Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Mathematical Finance / Wiley Blackwell


1.3

Impact Factor

1.4

5-Years IF

52

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
19910.1171710.06364006 (1.6%)0.04
19920.1163310.03443171711 (2.5%)10.060.04
19930.060.110.06215450.092983323325 (1.7%)10.050.05
19940.110.110.09207480.114763745453 (%)10.050.04
19950.220.190.271993280.355941974207 (1.3%)60.320.07
19960.620.230.4919112540.489463924934610 (1.1%)30.160.09
19970.630.270.618130760.589763824955715 (1.5%)60.330.09
19980.620.280.5520150850.57568372397536 (1.1%)50.250.1
19990.530.320.68161661100.661707382096659 (%)70.440.13
20000.860.391.39281942291.185823631921289 (1.5%)20.070.15
20010.590.391.12202142261.0634344261011138 (2.3%)20.10.14
20020.480.410.99242382250.95553482310210110 (1.8%)40.170.17
20030.480.430.94262642891.0924044211081023 (1.3%)30.120.18
20040.820.481.28302943961.35414504111414614 (3.4%)60.20.2
20050.520.520.72293233481.0840456291289210 (2.5%)110.380.21
20060.640.510.75323554181.1841959381299713 (3.1%)80.250.2
20070.570.440.75273824831.263276135141106 (%)60.220.18
20080.640.480.71294115221.2744459381441024 (%)120.410.2
20090.710.490.9224335851.3531656401471333 (%)80.360.19
20100.630.460.754335741.335132139104 (%)0.17
20111.270.51.044335691.312228110114 (%)0.19
20120.531.214335811.3407894 (%)0.19
20130.591.634337291.6805183 (%)0.21
20140.612.41164498211.8311902253 (%)50.310.2
20150.750.630.75284778291.749216121612 (%)40.140.2
20161.110.71.113351010782.1112544494449 (%)180.550.2
20171.30.781.4355459551.7535617977108 (%)30.090.23
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

1361
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

550
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

271
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

254
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.

Full description at Econpapers || Download paper

170
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

167
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

132
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.

Full description at Econpapers || Download paper

110
92002Monte 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

108
101994MAXIMUM 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

105
111992ALTERNATIVE 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

104
121991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

Full description at Econpapers || Download paper

104
131992DERIVATIVE 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.

Full description at Econpapers || Download paper

102
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.

Full description at Econpapers || Download paper

96
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.

Full description at Econpapers || Download paper

94
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.

Full description at Econpapers || Download paper

94
171993BESSEL 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.

Full description at Econpapers || Download paper

94
181997Bond 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

87
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.

Full description at Econpapers || Download paper

84
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.

Full description at Econpapers || Download paper

74
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.

Full description at Econpapers || Download paper

72
232000Pricing 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

71
241995VOLATILITY 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.

Full description at Econpapers || Download paper

71
251998Consumption 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.

Full description at Econpapers || Download paper

70
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

69
271996OPTION 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.

Full description at Econpapers || Download paper

66
282008BEHAVIORAL 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

65
291995ARBITRAGE 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.

Full description at Econpapers || Download paper

65
301997Contingent 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.

Full description at Econpapers || Download paper

65
312002Exponential 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

64
321997An 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

64
331999Term 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.

Full description at Econpapers || Download paper

64
341998On 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.

Full description at Econpapers || Download paper

63
352009RISK 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

62
362001A 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.

Full description at Econpapers || Download paper

60
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.

Full description at Econpapers || Download paper

60
382002VALUATION 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.

Full description at Econpapers || Download paper

59
392008OPTIMAL 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.

Full description at Econpapers || Download paper

57
401991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

Full description at Econpapers || Download paper

57
411992Option 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.

Full description at Econpapers || Download paper

56
422007AN 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.

Full description at Econpapers || Download paper

56
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.

Full description at Econpapers || Download paper

56
441991Option 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.

Full description at Econpapers || Download paper

56
451997Market 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.

Full description at Econpapers || Download paper

55
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.

Full description at Econpapers || Download paper

55
471992Pricing 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.

Full description at Econpapers || Download paper

55
482004THE 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

54
492000On 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

53
501999Controlling 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.

Full description at Econpapers || Download paper

53

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

334
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

77
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

64
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

45
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

35
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

33
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.

Full description at Econpapers || Download paper

31
82004The 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.

Full description at Econpapers || Download paper

28
92009RISK 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

28
102007AN 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.

Full description at Econpapers || Download paper

27
112002Monte 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

27
121997The 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

26
131997An 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

25
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

25
152004THE 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

25
162007THE 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.

Full description at Econpapers || Download paper

25
172002Exponential 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
182000The 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

23
192000On 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

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
212001Robust 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
222003Stochastic 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

22
232008BEHAVIORAL 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

22
242005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

Full description at Econpapers || Download paper

21
251996HEDGING 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

21
261993OPTIMAL 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

21
271991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

Full description at Econpapers || Download paper

20
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

20
292005OPTIMAL 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.

Full description at Econpapers || Download paper

20
302014MEAN–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.

Full description at Econpapers || Download paper

19
312008GUARANTEED 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
321994MAXIMUM 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
332009OPTIMAL 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.

Full description at Econpapers || Download paper

18
341992ALTERNATIVE 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

18
351997A 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.

Full description at Econpapers || Download paper

18
362006DISTRIBUTION-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.

Full description at Econpapers || Download paper

18
372006A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151.

Full description at Econpapers || Download paper

18
381994MODELING 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
392014ARBITRAGE-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.

Full description at Econpapers || Download paper

18
401997Market 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.

Full description at Econpapers || Download paper

17
411995ARBITRAGE 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.

Full description at Econpapers || Download paper

17
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.

Full description at Econpapers || Download paper

17
431991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

Full description at Econpapers || Download paper

17
441993BESSEL 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.

Full description at Econpapers || Download paper

16
452008PRICING 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.

Full description at Econpapers || Download paper

16
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.

Full description at Econpapers || Download paper

16
472016RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Amini, Hamed ; Minca, Andreea ; Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365.

Full description at Econpapers || Download paper

16
482016COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918.

Full description at Econpapers || Download paper

16
492002VALUATION 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.

Full description at Econpapers || Download paper

15
502004Hedging and Portfolio Optimization in Financial Markets with a Large Trader. (2004). Baum, Dietmar ; Bank, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:1-18.

Full description at Econpapers || Download paper

15

Citing documents used to compute impact factor 79:


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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017On future drawdowns of Lévy processes. (2017). Baurdoux, E J ; Pistorius, M R ; Palmowski, Z. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2679-2698.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Feedback effects and endogenous risk in financial markets. (2016). Wagalath, Lakshithe. In: Finance. RePEc:cai:finpug:fina_372_0039.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2016Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty. (2016). Bayraktar, Erhan ; Zhang, Yuchong . In: Mathematics of Operations Research. RePEc:inm:ormoor:v:41:y:2016:i:3:p:1039-1054.

Full description at Econpapers || Download paper

2016An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect. (2016). Chen, Nan ; Yao, David D ; Liu, Xin. In: Operations Research. RePEc:inm:oropre:v:64:y:2016:i:5:p:1089-1108.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2015Affine Point Processes: Approximation and Efficient Simulation. (2015). Glynn, Peter W ; Zhang, Xiaowei ; Giesecke, Kay ; Blanchet, Jose . In: Mathematics of Operations Research. RePEc:inm:ormoor:v:40:y:2015:i:4:p:797-819.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2th 2018. Contact: CitEc Team