact diffusion in financial networks. (2017). Tabak, Benjamin ; Silva, Thiago ; Stancato, Sergio Rubens. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:109-135.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Optimal equity infusions in interbank networks. (2017). Amini, Hamed ; Sulem, Agnes ; Minca, Andreea. In: Journal of Financial Stability. RePEc:eee:finsta:v:31:y:2017:i:c:p:1-17.

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2017Analytic techniques for option pricing under a hyperexponential L\{e}vy model. (2017). Hackmann, Daniel . In: Papers. RePEc:arx:papers:1705.05934.

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2017OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION. (2017). Zou, Bin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500145.

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2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:1611.03435.

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2017Representation and converse comparison theorems for multidimensional BSDEs. (2017). Liu, Haodong ; Yang, Shuzhen. In: Statistics & Probability Letters. RePEc:eee:stapro:v:127:y:2017:i:c:p:67-74.

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2017LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. (2017). Wagalath, Lakshithe. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500017.

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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). Phillips, Peter ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3010.

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2017From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks. (2017). Straka, Mika J ; Saracco, Fabio ; Squartini, Tiziano ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1710.10143.

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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2110.

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2017Set-valued risk statistics with scenario analysis. (2017). Chen, Yanhong ; Hu, Yijun . In: Statistics & Probability Letters. RePEc:eee:stapro:v:131:y:2017:i:c:p:25-37.

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2017SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES. (2017). Ararat, Ain ; Rudloff, Birgit ; Hamel, Andreas H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500261.

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2017A risk measure that optimally balances capital determination errors. (2017). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2017Optimal insurance design in the presence of exclusion clauses. (2017). Chi, Yichun ; Liu, Fangda . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:185-195.

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2017Extreme M-quantiles as risk measures: From L1 to Lp optimization. (2017). STUPFLER, Gilles ; Daouia, Abdelaati ; Girard, Stephane. In: TSE Working Papers. RePEc:tse:wpaper:32050.

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2017Statistical Inference for Expectile-based Risk Measures. (2017). Kratschmer, Volker ; Zahle, Henryk . In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:2:p:425-454.

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2017Equilibrium asset pricing with Epstein-Zin and loss-averse investors. (2017). Guo, Jing ; He, Xue Dong . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:86-108.

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2017ROBUST TRADING OF IMPLIED SKEW. (2017). Nadtochiy, Sergey ; Oboj, Jan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s021902491750008x.

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2017Robust Pricing and Hedging around the Globe. (2017). Herrmann, Sebastian ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1707.08545.

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2017Hedging with small uncertainty aversion. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes ; Seifried, Frank Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0309-z.

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2017Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1704.04524.

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2017Duality for pathwise superhedging in continuous time. (2017). Bartl, Daniel ; Tangpi, Ludovic ; Promel, David J ; Kupper, Michael. In: Papers. RePEc:arx:papers:1705.02933.

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2017Viability and Arbitrage under Knightian Uncertainty. (2017). Riedel, Frank ; Soner, Mete H ; Burzoni, Matteo . In: Papers. RePEc:arx:papers:1707.03335.

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2017Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims. (2017). Neufeld, Ariel. In: Papers. RePEc:arx:papers:1707.01178.

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2017Mini-Flash Crashes, Model Risk, and Optimal Execution. (2017). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1705.09827.

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2017The space of outcomes of semi-static trading strategies need not be closed. (2017). Acciaio, Beatrice ; Schachermayer, Walter ; Larsson, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0329-3.

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2017Viability and arbitrage under Knightian Uncertainty. (2017). Riedel, Frank ; Soner, H M ; Burzoni, M. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:575.

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2017Pathwise superreplication via Vovk’s outer measure. (2017). Beiglbock, Mathias ; Promel, David J ; Perkowski, Nicolas ; Huesmann, Martin ; Alexander, . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0338-2.

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2017Model uncertainty, recalibration, and the emergence of delta–vega hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0342-6.

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2017Pathwise superhedging on prediction sets. (2017). Bartl, Daniel ; Neufeld, Ariel ; Kupper, Michael. In: Papers. RePEc:arx:papers:1711.02764.

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2017The space of outcomes of semi-static trading strategies need not be closed. (2017). Acciaio, Beatrice ; Schachermayer, Walter ; Larsson, Martin. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69804.

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2017The exact Taylor formula of the implied volatility. (2017). Pascucci, Andrea ; Pagliarani, Stefano. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0330-x.

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2017A regularity structure for rough volatility. (2017). Bayer, Christian ; Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1710.07481.

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2017Sensitivity analysis of the utility maximization problem with respect to model perturbations. (2017). Mostovyi, Oleksii ; Sirbu, Mihai. In: Papers. RePEc:arx:papers:1705.08291.

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2017Multi-currency reserving for coherent risk measures. (2017). Jacka, Saul ; Berkaoui, Abdel ; Armstrong, Seb . In: Papers. RePEc:arx:papers:1712.01319.

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2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302.

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2017Hedging with small uncertainty aversion. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes ; Seifried, Frank Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0309-z.

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2017Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1704.04524.

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2017Model uncertainty, recalibration, and the emergence of delta–vega hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0342-6.

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2017Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods. (2017). Xiao, Shuang ; Jia, Yunjing ; Li, Guo. In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:34:y:2017:i:01:n:s0217595917400097.

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2017Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs. (2017). Fujii, Masaaki ; Takahashi, Masayuki. In: Papers. RePEc:arx:papers:1710.07030.

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2017Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs. (2017). Fujii, Masaaki ; Takahashi, Masayuki. In: CARF F-Series. RePEc:cfi:fseres:cf423.

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2017Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs. (2017). Fujii, Masaaki ; Takahashi, Masayuki. In: CIRJE F-Series. RePEc:tky:fseres:2017cf1069.

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2017A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2017). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias . In: Research Paper Series. RePEc:uts:rpaper:384.

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2017A reinsurance and investment game between two insurance companies with the different opinions about some extra information. (2017). Yan, Ming ; Zhang, Shuhua ; Peng, Fanyi . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:58-70.

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2017OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS. (2017). Agliardi, Rossella ; Genay, Ramazan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500054.

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2017Optimal market making. (2017). Gu, Olivier . In: Papers. RePEc:arx:papers:1605.01862.

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2017Endogenous Formation of Limit Order Books: Dynamics Between Trades. (2017). Nadtochiy, Sergey ; Gayduk, Roman . In: Papers. RePEc:arx:papers:1605.09720.

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2017Mean Field Game of Controls and An Application To Trade Crowding. (2017). LEHALLE, Charles-Albert ; Cardaliaguet, Pierre . In: Papers. RePEc:arx:papers:1610.09904.

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2017Particle systems with singular interaction through hitting times: application in systemic risk modeling. (2017). Nadtochiy, Sergey ; Shkolnikov, Mykhaylo. In: Papers. RePEc:arx:papers:1705.00691.

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2017An analysis of simultaneous company defaults using a shot noise process. (2017). Egami, M ; Kevkhishvili, R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:135-161.

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2017Skorohods representation theorem and optimal strategies for markets with frictions. (2017). Chau, Huy N. In: Papers. RePEc:arx:papers:1606.07311.

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2017OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION. (2017). Zou, Bin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500145.

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2017Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets. (2017). Hendricks, Dieter. In: Papers. RePEc:arx:papers:1603.06805.

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2017Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *. (2017). Pham, Huyen. In: Papers. RePEc:arx:papers:1604.06609.

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2017Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *. (2017). Pham, Huyen. In: Working Papers. RePEc:hal:wpaper:hal-01305929.

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2017An Algorithmic Approach to Optimal Asset Liquidation Problems. (2017). Hinz, Juri ; Yee, Jeremy . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9226-1.

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2017Exponential utility maximization under model uncertainty for unbounded endowments. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1610.00999.

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2017Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility. (2017). Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1704.02505.

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2017Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. (2017). Leung, Tim ; Bulthuis, Brian ; Ward, Brian ; Concha, Julio. In: Papers. RePEc:arx:papers:1604.04963.

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2017Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading. (2017). Gao, Xuefeng ; Zhu, Lingjiong ; Zhou, Xiang. In: Papers. RePEc:arx:papers:1710.01452.

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2017Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207.

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2017Optimal contracts for central bankers: Calls on inflation. (2017). Ewald, Christian-Oliver ; Geissler, Johannes . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:292:y:2017:i:c:p:57-62.

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2017Multi-period investment strategies under Cumulative Prospect Theory. (2017). Pirvu, Traian A ; Deng, Liurui . In: Papers. RePEc:arx:papers:1608.08490.

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2017One-period pricing strategy of ‘money doctors’ under cumulative prospect theory. (2017). Deng, Liurui ; Liu, Zilan . In: Portuguese Economic Journal. RePEc:spr:portec:v:16:y:2017:i:2:d:10.1007_s10258-017-0133-1.

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2017Optimal insurance design with a bonus. (2017). Li, Yongwu ; Xu, Zuo Quan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:111-118.

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2017Pareto-optimal reinsurance arrangements under general model settings. (2017). Cai, Jun ; Wang, Ruodu ; Liu, Haiyan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:24-37.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS. (2017). Cui, Zhenyu ; Nguyen, Duy ; Lian, Guanghua ; Kirkby, Lars J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500558.

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Recent citations received in 2016

YearCiting document
2016Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1507.00671.

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2016Asymptotics for rough stochastic volatility models. (2016). Forde, Martin ; Zhang, Hongzhong . In: Papers. RePEc:arx:papers:1610.08878.

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2016Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David. In: Papers. RePEc:arx:papers:1610.09875.

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2016Liquidity induced asset bubbles via flows of ELMMs. (2016). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1611.01440.

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2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Lok, Yen ; Kratz, Marie ; McNeil, Alexander J. In: Papers. RePEc:arx:papers:1611.04851.

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

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2016Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino. In: Papers. RePEc:arx:papers:1612.06133.

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2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Dosis, Anastasios . In: ESSEC Working Papers. RePEc:ebg:essewp:dr-16017.

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

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2016Multivariate Factorisable Sparse Asymmetric Least Squares Regression. (2016). Härdle, Wolfgang ; Huang, Chen ; Hardle, Wolfgang K ; Chao, Shih-Kang. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-058.

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2016Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2016). Alexander, ; Oboj, Jan ; Hou, Zhaoxu . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0293-3.

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2016An explicit martingale version of the one-dimensional Brenier theorem. (2016). Henry-Labordere, Pierre ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0299-x.

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2016Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. (2016). Figueroa-Lopez, Jose E ; Olafsson, Sveinn . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0313-3.

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2016Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David. In: Research Paper Series. RePEc:uts:rpaper:379.

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2016DOUBLE CASCADE MODEL OF FINANCIAL CRISES. (2016). Hurd, T R ; Shao, Quentin H ; Melnik, Sergey ; Cellai, Davide . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:05:n:s0219024916500412.

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Recent citations received in 2015

YearCiting document
2015Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218.

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2015A risk analysis for a system stabilized by a central agent. (2015). Garnier, Josselin ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1507.08333.

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2015Equilibrium pricing under relative performance concerns. (2015). Bielagk, Jana ; Reis, Gonalo Dos ; Lionnet, Arnaud . In: Working Papers. RePEc:hal:wpaper:hal-01245812.

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Recent citations received in 2014

YearCiting document
2014Optimal order placement in limit order markets. (2014). Kukanov, Arseniy ; Cont, Rama. In: Papers. RePEc:arx:papers:1210.1625.

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2014Optimal execution and block trade pricing: a general framework. (2014). Olivier Gu'eant, . In: Papers. RePEc:arx:papers:1210.6372.

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2014A convex duality method for optimal liquidation with participation constraints. (2014). Lasry, Jean-Michel ; Olivier Gu'eant, ; Pu, Jiang. In: Papers. RePEc:arx:papers:1407.4614.

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2014Central clearing of OTC derivatives: Bilateral vs multilateral netting. (2014). Rama, Cont ; Thomas, Kokholm . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:31:y:2014:i:1:p:20:n:1.

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2014Consumption–investment strategies with non-exponential discounting and logarithmic utility. (2014). Wei, Jiaqin ; Shen, Yang ; Zhao, Qian. In: European Journal of Operational Research. RePEc:eee:ejores:v:238:y:2014:i:3:p:824-835.

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