Citation analysis for Monte Carlo Methods and Applications / De Gruyter

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

0.05

5 Years IF

0.02

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	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1991	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1992	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1993	0	0.1	0	0	0	0	0		0	0		0			0		0	0.05
1994	0	0.11	0	0	0	0	0		0	0		0			0		0	0.05
1995	0	0.19	0	0	17	17	0		0	0		0			0		0	0.08
1996	0	0.22	0	0	18	35	17		0	17		17			0		0	0.1
1997	0	0.22	0	0	17	52	1		0	35		35			0		0	0.09
1998	0	0.26	0.01	0	19	71	1	1	1	35		52		1	100	1	0.05	0.12
1999	0	0.28	0.01	0	16	87	8	1	2	36		71			0	1	0.06	0.14
2000	0	0.33	0.02	0.02	19	106	0	2	4	35		87	2	1	50		0	0.15
2001	0	0.36	0	0	39	145	3		4	35		89			0		0	0.15
2002	0.02	0.39	0.01	0.01	23	168	20	2	6	58	1	110	1	1	50		0	0.21
2003	0.03	0.4	0.03	0.02	22	190	12	6	12	62	2	116	2		0	1	0.05	0.2
2004	0.02	0.45	0.03	0.03	41	231	10	7	19	45	1	119	3	1	14.3		0	0.2
2005	0.03	0.46	0.02	0.02	15	246	30	4	23	63	2	144	3	2	50		0	0.22
2006	0.04	0.46	0.03	0.04	23	269	22	9	32	56	2	140	6		0	1	0.04	0.21
2007	0.13	0.42	0.05	0.07	17	286	1	13	45	38	5	124	9	1	7.7		0	0.18
2008	0	0.44	0.03	0.02	23	309	2	9	54	40		118	2	4	44.4		0	0.21
2009	0.03	0.44	0.04	0.05	18	327	6	12	66	40	1	119	6	2	16.7		0	0.21
2010	0.02	0.43	0.03	0.03	21	348	3	10	76	41	1	96	3	1	10		0	0.18
2011	0.03	0.46	0.02	0.02	17	365	3	6	82	39	1	102	2		0		0	0.21
2012	0.05	0.47	0.06	0.03	15	380	7	21	103	38	2	96	3	3	14.3		0	0.19
2013	0.06	0.53	0.06	0.04	15	395	0	22	125	32	2	94	4	1	4.5		0	0.22
2014	0.07	0.55	0.02	0.03	19	414	5	10	135	30	2	86	3		0		0	0.22
2015	0.12	0.56	0.05	0.08	23	437	0	20	155	34	4	87	7	4	20		0	0.21
2016	0.05	0.58	0.02	0.04	20	457	1	7	162	42	2	89	4	1	14.3		0	0.2
2017	0.02	0.6	0.01	0.01	21	478	0	5	167	43	1	92	1	1	20		0	0.22
2018	0.05	0.76	0.01	0.02	26	504	0	4	171	41	2	98	2		0		0	0.31

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

#	Year	Title	Cited
1	2005	On the discretization schemes for the CIR (and Bessel squared) processes. (2005). Aurelien, Alfonsi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:355-384:n:5. Full description at Econpapers \|\| Download paper	20
2	2006	Balanced Milstein Methods for Ordinary SDEs. (2006). Kahl, Christian ; Christian, Kahl ; Henri, Schurz . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:143-170:n:2. Full description at Econpapers \|\| Download paper	17
3	1996	The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density. (1996). Vlad, Bally ; Denis, TALAY . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:2:p:93-128:n:7. Full description at Econpapers \|\| Download paper	10
4	2002	Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps. (2002). Platen, Eckhard ; Kestutis, Kubilius ; Eckhard, Platen . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:1:p:83-96:n:6. Full description at Econpapers \|\| Download paper	9
5	2003	Optimal quadratic quantization for numerics: the Gaussian case. (2003). Gilles, Pages ; Jacques, PRINTEMS . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:2:p:135-165:n:2. Full description at Econpapers \|\| Download paper	8
6	1996	On the use of low discrepancy sequences in Monte Carlo methods. (1996). Bruno, Tuffin . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:4:p:295-320:n:4. Full description at Econpapers \|\| Download paper	8
7	2012	The identification of price jumps. (2012). KoÄenda, EvÅ¾en ; Hanousek, Jan ; Even, Koenda . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:53-77:n:2. Full description at Econpapers \|\| Download paper	7
8	2004	Adaptative Monte Carlo Method, A Variance Reduction Technique. (2004). Bouhari, Arouna . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:1:p:1-24:n:1. Full description at Econpapers \|\| Download paper	6
9	1999	Applications of the balanced method to stochastic differential equations in filtering. (1999). Platen, Eckhard ; Paul, Fischer ; Eckhard, Platen . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:1:p:19-38:n:3. Full description at Econpapers \|\| Download paper	6
10	2004	Upper Bounds for Bermudan Style Derivatives. (2004). Kolodko A., ; Schoenmakers J., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:331-343:n:15. Full description at Econpapers \|\| Download paper	4
11	2005	Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. (2005). Huyen, Pham ; Afef, Sellami ; Wolfgang, Runggaldier . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:1:p:57-81:n:5. Full description at Econpapers \|\| Download paper	4
12	2002	Simulation of ruin probabilities for risk processes of Markovian type. (2002). Hansjorg, Albrecher ; Josef, Kantor . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:2:p:111-128:n:1. Full description at Econpapers \|\| Download paper	4
13	2005	Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. (2005). Vlad, Bally ; Antonino, Zanette ; Lucia, Caramellino . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:2:p:97-133:n:1. Full description at Econpapers \|\| Download paper	4
14	2006	First Order Strong Approximations of Jump Diffusions. (2006). Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina ; Nicola, Bruti-Liberati ; Eckhard, Platen ; Christina, Nikitopoulos-Sklibosios . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:191-209:n:6. Full description at Econpapers \|\| Download paper	3
15	1999	Discrepancy of sequences generated by piecewise monotone maps. (1999). Makoto, Mori . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:1:p:55-68:n:5. Full description at Econpapers \|\| Download paper	3
16	2011	Pricing of barrier options by marginal functional quantization. (2011). Sagna, Abass . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:371-398:n:3. Full description at Econpapers \|\| Download paper	3
17	2002	Minimal Entropy Approximations and Optimal Algorithms. (2002). Dan, Crisan ; Terry, Lyons . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:4:p:343-356:n:2. Full description at Econpapers \|\| Download paper	3
18	2002	Edgeworth type expansions for Euler schemes for stochastic differential equations.. (2002). Valentin, Konakov ; Enno, Mammen . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:3:p:271-286:n:3. Full description at Econpapers \|\| Download paper	2
19	2006	An importance sampling method based on the density transformation of LÃ©vy processes. (2006). Reiichiro, Kawai . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:171-186:n:1. Full description at Econpapers \|\| Download paper	2
20	2003	Arithmetic average options in the hyperbolic model. (2003). Gerhard, Larcher ; Tichy Robert F., ; Martin, Predota . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:227-239:n:4. Full description at Econpapers \|\| Download paper	2
21	2016	NinomiyaâVictoir scheme: Strong convergence, antithetic version and application to multilevel estimators. (2016). Gerbi, AL ; Emmanuelle, Clement ; Benjamin, JOURDAIN . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:22:y:2016:i:3:p:197-228:n:1. Full description at Econpapers \|\| Download paper	2
22	2014	A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. (2014). Idris, Kharroubi ; Huyen, Pham ; Nicolas, Langrene . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:2:p:145-165:n:5. Full description at Econpapers \|\| Download paper	2
23	2009	A central limit theorem for the functional estimation of the spot volatility. (2009). Hoang-Long, Ngo ; Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:353-380:n:4. Full description at Econpapers \|\| Download paper	2
24	2006	Stratified sampling and quasi-Monte Carlo simulation of LÃ©vy processes. (2006). Leobacher G., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:231-238:n:2. Full description at Econpapers \|\| Download paper	2
25	2009	Multiple stochastic volatility extension of the Libor market model and its implementation. (2009). Denis, Belomestny ; John, Schoenmakers ; Stanley, Mathew . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:285-310:n:1. Full description at Econpapers \|\| Download paper	2
26	2003	Stochastic particle methods for Smoluchowski coagulation equation: variance reduction and error estimations. (2003). Kolodko A., ; Sabelfeld K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:4:p:315-339:n:3. Full description at Econpapers \|\| Download paper	2
27	2008	Quasi-Monte Carlo methods for the Kou model. (2008). Jan, Baldeaux . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:14:y:2008:i:4:p:281-302:n:1. Full description at Econpapers \|\| Download paper	2
28	2010	Exact simulation of Bessel diffusions. (2010). Makarov Roman N., ; Devin, Glew . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:3-4:p:283-306:n:3. Full description at Econpapers \|\| Download paper	2
29	1998	Techniques for Monte Carlo Optimizing. (1998). Arsham H., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:4:y:1998:i:3:p:181-230:n:2. Full description at Econpapers \|\| Download paper	1
30	2009	Sparsified Randomization Algorithms for large systems of linear equations and a new version of the Random Walk on Boundary method. (2009). Sabelfeld K., ; Mozartova N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:257-284:n:5. Full description at Econpapers \|\| Download paper	1
31	2003	Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model. (2003). Mantalos, Panagiotis. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:257-269:n:6. Full description at Econpapers \|\| Download paper	1
32	2005	Construction of three-dimensional low discrepancy sequences. (2005). Makoto, Mori . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:2:p:163-174:n:3. Full description at Econpapers \|\| Download paper	1
33	2017	Numerical approximation of BSDEs using local polynomial drivers and branching processes. (2017). Bruno, Bouchard ; Xavier, Warin ; Yiyi, Zou ; Xiaolu, Tan. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:23:y:2017:i:4:p:241-263:n:3. Full description at Econpapers \|\| Download paper	1
34	2007	Mixed initial-boundary value problem in particle modeling of microelectronic devices. (2007). Nedjalkov M., ; Arsov G., ; Dimov I., ; Vasileska D., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:13:y:2007:i:4:p:299-331:n:4. Full description at Econpapers \|\| Download paper	1
35	2000	Factorization of Separable and Patterned Covariance Matrices for Gibbs Sampling. (2000). Rowe Daniel B., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:6:y:2000:i:3:p:205-210:n:4. Full description at Econpapers \|\| Download paper	1
36	2010	Approximate formulas for expectations of functionals of solutions to stochastic differential equations. (2010). Egorov A., ; Sabelfeld K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:2:p:95-127:n:1. Full description at Econpapers \|\| Download paper	1
37	2014	Quasi-Monte Carlo: A high-dimensional experiment. (2014). Sobol Ilya M., ; Boris, Shukhman . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:3:p:167-171:n:1. Full description at Econpapers \|\| Download paper	1
38	1997	Random walk tests of reciprocal m-sequences. (1997). Keizo, Takashima . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:2:p:155-166:n:3. Full description at Econpapers \|\| Download paper	1
39	2009	Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. (2009). Bardou O., ; Pages G., ; Frikha N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:173-210:n:1. Full description at Econpapers \|\| Download paper	1
40	2001	On a class of SPDEs called Brownian particle equation â Model for nonlinear diffusions. (2001). Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:7:y:2001:i:3-4:p:321-328:n:10. Full description at Econpapers \|\| Download paper	1
41	2012	Stochastic approximation with averaging innovation applied to Finance. (2012). Sophie, Laruelle ; Gilles, Pages. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:1-51:n:1. Full description at Econpapers \|\| Download paper	1
42	2005	Asymptotical behavior of linear congruential generators. (2005). Gerlovina V., ; Nekrutkin V., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:2:p:135-162:n:4. Full description at Econpapers \|\| Download paper	1
43	2007	Admissible and Asymptotically Optimal Linear Congruential Generators. (2007). Nekrutkin V., ; Samakhova M., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:13:y:2007:i:3:p:227-244:n:4. Full description at Econpapers \|\| Download paper	1
44	2010	Adaptive weak approximation of reflected and stopped diffusions. (2010). Christian, Bayer ; Raul, Tempone ; Anders, Szepessy . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:1:p:1-67:n:1. Full description at Econpapers \|\| Download paper	1
45	2002	Construction of two dimensional low discrepancy sequences. (2002). Makoto, Mori . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:2:p:159-170:n:4. Full description at Econpapers \|\| Download paper	1
46	1997	COMPARISON OF A STOCHASTIC PARTICLE METHOD AND A FINITE VOLUME DETERMINISTIC METHOD APPLIED TO BURGERS EQUATION. (1997). Mireille, BOSSY ; Serge, PIPERNO ; Loula, FEZOUI . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:2:p:113-140:n:1. Full description at Econpapers \|\| Download paper	1
47	2009	On the simulation of Markov chain steady-state distribution using CFTP algorithm. (2009). Fakhouri H., ; Nasroallah A., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:2:p:91-105:n:1. Full description at Econpapers \|\| Download paper	1
48	2001	Non-Markovian Optimal Prediction. (2001). Chorin Alexandre J., ; Raz, Kupferman ; Hald Ole H., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:7:y:2001:i:1-2:p:99-110:n:23. Full description at Econpapers \|\| Download paper	1
49	2015	Constructing positivity preserving numerical schemes for the two-factor CIR model. (2015). Nikolaos, Halidias . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:21:y:2015:i:4:p:313-323:n:4. Full description at Econpapers \|\| Download paper	1
50	2006	Optimal Control and Stochastic Parameter Estimation. (2006). Pierre, Ngnepieba ; Laurent, Debreu ; Hussaini M. Y., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:5:p:461-476:n:6. Full description at Econpapers \|\| Download paper	1

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

#	Year	Title	Cited
1	2006	Balanced Milstein Methods for Ordinary SDEs. (2006). Kahl, Christian ; Christian, Kahl ; Henri, Schurz . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:143-170:n:2. Full description at Econpapers \|\| Download paper	5
2	2011	Pricing of barrier options by marginal functional quantization. (2011). Sagna, Abass . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:371-398:n:3. Full description at Econpapers \|\| Download paper	3
3	2016	NinomiyaâVictoir scheme: Strong convergence, antithetic version and application to multilevel estimators. (2016). Gerbi, AL ; Emmanuelle, Clement ; Benjamin, JOURDAIN . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:22:y:2016:i:3:p:197-228:n:1. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 2

Year	Title
2018	Asymptotics for the normalized error of the NinomiyaâVictoir scheme. (2018). al Gerbi, A ; Clement, E ; Jourdain, B. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:1889-1928. Full description at Econpapers \|\| Download paper
2018	Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view. (2018). Sid-Ali, Ahmed ; Manai, Arij ; Chau, KI ; Bouchard, Bruno. In: Post-Print. RePEc:hal:journl:hal-01666399. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2016

Year	Citing document

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	51	14
2	Monte Carlo Methods and Applications / De Gruyter	7	6
3	Applied Mathematics and Computation / Elsevier	13	6
4	Post-Print / HAL	98	4
5	Stochastic Processes and their Applications / Elsevier	32	4
6	Mathematics and Computers in Simulation (MATCOM) / Elsevier	21	3
7	Quantitative Finance / Taylor & Francis Journals	43	2
8	Computational Economics / Springer	25	2
9	Statistics & Probability Letters / Elsevier	25	1
10	Working Papers on Finance / University of St. Gallen, School of Finance	10	1
11	CERGE-EI Working Papers / The Center for Economic Research and Graduate Education - Economics Institute, Prague	15	1