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!!

Finance and Stochastics / Springer


0.96

Impact Factor

1.51

5-Years IF

41

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.11000 (%)0.04
19910.1000 (%)0.04
19920.09000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.04
19950.20100 (%)0.07
19960.234430.7569002 (2.9%)0.09
19970.271620140.74884419 (3.9%)120.750.09
19980.60.280.62141150.374182012201240 (9.6%)20.10.1
19990.510.320.492566280.424493719412028 (6.2%)30.120.13
20000.350.390.521783390.473084616663412 (3.9%)10.060.15
20010.640.390.6929112680.616094227835730 (4.9%)40.140.14
20020.50.410.6138150790.5376646231086640 (5.2%)50.130.17
20030.70.430.661501310.87674713086 (%)0.18
20040.870.480.9291791540.8654838331099837 (6.8%)80.280.19
20050.520.520.93322112040.97608291511310545 (7.4%)90.280.21
20061.070.511.06282392270.95412616512813632 (7.8%)20.070.2
20070.750.450.86272662380.89422604512710944 (10.4%)60.220.18
20080.510.480.78242902840.9825255281169126 (10.3%)80.330.2
20091.040.491.09233133461.11236515314015219 (8.1%)80.350.19
20100.830.471.05243373691.09223473913414126 (11.7%)50.210.17
20110.790.50.83293663851.05286473712610531 (10.8%)110.380.19
20120.740.520.87303964221.07244533912711033 (13.5%)60.20.19
20130.880.590.92314275401.26234595213011929 (12.4%)90.290.21
20140.840.611.02314585931.29216615113714034 (15.7%)170.550.2
20151.130.621.33314897011.43117627014519323 (19.7%)60.190.19
20161.370.681.53415308541.619762851522339 (9.3%)110.270.2
20170.960.741.51335638931.595672691642487 (12.5%)130.390.21
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


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

Full description at Econpapers || Download paper

263
21997LIBOR and swap market models and measures (*). (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330.

Full description at Econpapers || Download paper

179
32006Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

Full description at Econpapers || Download paper

118
41997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*). (1997). Olsen, Richard ; Dacorogna, Michel ; Guillaume, Dominique M. ; Muller, Ulrich A. ; Dave, Rakhal R. ; Pictet, Olivier V.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129.

Full description at Econpapers || Download paper

111
52004Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Protter, Philip ; Etin, Umut. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341.

Full description at Econpapers || Download paper

109
62005Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561.

Full description at Econpapers || Download paper

105
71999Hedging and liquidation under transaction costs in currency markets. (1999). Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

Full description at Econpapers || Download paper

103
81998Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347.

Full description at Econpapers || Download paper

100
92002Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61.

Full description at Econpapers || Download paper

91
102005Inf-convolution of risk measures and optimal risk transfer. (2005). el Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

Full description at Econpapers || Download paper

89
112007The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

Full description at Econpapers || Download paper

89
122007Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

Full description at Econpapers || Download paper

76
132013Model-independent bounds for option prices—a mass transport approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501.

Full description at Econpapers || Download paper

75
141999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

Full description at Econpapers || Download paper

75
151999Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

Full description at Econpapers || Download paper

74
162005Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

Full description at Econpapers || Download paper

70
172001A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82.

Full description at Econpapers || Download paper

64
182011Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

Full description at Econpapers || Download paper

63
192001Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272.

Full description at Econpapers || Download paper

62
202001The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341.

Full description at Econpapers || Download paper

61
212004Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Meddeb, Moncef ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

Full description at Econpapers || Download paper

60
222004Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206.

Full description at Econpapers || Download paper

55
232006A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330.

Full description at Econpapers || Download paper

55
242002An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; Clement, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471.

Full description at Econpapers || Download paper

53
252002Optimal stopping and perpetual options for Lévy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493.

Full description at Econpapers || Download paper

52
261997Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68.

Full description at Econpapers || Download paper

51
272001Coherent risk measures and good-deal bounds. (2001). Jaschke, Stefan ; Kuchler, Uwe . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200.

Full description at Econpapers || Download paper

51
282000Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146.

Full description at Econpapers || Download paper

50
292009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

Full description at Econpapers || Download paper

50
302001The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154.

Full description at Econpapers || Download paper

49
312004Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Sass, Jorn ; Haussmann, Ulrich . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577.

Full description at Econpapers || Download paper

49
321997Continuous-time term structure models: Forward measure approach (*). (1997). Musiela, Marek ; Rutkowski, Marek. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291.

Full description at Econpapers || Download paper

47
332000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Hojgaard, Bjarne ; Asmussen, Soren ; Taksar, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

Full description at Econpapers || Download paper

46
342000Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463.

Full description at Econpapers || Download paper

46
352001Fractional Brownian motion, random walks and binary market models. (2001). Sottinen, Tommi. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:343-355.

Full description at Econpapers || Download paper

44
362008Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244.

Full description at Econpapers || Download paper

44
371998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; Soner, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

Full description at Econpapers || Download paper

43
382004An example of indifference prices under exponential preferences. (2004). Musiela, Marek ; Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239.

Full description at Econpapers || Download paper

43
391998Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Shiryaev, A. N. ; Jacod, J.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273.

Full description at Econpapers || Download paper

42
402002Optimal capital structure and endogenous default. (2002). Rogers, Leonard ; Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263.

Full description at Econpapers || Download paper

42
411998Perfect option hedging for a large trader. (1998). Frey, Rudiger. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141.

Full description at Econpapers || Download paper

41
422001Minimax and minimal distance martingale measures and their relationship to portfolio optimization. (2001). Ruschendorf, Ludger ; Goll, Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:4:p:557-581.

Full description at Econpapers || Download paper

41
431996Irreversible investment and industry equilibrium (*). (1996). Baldursson, Fridrik ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89.

Full description at Econpapers || Download paper

41
442002A multicurrency extension of the lognormal interest rate Market Models. (2002). Schlogl, Erik. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:173-196.

Full description at Econpapers || Download paper

40
451998Optimization of consumption with labor income. (1998). Jeanblanc-Picque, Monique ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440.

Full description at Econpapers || Download paper

40
462005Diversity and relative arbitrage in equity markets. (2005). Kardaras, Constantinos ; Fernholz, Robert ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27.

Full description at Econpapers || Download paper

39
471998Portfolio optimisation with strictly positive transaction costs and impulse control. (1998). Korn, Ralf. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:85-114.

Full description at Econpapers || Download paper

39
482002The cumulant process and Esschers change of measure. (2002). Shiryaev, Albert N. ; Kallsen, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428.

Full description at Econpapers || Download paper

39
491997On the range of options prices (*). (1997). Eberlein, Ernst ; Jacod, Jean. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140.

Full description at Econpapers || Download paper

38
502007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Alos, Elisa ; Vives, Josep ; Leon, Jorge. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589.

Full description at Econpapers || Download paper

37

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


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

Full description at Econpapers || Download paper

83
22013Model-independent bounds for option prices—a mass transport approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501.

Full description at Econpapers || Download paper

62
31998Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347.

Full description at Econpapers || Download paper

58
42006Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

Full description at Econpapers || Download paper

50
52007The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

Full description at Econpapers || Download paper

48
62011Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

Full description at Econpapers || Download paper

39
72005Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561.

Full description at Econpapers || Download paper

37
82004Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Protter, Philip ; Etin, Umut. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341.

Full description at Econpapers || Download paper

32
92007Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

Full description at Econpapers || Download paper

31
102007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Alos, Elisa ; Vives, Josep ; Leon, Jorge. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589.

Full description at Econpapers || Download paper

29
112005Inf-convolution of risk measures and optimal risk transfer. (2005). el Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

Full description at Econpapers || Download paper

29
122005Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

Full description at Econpapers || Download paper

27
131999Hedging and liquidation under transaction costs in currency markets. (1999). Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

Full description at Econpapers || Download paper

25
142014Asymptotics of implied volatility to arbitrary order. (2014). Gao, Kun ; Lee, Roger . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:349-392.

Full description at Econpapers || Download paper

24
152011Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654.

Full description at Econpapers || Download paper

23
162014A note on the condition of no unbounded profit with bounded risk. (2014). Takaoka, Koichiro ; Schweizer, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:393-405.

Full description at Econpapers || Download paper

23
172004Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Sass, Jorn ; Haussmann, Ulrich . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577.

Full description at Econpapers || Download paper

23
182004Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206.

Full description at Econpapers || Download paper

22
192012Model-independent hedging strategies for variance swaps. (2012). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:611-649.

Full description at Econpapers || Download paper

19
202014Comparative and qualitative robustness for law-invariant risk measures. (2014). Schied, Alexander ; Kratschmer, Volker ; Zahle, Henryk. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:271-295.

Full description at Econpapers || Download paper

19
212015Robust price bounds for the forward starting straddle. (2015). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:189-214.

Full description at Econpapers || Download paper

19
222014Transaction costs, trading volume, and the liquidity premium. (2014). Muhle-Karbe, Johannes ; Schachermayer, Walter ; Gerhold, Stefan ; Guasoni, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:1-37.

Full description at Econpapers || Download paper

18
232002An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; Clement, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471.

Full description at Econpapers || Download paper

18
242004Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Meddeb, Moncef ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

Full description at Econpapers || Download paper

18
252012Market viability via absence of arbitrage of the first kind. (2012). Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:651-667.

Full description at Econpapers || Download paper

17
261998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; Soner, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

Full description at Econpapers || Download paper

17
272006A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330.

Full description at Econpapers || Download paper

17
282012Polynomial processes and their applications to mathematical finance. (2012). Cuchiero, Christa ; Keller-Ressel, Martin ; Teichmann, Josef. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740.

Full description at Econpapers || Download paper

16
292009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

Full description at Econpapers || Download paper

16
301999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

Full description at Econpapers || Download paper

16
312001Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272.

Full description at Econpapers || Download paper

16
322008Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244.

Full description at Econpapers || Download paper

16
332005Diversity and relative arbitrage in equity markets. (2005). Kardaras, Constantinos ; Fernholz, Robert ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27.

Full description at Econpapers || Download paper

15
342000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Hojgaard, Bjarne ; Asmussen, Soren ; Taksar, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

Full description at Econpapers || Download paper

15
351997LIBOR and swap market models and measures (*). (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330.

Full description at Econpapers || Download paper

15
361997Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68.

Full description at Econpapers || Download paper

15
372012Optimal dividend distribution under Markov regime switching. (2012). Pistorius, Martijn ; Jiang, Zhengjun . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:3:p:449-476.

Full description at Econpapers || Download paper

14
382001A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82.

Full description at Econpapers || Download paper

14
392006A super-replication theorem in Kabanov’s model of transaction costs. (2006). Campi, Luciano ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:4:p:579-596.

Full description at Econpapers || Download paper

14
402000Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146.

Full description at Econpapers || Download paper

14
412001The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

13
432014Robust hedging with proportional transaction costs. (2014). Soner, H. ; Dolinsky, Yan . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:327-347.

Full description at Econpapers || Download paper

13
442014Superreplication under model uncertainty in discrete time. (2014). Nutz, Marcel. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:4:p:791-803.

Full description at Econpapers || Download paper

13
451998Perfect option hedging for a large trader. (1998). Frey, Rudiger. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141.

Full description at Econpapers || Download paper

13
462016Polynomial diffusions and applications in finance. (2016). Larsson, Martin ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0304-4.

Full description at Econpapers || Download paper

13
472010Hedging variance options on continuous semimartingales. (2010). Carr, Peter ; Lee, Roger . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:2:p:179-207.

Full description at Econpapers || Download paper

12
482004An example of indifference prices under exponential preferences. (2004). Musiela, Marek ; Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239.

Full description at Econpapers || Download paper

12
492005Integro-differential equations for option prices in exponential Lévy models. (2005). Voltchkova, Ekaterina ; Cont, Rama. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:3:p:299-325.

Full description at Econpapers || Download paper

12
501998Portfolio optimisation with strictly positive transaction costs and impulse control. (1998). Korn, Ralf. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:85-114.

Full description at Econpapers || Download paper

12

Citing documents used to compute impact factor 69:


YearTitle
2017Arbitrage theory for non convex financial market models. (2017). Lepinette, Emmanuel ; Tran, Tuan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:10:p:3331-3353.

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

2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

Full description at Econpapers || Download paper

2017Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:720-732.

Full description at Econpapers || Download paper

2017Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems. (2017). Alfonsi, Aur'elien ; Jourdain, Benjamin ; Corbetta, Jacopo. In: Papers. RePEc:arx:papers:1709.05287.

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

2017Canonical Supermartingale Couplings. (2017). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

Full description at Econpapers || Download paper

2017Change of numeraire in the two-marginals martingale transport problem. (2017). Laachir, Ismail ; Campi, Luciano ; Martini, Claude. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68783.

Full description at Econpapers || Download paper

2017Monotone Martingale Transport Plans and Skorohod Embedding. (2017). Henry-Labordere, Pierre ; Beiglboeck, Mathias ; Touzi, Nizar. In: Papers. RePEc:arx:papers:1701.06779.

Full description at Econpapers || Download paper

2017Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588.

Full description at Econpapers || Download paper

2017Change of numeraire in the two-marginals martingale transport problem. (2017). Campi, Luciano ; Martini, Claude ; Laachir, Ismail. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-016-0322-2.

Full description at Econpapers || Download paper

2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

Full description at Econpapers || Download paper

2017Monotone martingale transport plans and Skorokhod embedding. (2017). Beiglbock, Mathias ; Touzi, Nizar ; Henry-Labordere, Pierre. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3005-3013.

Full description at Econpapers || Download paper

2017A buffer Hawkes process for limit order books. (2017). Kaj, Ingemar ; Caglar, Mine . In: Papers. RePEc:arx:papers:1710.03506.

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

2017Utility maximization problem under transaction costs: optimal dual processes and stability. (2017). Gu, Lingqi ; Yang, Junjian ; Lin, Yiqing . In: Papers. RePEc:arx:papers:1710.04363.

Full description at Econpapers || Download paper

2017Polynomial diffusions on compact quadric sets. (2017). Larsson, Martin ; Pulido, Sergio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:901-926.

Full description at Econpapers || Download paper

2017Incremental computation of block triangular matrix exponentials with application to option pricing. (2017). Kressner, Daniel ; Statti, Francesco ; Luce, Robert . In: Papers. RePEc:arx:papers:1703.00182.

Full description at Econpapers || Download paper

2017Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa . In: Papers. RePEc:arx:papers:1705.03647.

Full description at Econpapers || Download paper

2017Quantization goes Polynomial. (2017). Callegaro, Giorgia ; Pallavicini, Andrea ; Fiorin, Lucio. In: Papers. RePEc:arx:papers:1710.11435.

Full description at Econpapers || Download paper

2017Polynomial Jump-Diffusion Models. (2017). Filipovi, Damir ; Larsson, Martin. In: Papers. RePEc:arx:papers:1711.08043.

Full description at Econpapers || Download paper

2017Invariance properties in the dynamic gaussian copula model *. (2017). Song, Shiqi ; Cr, St'Ephane . In: Papers. RePEc:arx:papers:1702.03232.

Full description at Econpapers || Download paper

2017Invariance properties in the dynamic gaussian copula model *. (2017). Crepey, Stephane ; Song, Shiqi. In: Working Papers. RePEc:hal:wpaper:hal-01455424.

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

2017WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS. (2017). Vrins, Frederic. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500455.

Full description at Econpapers || Download paper

2017Interbank interest rates: Funding liquidity risk and XIBOR basis spreads. (2017). Gallitschke, Janek ; Seifried, Frank Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:142-152.

Full description at Econpapers || Download paper

2017Implications of implicit credit spread volatilities on interest rate modelling. (2017). Fanelli, Viviana . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:707-718.

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

2017Pure jump models for pricing and hedging VIX derivatives. (2017). Li, Jing ; Zhang, Gongqiu . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:74:y:2017:i:c:p:28-55.

Full description at Econpapers || Download paper

2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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

2017Option Pricing with Delayed Information. (2017). Ichiba, Tomoyuki ; Mousavi, Seyyed Mostafa. In: Papers. RePEc:arx:papers:1707.01600.

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

2017Performance of Tail Hedged Portfolio with Third Moment Variation Swap. (2017). Lee, Kyungsub ; Ki, Byoung. In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9593-0.

Full description at Econpapers || Download paper

2017Robust Optimization of Credit Portfolios. (2017). Bo, Lijun ; Capponi, Agostino. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:42:y:2017:i:1:p:30-56.

Full description at Econpapers || Download paper

2017Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times. (2017). Yan, Jun. In: Statistics & Probability Letters. RePEc:eee:stapro:v:125:y:2017:i:c:p:71-79.

Full description at Econpapers || Download paper

2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

Full description at Econpapers || Download paper

2017Domains of weak continuity of statistical functionals with a view toward robust statistics. (2017). Kratschmer, Volker ; Zahle, Henryk ; Schied, Alexander. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:158:y:2017:i:c:p:1-19.

Full description at Econpapers || Download paper

2017Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. (2017). Furman, Edward ; Zitikis, Riardas ; Wang, Ruodu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:70-84.

Full description at Econpapers || Download paper

2017THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT. (2017). Kato, Takashi. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500327.

Full description at Econpapers || Download paper

2017Local risk-minimization for Barndorff-Nielsen and Shephard models. (2017). Arai, Takuji ; Suzuki, Ryoichi ; Imai, Yuto. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0324-8.

Full description at Econpapers || Download paper

2017Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets. (2017). Criens, David. In: Papers. RePEc:arx:papers:1609.01621.

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

2017Optimal investment with intermediate consumption under no unbounded profit with bounded risk. (2017). Chau, Huy N ; Mostovyi, Oleksii ; Fontana, Claudio ; Cosso, Andrea . In: Papers. RePEc:arx:papers:1509.01672.

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

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

2017A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES. (2017). Jarrow, Robert. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500534.

Full description at Econpapers || Download paper

2017Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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

2017A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle. (2017). Feinstein, Zachary ; Rudloff, Birgit. In: Journal of Global Optimization. RePEc:spr:jglopt:v:68:y:2017:i:1:d:10.1007_s10898-016-0459-8.

Full description at Econpapers || Download paper

2017Pure jump models for pricing and hedging VIX derivatives. (2017). Li, Jing ; Zhang, Gongqiu . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:74:y:2017:i:c:p:28-55.

Full description at Econpapers || Download paper

2017Sticky processes, local and true martingales. (2017). , Mikl'Os ; Sayit, Hasanjan . In: Papers. RePEc:arx:papers:1509.08280.

Full description at Econpapers || Download paper

2017NO-ARBITRAGE IN A NUMÉRAIRE-INDEPENDENT MODELING FRAMEWORK. (2017). Herdegen, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:2:p:568-603.

Full description at Econpapers || Download paper

2017American options in an imperfect market with default. (2017). Dumitrescu, Roxana ; Sulem, Agnes ; Quenez, Marie-Claire. In: Papers. RePEc:arx:papers:1708.08675.

Full description at Econpapers || Download paper

2017Canonical Supermartingale Couplings. (2017). Nutz, Marcel ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1609.02867.

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

2017A stability result on optimal Skorokhod embedding. (2017). Guo, Gaoyue. In: Papers. RePEc:arx:papers:1701.08204.

Full description at Econpapers || Download paper

2017Tightness and duality of martingale transport on the Skorokhod space. (2017). Touzi, Nizar ; Tan, Xiaolu ; Guo, Gaoyue. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:927-956.

Full description at Econpapers || Download paper

2017Multiperiod Martingale Transport. (2017). Nutz, Marcel ; Tan, Xiaowei ; Stebegg, Florian . In: Papers. RePEc:arx:papers:1703.10588.

Full description at Econpapers || Download paper

2017Change of numeraire in the two-marginals martingale transport problem. (2017). Campi, Luciano ; Martini, Claude ; Laachir, Ismail. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-016-0322-2.

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

2017Computational Methods for Martingale Optimal Transport problems. (2017). Guo, Gaoyue ; Obloj, Jan. In: Papers. RePEc:arx:papers:1710.07911.

Full description at Econpapers || Download paper

2017A time of ruin constrained optimal dividend problem for spectrally one-sided L\evy processes. (2017). Hernandez, Camilo ; Junca, Mauricio . In: Papers. RePEc:arx:papers:1608.02550.

Full description at Econpapers || Download paper

2017The dividend problem with a finite horizon. (2017). de Angelis, Tiziano ; Ekstrom, Erik. In: Papers. RePEc:arx:papers:1609.01655.

Full description at Econpapers || Download paper

2017Density of the set of probability measures with the martingale representation property. (2017). Kramkov, Dmitry ; Pulido, Sergio. In: Papers. RePEc:arx:papers:1709.07329.

Full description at Econpapers || Download paper

2017Density of the set of probability measures with the martingale representation property. (2017). Kramkov, Dmitry ; Pulido, Sergio. In: Working Papers. RePEc:hal:wpaper:hal-01598651.

Full description at Econpapers || Download paper

2017No-arbitrage up to random horizon for quasi-left-continuous models. (2017). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0337-3.

Full description at Econpapers || Download paper

Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
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

2017The geometry of multi-marginal Skorokhod Embedding. (2017). Beiglboeck, Mathias ; Huesmann, Martin ; Cox, Alexander . In: Papers. RePEc:arx:papers:1705.09505.

Full description at Econpapers || Download paper

2017Option Pricing with Delayed Information. (2017). Ichiba, Tomoyuki ; Mousavi, Seyyed Mostafa. In: Papers. RePEc:arx:papers:1707.01600.

Full description at Econpapers || Download paper

2017Martingale Benamou--Brenier: a probabilistic perspective. (2017). Veraguas, Julio Backhoff ; Kallblad, Sigrid ; Huesmann, Martin ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1708.04869.

Full description at Econpapers || Download paper

2017On portfolios generated by optimal transport. (2017). Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1709.03169.

Full description at Econpapers || Download paper

2017Density of the set of probability measures with the martingale representation property. (2017). Kramkov, Dmitry ; Pulido, Sergio. In: Papers. RePEc:arx:papers:1709.07329.

Full description at Econpapers || Download paper

2017Market Delay and G-expectations. (2017). Dolinsky, Yan ; Zouari, Jonathan. In: Papers. RePEc:arx:papers:1709.09442.

Full description at Econpapers || Download paper

2017A buffer Hawkes process for limit order books. (2017). Kaj, Ingemar ; Caglar, Mine . In: Papers. RePEc:arx:papers:1710.03506.

Full description at Econpapers || Download paper

2017Intrinsic expansions for averaged diffusion processes. (2017). Pascucci, Andrea ; Pignotti, M ; Pagliarani, S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2560-2585.

Full description at Econpapers || Download paper

2017Monotone martingale transport plans and Skorokhod embedding. (2017). Beiglbock, Mathias ; Touzi, Nizar ; Henry-Labordere, Pierre. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3005-3013.

Full description at Econpapers || Download paper

2017Density of the set of probability measures with the martingale representation property. (2017). Kramkov, Dmitry ; Pulido, Sergio. In: Working Papers. RePEc:hal:wpaper:hal-01598651.

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

2017SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY. (2017). Bayraktar, Erhan ; Zhou, Zhou. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500364.

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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

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

2016Stability of utility maximization in nonequivalent markets. (2016). Weston, Kim . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0289-z.

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

Recent citations received in 2015

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2015Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales). (2015). Herdegen, Martin ; Schweizer, Martin. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1505.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

Recent citations received in 2014

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

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 December, 2th 2018. Contact: CitEc Team