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Finance and Stochastics / Springer


0.97

Impact Factor

1.52

5-Years IF

39

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
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.05
19950.20100 (%)0.07
19960.23444168002 (2.9%)0.09
19970.271620170.854734419 (4%)150.940.09
19980.550.280.552141140.343872011201140 (10.3%)20.10.1
19990.590.320.562566320.484293722412328 (6.5%)30.120.13
20000.370.390.551783410.493004617663612 (4%)10.060.15
20010.550.390.6129112610.545794223835130 (5.2%)40.140.14
20020.50.410.6138150810.5472646231086640 (5.5%)50.130.17
20030.70.430.641501240.83674713083 (%)0.18
20040.820.480.83291791430.852138311099037 (7.1%)70.240.2
20050.520.520.92322111970.93575291511310445 (7.8%)90.280.2
20061.050.51.03282392220.93384616412813232 (8.3%)20.070.2
20070.70.440.8272662240.84400604212710144 (11%)60.220.18
20080.490.480.76242902710.9323055271168826 (11.3%)80.330.2
20091.020.491.05233133371.08222515214014719 (8.6%)80.350.19
20100.790.461.03243373511.04209473713413826 (12.4%)50.210.17
20110.740.50.77293663550.9726947351269731 (11.5%)100.340.19
20120.720.530.83303964041.02232533812710633 (14.2%)60.20.19
20130.830.610.88314275211.22219594913011529 (13.2%)90.290.21
20140.840.610.99314585691.24200615113713634 (17%)170.550.2
20151.080.641.29314896751.3898626714518723 (23.5%)50.160.2
20161.290.721.45415308171.548662801522219 (10.5%)100.240.21
20170.970.831.52335639211.644272701642497 (16.7%)160.480.24
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
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

243
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
31997From 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.

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110
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

109
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

103
61998Robust 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

97
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

96
82005Conditional 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

95
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.

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89
102007The 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

85
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

85
122013Model-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
131999Quantile 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
142007Moment 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

71
151999Applications 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.

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68
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

66
172011Robust 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

62
182001A 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

61
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

60
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

57
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

57
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

52
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

50
242002Optimal 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.

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50
252002An 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

50
261997Continuous-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.

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49
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.

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49
282004Optimizing 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

48
292000Efficient 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

48
302009Risk 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

47
312000Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463.

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47
322000Optimal 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

45
332001The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154.

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45
341997Processes 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.

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43
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.

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42
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.

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41
371996Irreversible 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.

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41
382002A 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.

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40
392002Optimal 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.

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39
401998Optimization 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.

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39
411998Option 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.

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39
421998Local 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.

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38
431998Perfect 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.

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38
442002The 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.

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37
452004An 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.

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37
461999On dynamic measures of risk. (1999). Cvitanic, Jaksa ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:451-482.

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37
472005Diversity 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

37
482007Optimal investments for risk- and ambiguity-averse preferences: a duality approach. (2007). Schied, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:107-129.

Full description at Econpapers || Download paper

36
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.

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36
502001Minimax 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.

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36

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

77
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

57
42007The 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

47
52006Generalized 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

43
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

38
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

32
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

29
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

28
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

27
112005Local 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

26
122007On 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

25
132004Optimizing 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

22
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

22
151999Hedging 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

21
162004Asymptotic 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

20
172011Asymptotic 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

20
182015Robust 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.

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19
192014A 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.

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19
202012Model-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

18
212014Transaction 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.

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18
222004Vector-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

17
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

17
242012Polynomial 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.

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16
252014Comparative 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

16
262012Market 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

16
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

16
281998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; Soner, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

Full description at Econpapers || Download paper

16
292000Optimal 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
302001Utility 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

15
312009Risk 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

14
322005Diversity 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

14
332000Efficient 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
341997LIBOR 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.

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14
351998Perfect 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.

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13
362006A 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.

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13
372001A 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.

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13
382009Quadratic 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.

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13
392016Polynomial 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.

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13
402014Superreplication 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.

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13
412008Dynamic 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.

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13
422002The 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.

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12
432011Multivariate utility maximization with proportional transaction costs. (2011). Campi, Luciano ; Owen, Mark . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:461-499.

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12
441996Irreversible 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.

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12
451999Applications 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.

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462005Integro-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.

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12
472014Robust 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.

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11
482001Fractional 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.

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492016An explicit martingale version of the one-dimensional Brenier theorem. (2016). Henry-Labordere, Pierre ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0299-x.

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11
502012Optimal 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.

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11

Citing documents used to compute impact factor 70:


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.

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

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

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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.

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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.

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

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

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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.

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

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

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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.

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

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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.

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2017Hybrid marked point processes: characterisation, existence and uniqueness. (2017). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1707.06970.

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

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

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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.

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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.

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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.

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

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

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

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

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2017Recovering Linear Equations of XVA in Bilateral Contracts. (2017). Zhou, Chao ; Lee, Junbeom . In: Papers. RePEc:arx:papers:1703.00259.

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

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

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

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

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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.

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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.

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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.

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

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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.

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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.

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

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2017The Fatou Closedness under Model Uncertainty. (2017). Meyer-Brandis, Thilo ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:1610.04085.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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

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

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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.

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

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

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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.

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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.

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

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

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

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

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

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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.

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

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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.

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

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

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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.

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

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

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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.

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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.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017Model-free bounds on Value-at-Risk using partial dependence information. (2017). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734.

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

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

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

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

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

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

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

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

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

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2017Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time. (2017). Huang, Yu-Jui ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1712.07806.

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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.

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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.

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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.

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

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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.

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Recent citations received in 2016

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

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

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

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

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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

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

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

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

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

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

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

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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