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Citation Profile [Updated: 2019-09-04 10:18:12]
5 Years H
54
Impact Factor
1.32
5 Years IF
1.34
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.1 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.1 0.12 0 17 17 396 1 2 0 0 1 100 1 0.06 0.04
1992 0 0.09 0.03 0 16 33 474 1 3 17 17 0 1 0.06 0.04
1993 0.06 0.11 0.09 0.06 21 54 320 5 8 33 2 33 2 3 60 1 0.05 0.05
1994 0.08 0.11 0.11 0.06 20 74 509 8 16 37 3 54 3 2 25 1 0.05 0.04
1995 0.24 0.19 0.32 0.28 19 93 592 30 46 41 10 74 21 0 6 0.32 0.07
1996 0.56 0.22 0.48 0.39 19 112 1013 52 100 39 22 93 36 0 3 0.16 0.09
1997 0.66 0.26 0.62 0.49 18 130 1056 79 180 38 25 95 47 3 3.8 10 0.56 0.09
1998 0.59 0.27 0.57 0.46 20 150 593 86 266 37 22 97 45 4 4.7 5 0.25 0.1
1999 0.5 0.31 0.67 0.57 16 166 1862 110 378 38 19 96 55 5 4.5 7 0.44 0.13
2000 0.83 0.38 1.19 1.09 28 194 631 225 608 36 30 92 100 1 0.4 3 0.11 0.15
2001 0.64 0.39 1.09 0.96 20 214 379 230 841 44 28 101 97 0 2 0.1 0.14
2002 0.52 0.4 0.99 0.96 24 238 588 232 1077 48 25 102 98 0 4 0.17 0.17
2003 0.5 0.42 1.14 0.9 26 264 275 298 1379 44 22 108 97 9 3 4 0.15 0.18
2004 0.8 0.47 1.37 1.14 30 294 441 399 1783 50 40 114 130 12 3 6 0.2 0.19
2005 0.52 0.51 1.12 0.67 29 323 455 360 2144 56 29 128 86 8 2.2 11 0.38 0.2
2006 0.63 0.5 1.2 0.72 32 355 468 423 2569 59 37 129 93 11 2.6 8 0.25 0.2
2007 0.57 0.44 1.34 0.69 27 382 375 505 3080 61 35 141 97 8 1.6 6 0.22 0.17
2008 0.63 0.47 1.3 0.67 29 411 487 531 3615 59 37 144 96 26 4.9 12 0.41 0.19
2009 0.68 0.49 1.4 0.74 22 433 342 607 4222 56 38 147 109 39 6.4 10 0.45 0.19
2010 0.63 0.46 1.39 0.71 0 433 0 603 4825 51 32 139 98 0 0 0.16
2011 1.27 0.48 1.34 0.94 0 433 0 579 5407 22 28 110 103 0 0 0.19
2012 0 0.51 1.39 1.12 0 433 0 600 6010 0 78 87 0 0 0.19
2013 0 0.58 1.72 1.61 0 433 0 735 6755 0 51 82 0 0 0.2
2014 0 0.58 1.86 2.41 16 449 152 833 7589 0 22 53 19 2.3 5 0.31 0.19
2015 0.75 0.59 1.82 0.75 28 477 132 866 8456 16 12 16 12 0 4 0.14 0.19
2016 1.05 0.64 2.15 1.05 33 510 165 1094 9551 44 46 44 46 8 0.7 19 0.58 0.19
2017 1.13 0.66 1.73 1.21 35 545 72 940 10492 61 69 77 93 1 0.1 3 0.09 0.2
2018 1.32 0.89 1.69 1.34 37 582 12 981 11473 68 90 112 150 9 0.9 6 0.16 0.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Heath, David ; Eber, Jean-Marc ; Delbaen, Freddy. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

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1493
21996A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

Full description at Econpapers || Download paper

601
31997Backward Stochastic Differential Equations in Finance. (1997). Quenez, M. C. ; Peng, S. ; El Karoui, N. ; ElKaroui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

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295
41995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

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268
51997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

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181
61998Long memory in continuous-time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

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173
72000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

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153
81994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

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118
92002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

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117
101991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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113
111992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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109
121994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167.

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109
131992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pagès, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86.

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107
141993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375.

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102
151999Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348.

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101
161996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165.

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101
171997Bond Market Structure in the Presence of Marked Point Processes. (1997). Кабанов, Юрий ; Bjork, Tomas ; Kabanov, Yuri ; Runggaldier, Wolfgang . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239.

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98
182000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

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97
191997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

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93
202002A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298.

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87
211993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

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83
222003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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81
231995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE. (1995). Sankarasubramanian, L. ; Ritchken, Peter . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72.

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78
242005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26.

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76
252000Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

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75
262008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

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75
271999Term Structure Models Driven by General Lévy Processes. (1999). Eberlein, Ernst ; Raible, Sebastian. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53.

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73
281998Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65.

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71
291995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, Elyès ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232.

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71
301997A Continuity Correction for Discrete Barrier Options. (1997). Broadie, Mark ; Kou, Steven ; Glasserman, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349.

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69
311997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Whalley, A. E. ; Wilmott, P.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324.

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67
321997Contingent Claims and Market Completeness in a Stochastic Volatility Model. (1997). Romano, Marc ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412.

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67
332002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

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67
341996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL. (1996). Renault, Eric ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302.

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66
352009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

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66
362007AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476.

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65
372008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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65
381998On Feedback Effects from Hedging Derivatives. (1998). Platen, Eckhard ; Schweizer, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:67-84.

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65
392006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

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64
402002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373.

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63
412001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets. (2001). Platen, Eckhard ; Heath, David ; Schweizer, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:4:p:385-413.

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63
421991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

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63
431991Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case. (1991). He, Hua ; Pearson, Neil D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:3:p:1-10.

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62
441991Option Pricing With V. G. Martingale Components. (1991). Milne, Frank ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:4:p:39-55.

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61
451992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy. (1992). Jarrow, Robert ; Amin, Kaushik I.. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:4:p:217-237.

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60
461992Option Pricing Under Incompleteness and Stochastic Volatility. (1992). Platen, Eckhard ; Schweizer, Martin ; Hofmann, Norbert . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:3:p:153-187.

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59
471998Robustness of the Black and Scholes Formula. (1998). Jeanblanc-Picque, Monique ; Shreve, Steven E. ; el Karoui, Nicole. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126.

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58
482000On Models of Default Risk. (2000). JEANBLANC, M. ; Elliott, R. J. ; Yor, M.. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195.

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58
491998Complete Models with Stochastic Volatility. (1998). Rogers, Leonard ; Hobson, David G. ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48.

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58
502005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

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58
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Heath, David ; Eber, Jean-Marc ; Delbaen, Freddy. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

Full description at Econpapers || Download paper

304
21997Backward Stochastic Differential Equations in Finance. (1997). Quenez, M. C. ; Peng, S. ; El Karoui, N. ; ElKaroui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

Full description at Econpapers || Download paper

66
31996A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

Full description at Econpapers || Download paper

66
42000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

Full description at Econpapers || Download paper

44
51998Long memory in continuous-time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

Full description at Econpapers || Download paper

34
62016A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Beiglbock, M ; Schachermayer, W ; Penkner, F ; Acciaio, B. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:233-251.

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31
72007AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476.

Full description at Econpapers || Download paper

30
81995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

Full description at Econpapers || Download paper

25
92003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

Full description at Econpapers || Download paper

25
102009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

Full description at Econpapers || Download paper

24
112006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

Full description at Econpapers || Download paper

23
121993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

Full description at Econpapers || Download paper

23
132005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

Full description at Econpapers || Download paper

23
142008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

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22
152004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480.

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21
161997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

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21
172016COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918.

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20
182004The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. (2004). Schachermayer, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:19-48.

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20
192002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

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19
201997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Whalley, A. E. ; Wilmott, P.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324.

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19
212014MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Bjork, Tomas ; Yu, Xun ; Murgoci, Agatha . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24.

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19
222006DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY. (2006). Weber, Stefan. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441.

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19
232016RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Amini, Hamed ; Minca, Andreea ; Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365.

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18
242008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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18
252004Hedging and Portfolio Optimization in Financial Markets with a Large Trader. (2004). Baum, Dietmar ; Bank, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:1-18.

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17
262002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

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17
272000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

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17
282008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH. (2008). Mingfeng, LI ; Linetsky, Vadim. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:337-384.

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17
291997A Continuity Correction for Discrete Barrier Options. (1997). Broadie, Mark ; Kou, Steven ; Glasserman, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349.

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16
302000On Models of Default Risk. (2000). JEANBLANC, M. ; Elliott, R. J. ; Yor, M.. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195.

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311996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165.

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322014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS. (2014). Pallavicini, Andrea ; Brigo, Damiano ; Capponi, Agostino. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146.

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332007THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14.

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341993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375.

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351994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

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362005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL. (2005). Muler, Nora ; Azcue, Pablo . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:261-308.

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372016UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME. (2016). Nutz, Marcel. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:252-268.

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382015BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING. (2015). Crepey, Stephane. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:1-22.

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391991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

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402007DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES. (2007). Schweizer, Martin ; Kloppel, Susanne . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:4:p:599-627.

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412000Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

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

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432015BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA. (2015). Crepey, Stephane. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:23-50.

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441997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

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452014LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY. (2014). Bayraktar, Erhan ; Ludkovski, Michael. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:4:p:627-650.

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461997Contingent Claims and Market Completeness in a Stochastic Volatility Model. (1997). Romano, Marc ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412.

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472016FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK. (2016). Cont, Rama ; Wagalath, Lakshithe. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:835-866.

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481991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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492006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND. (2006). Guasoni, Paolo. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:569-582.

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501992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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Citing documents used to compute impact factor: 90
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2018Hedging with transient price impact for non-covered and covered options. (2018). Becherer, Dirk ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1807.05917.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2018Large deviations for risk measures in finite mixture models. (2018). Bignozzi, Valeria ; Petrella, Lea ; Macci, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:84-92.

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2018Tail expectile process and risk assessment. (2018). STUPFLER, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:32890.

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2018Quantile optimization under derivative constraint. (2018). Xu, Zuoquan . In: Papers. RePEc:arx:papers:1803.02546.

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2018Stochastic distortion and its transformed copula. (2018). Lin, Feng ; Yang, Jingping ; Xie, Jiehua ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166.

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2018Portfolio Choice with Market-Credit Risk Dependencies. (2018). Bo, Lijun ; Capponi, Agostino. In: Papers. RePEc:arx:papers:1806.07175.

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2018Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching. (2018). Bo, Lijun ; Wang, Yongjin ; Liao, Huafu. In: Papers. RePEc:arx:papers:1807.05513.

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2018An SPDE Model for Systemic Risk with Endogenous Contagion. (2018). Hambly, Ben ; Sojmark, Andreas. In: Papers. RePEc:arx:papers:1801.10088.

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2018Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139.

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2018Reconstruction methods for networks: the case of economic and financial systems. (2018). Squartini, Tiziano ; Garlaschelli, Diego ; Gabrielli, Andrea ; Cimini, Giulio ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1806.06941.

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2018Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Banerjee, Tathagata ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.01372.

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2018Reconstructing and stress testing credit networks. (2018). Fricke, Daniel ; Caccioli, Fabio ; Ramadiah, Amanah. In: ESRB Working Paper Series. RePEc:srk:srkwps:201884.

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2018Measuring the propagation of financial distress with Granger-causality tail risk networks. (2018). Trapin, Luca ; Pirino, Davide ; Lillo, Fabrizio ; Corsi, Fulvio. In: Journal of Financial Stability. RePEc:eee:finsta:v:38:y:2018:i:c:p:18-36.

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2018Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. (2018). Bo, Lijun ; Yu, Xiang ; Liao, Huafu. In: Papers. RePEc:arx:papers:1712.05676.

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2018Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John. In: PhD Thesis. RePEc:uts:finphd:40.

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2018Optimal fee structures in hedge funds. (2018). Escobar-Anel, Marcos ; Zagst, Rudi ; Seco, Luis ; Hohn, Vincent. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:7:d:10.1057_s41260-018-0094-7.

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2018Perturbation analysis of sub/super hedging problems. (2018). Badikov, Sergey ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1806.03543.

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2018Pointwise Arbitrage Pricing Theory in Discrete Time. (2018). Burzoni, Matteo ; Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco. In: Papers. RePEc:arx:papers:1612.07618.

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2018A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2018). Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1612.09152.

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2018Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims. (2018). Neufeld, Ariel. In: Papers. RePEc:arx:papers:1707.01178.

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2018Mini-Flash Crashes, Model Risk, and Optimal Execution. (2018). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1705.09827.

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2018Pathwise superhedging on prediction sets. (2018). Bartl, Daniel ; Neufeld, Ariel ; Kupper, Michael. In: Papers. RePEc:arx:papers:1711.02764.

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2018Robust martingale selection problem and its connections to the no-arbitrage theory. (2018). Burzoni, Matteo ; Sikic, Mario. In: Papers. RePEc:arx:papers:1801.03574.

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2018A risk-neutral equilibrium leading to uncertain volatility pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0356-8.

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2018Quantile Hedging in a semi-static market with model uncertainty. (2018). Bayraktar, Erhan ; Wang, GU. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:87:y:2018:i:2:d:10.1007_s00186-017-0616-y.

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2018Robust pricing–hedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9.

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2018Robust Utility Maximization in Discrete-Time Markets with Friction. (2018). Neufeld, Ariel ; Sikic, Mario. In: Papers. RePEc:arx:papers:1610.09230.

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2018On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets. (2018). , Mikl'Os ; Meireles-Rodrigues, Andrea. In: Papers. RePEc:arx:papers:1801.06860.

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2018Robust utility maximization in markets with transaction costs. (2018). Chau, Huy N ; Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1803.04213.

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2018Portfolio Optimization with Nondominated Priors and Unbounded Parameters. (2018). Ugurlu, Kerem. In: Papers. RePEc:arx:papers:1807.05773.

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2018Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach Miklós R ´ asonyi. (2018). Blanchard, Romain ; Rasonyi, Miklos ; Carassus, Laurence. In: Post-Print. RePEc:hal:journl:hal-01883419.

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2018Dynamically consistent investment under model uncertainty: the robust forward criteria. (2018). Kallblad, Sigrid ; Zariphopoulou, Thaleia ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0368-4.

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2018No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach. (2018). Blanchard, Romain ; Rasonyi, Miklos ; Carassus, Laurence. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0635-3.

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2018A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations. (2018). Mabitsela, Lesedi ; Kufakunesu, Rodwell ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1808.04611.

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2018Managing Default Contagion in Inhomogeneous Financial Networks. (2018). Detering, Nils ; Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo. In: Papers. RePEc:arx:papers:1610.09542.

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2018Explicit size distributions of failure cascades redefine systemic risk on finite networks. (2018). Burkholz, Rebekka ; Schweitzer, Frank ; Herrmann, Hans J. In: Papers. RePEc:arx:papers:1802.03286.

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2018Financial Contagion in a Generalized Stochastic Block Model. (2018). Detering, Nils ; Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo. In: Papers. RePEc:arx:papers:1803.08169.

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2018Financial asset bubbles in banking networks. (2018). Biagini, Francesca ; Meyer-Brandis, Thilo ; Mazzon, Andrea. In: Papers. RePEc:arx:papers:1806.01728.

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2018Epidemics of liquidity shortages in interbank markets. (2018). Di Clemente, Riccardo ; Cimini, Giulio ; Brandi, Giuseppe . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:255-267.

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2018The future of risk assessment. (2018). Zio, E. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:177:y:2018:i:c:p:176-190.

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2018Les instruments de politique macroprudentielle : un rempart contre les risques de contagion interbancaire. (2018). Piquard, Thibaut ; Salakhova, Dilyara. In: Bulletin de la Banque de France. RePEc:bfr:bullbf:2018:218:03.

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2018Structural risk evaluation of global gas trade by a network-based dynamics simulation model. (2018). Chen, Zhihua ; Hao, Xiaoqing ; Guan, Qing. In: Energy. RePEc:eee:energy:v:159:y:2018:i:c:p:457-471.

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2018Systemic illiquidity in the interbank network. (2018). Langfield, Sam ; Ferrara, Gerardo ; Ota, Tomohiro ; Liu, Zijun . In: ESRB Working Paper Series. RePEc:srk:srkwps:201886.

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2018BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY. (2018). Hurd, T R. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500401.

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2018Indexing gamble desirability by extending proportional stochastic dominance. (2018). Hellman, Ziv ; Schreiber, Amnon. In: Games and Economic Behavior. RePEc:eee:gamebe:v:109:y:2018:i:c:p:523-543.

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2018Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity. (2018). Brandtner, Mario ; Rischau, Robert ; Kursten, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:2:p:707-716.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Feng, YU ; Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1810.09112.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395.

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2018Systematic Systemic Stress Tests. (2018). Summer, Martin ; Breuer, Thomas. In: Working Papers. RePEc:onb:oenbwp:225.

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2018Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations. (2018). Barrera, David ; Stazhynski, Uladzislau ; Gobet, Emmanuel ; Fort, Gersende ; Diallo, Babacar ; Crepey, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-01710394.

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2018Moral Hazard Under Ambiguity. (2018). Mastrolia, Thibaut ; Possamai, Dylan. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1230-8.

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2018VIX derivatives valuation and estimation based on closed-form series expansions. (2018). Zhao, Zhe ; Florescu, Ionu ; Cui, Zhenyu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500202.

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2018A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. (2018). Grishchenko, Olesya ; Nistor, Victor ; Han, Xiao. In: Papers. RePEc:arx:papers:1812.09904.

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2018Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR. (2018). Schweizer, Martin ; Balint, Daniel Agoston. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1823.

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2018Optimal contract for a fund manager, with capital injections and endogenous trading constraints. (2018). Nadtochiy, Sergey ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1802.09165.

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2018Systems of ergodic BSDE arising in regime switching forward performance processes. (2018). Hu, Ying ; Tang, Shanjian ; Liang, Gechun. In: Papers. RePEc:arx:papers:1807.01816.

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2018Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications. (2018). Wu, Weiping ; Li, Xun ; Lu, Jun Guo ; Gao, Jianjun . In: Papers. RePEc:arx:papers:1806.03624.

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2018Replicating portfolio approach to capital calculation. (2018). Cambou, Mathieu ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0347-1.

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2018Scenario-based Risk Evaluation. (2018). Wang, Ruodu ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1808.07339.

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2018Simple Bounds for Transaction Costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1802.06120.

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2018Simple Bounds for Transaction Costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes. In: Working Papers. RePEc:hal:wpaper:hal-01711371.

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2018Equilibrium Returns with Transaction Costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Post-Print. RePEc:hal:journl:hal-01569408.

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2018Optimal investment with transient price impact. (2018). Bank, Peter ; Voss, Moritz . In: Papers. RePEc:arx:papers:1804.07392.

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2018Equilibrium returns with transaction costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6.

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2018Rebalancing Multiple Assets with Mutual Price Impact. (2018). Guasoni, Paolo ; Weber, Marko H. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1366-6.

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2018Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Czichowsky, Christoph ; Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0351-5.

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2018Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Czichowsky, Christoph Johannes ; Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85230.

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2018Hyperbolic normal stochastic volatility model. (2018). Choi, Jaehyuk ; Ki, Byoung ; Liu, Chenru. In: Papers. RePEc:arx:papers:1809.04035.

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2018Stability of Radner equilibria with respect to small frictions. (2018). Herdegen, Martin ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0354-x.

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2018Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1804.09151.

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2018Optimal liquidation under stochastic liquidity. (2018). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2.

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2018Optimal portfolio selection in an It\^o-Markov additive market. (2018). Palmowski, Zbigniew ; Sulima, Anna ; Stettner, Lukasz. In: Papers. RePEc:arx:papers:1806.03496.

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2018An Expanded Local Variance Gamma model. (2018). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1802.09611.

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2018Geometric Local Variance Gamma model. (2018). Carr, Peter ; Itkin, Andrey. In: Papers. RePEc:arx:papers:1809.07727.

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2018The strong predictable representation property in initially enlarged filtrations under the density hypothesis. (2018). Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1007-1033.

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2018Short-time near-the-money skew in rough fractional volatility models. (2018). Bayer, Christian ; Friz, Peter K ; Horvath, Blanka ; Gulisashvili, Archil ; Stemper, Benjamin. In: Papers. RePEc:arx:papers:1703.05132.

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2018The asymptotic smile of a multiscaling stochastic volatility model. (2018). Caravenna, Francesco ; Corbetta, Jacopo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1034-1071.

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2018Small-time moderate deviations for the randomised Heston model. (2018). Jacquier, Antoine ; Shi, Fangwei . In: Papers. RePEc:arx:papers:1808.03548.

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Recent citations received in 2018

YearCiting document
2018Robust utility maximization in markets with transaction costs. (2018). Chau, Huy N ; Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1803.04213.

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2018A note on the long rate in factor models of the term structure. (2018). de Kort, Jan. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:2:p:656-667.

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2018Hedge or Rebalance: Optimal Risk Management with Transaction Costs. (2018). Gallien, Florent ; Malamud, Semyon ; Kassibrakis, Serge. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:112-:d:174200.

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2018
2018LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS. (2018). Brody, Dorje C ; Meier, David M ; Hughston, Lane P. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500267.

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Recent citations received in 2017

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

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

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

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Recent citations received in 2016

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

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

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

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

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

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

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

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

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

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

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

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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.

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

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

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

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

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

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

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Recent citations received in 2015

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

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

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

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

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