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Finance and Stochastics / Springer


1.41

Impact Factor

1.51

5-Years IF

42

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
19910.1000 (%)0.04
19920.09000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.04
19950.20100 (%)0.07
19960.234430.7570002 (2.9%)0.09
19970.261620140.75004419 (3.8%)120.750.09
19980.60.280.62141150.374322012201241 (9.5%)20.10.1
19990.510.320.492566280.424573719412031 (6.8%)30.120.13
20000.350.390.521783390.473194616663413 (4.1%)10.060.15
20010.670.390.729112690.626244228835831 (5%)40.140.14
20020.50.40.6138150790.5379246231086641 (5.2%)50.130.17
20030.70.430.671501340.89674713087 (%)0.18
20040.870.480.9291791540.8656338331099839 (6.9%)80.280.19
20050.520.520.93322112050.97624291511310548 (7.7%)90.280.2
20061.070.511.06282392270.95427616512813633 (7.7%)20.070.2
20070.80.440.9272662510.94435604812711445 (10.3%)60.220.17
20080.510.480.79242902870.9925855281169227 (10.5%)80.330.2
20091.040.491.11233133581.14251515314015519 (7.6%)80.350.19
20100.830.471.07243373751.11228473913414327 (11.8%)50.210.17
20110.790.490.84293663881.06297473712610632 (10.8%)110.380.19
20120.740.520.91303964321.09255533912711634 (13.3%)60.20.19
20130.880.580.93314275461.28244595213012130 (12.3%)90.290.2
20140.840.61.03314585991.31230615113714137 (16.1%)170.550.2
20151.130.611.33314897061.44120627014519323 (19.2%)60.190.19
20161.390.681.54415308661.6310462861522349 (8.7%)110.270.2
20170.940.721.49335638901.586772681642448 (11.9%)110.330.21
20181.410.941.51315949211.5527741041672522 (7.4%)220.710.31
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

273
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.

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180
32006Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

Full description at Econpapers || Download paper

123
42004Liquidity 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.

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113
51997From 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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111
62005Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561.

Full description at Econpapers || Download paper

109
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

106
81998Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347.

Full description at Econpapers || Download paper

102
92005Inf-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

93
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

91
112002Fourier 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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91
121999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

Full description at Econpapers || Download paper

78
132007Moment 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

78
142013Model-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

77
151999Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

71
172001A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82.

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66
182011Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

Full description at Econpapers || Download paper

65
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.

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63
202004Vector-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.

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61
212001The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341.

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61
222002An 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.

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57
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

56
241997Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68.

Full description at Econpapers || Download paper

56
252004Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206.

Full description at Econpapers || Download paper

55
262001Coherent 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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54
272004Optimizing 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

53
282002Optimal 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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52
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.

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52
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.

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52
312001The 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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50
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.

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48
331997Continuous-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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47
342000Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463.

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46
352008Dynamic 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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46
362004An 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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45
371998Local 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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44
382002Optimal 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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44
392001Fractional 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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44
401998Option 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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43
411996Irreversible 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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42
421998Perfect option hedging for a large trader. (1998). Frey, Rudiger. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141.

Full description at Econpapers || Download paper

42
431998Optimization 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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41
442001Minimax 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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41
452002A 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
461998Portfolio optimisation with strictly positive transaction costs and impulse control. (1998). Korn, Ralf. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:85-114.

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40
471997On 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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39
482007On 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.

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39
492005Diversity 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.

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39
502002The 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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39

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

59
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

44
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

41
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

37
52007The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

Full description at Econpapers || Download paper

32
62004Liquidity 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

26
72011Robust 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

25
82007On 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
92005Conditional 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

24
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

22
112011Asymptotic 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

21
122007Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

Full description at Econpapers || Download paper

20
131999Hedging and liquidation under transaction costs in currency markets. (1999). Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

Full description at Econpapers || Download paper

18
142005Local 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

18
152014A note on the condition of no unbounded profit with bounded risk. (2014). Takaoka, Koichiro ; Schweizer, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:393-405.

Full description at Econpapers || Download paper

17
162004Vector-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
172004Asymptotic 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

16
182012Polynomial 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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15
192014Transaction 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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15
202004Optimizing 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

15
212016Polynomial 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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15
221999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

Full description at Econpapers || Download paper

14
232008Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244.

Full description at Econpapers || Download paper

14
242014Comparative 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.

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14
252009Risk 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

13
262015Robust 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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13
272014Asymptotics 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.

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13
281997Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68.

Full description at Econpapers || Download paper

13
292006A 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

13
301998Perfect option hedging for a large trader. (1998). Frey, Rudiger. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141.

Full description at Econpapers || Download paper

12
312012Model-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

12
322012Optimal 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
332010Representation of the penalty term of dynamic concave utilities. (2010). RosazzaGianin, Emanuela ; Peng, Shige ; Delbaen, Freddy . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472.

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11
342016An 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
352016Counterparty risk and funding: immersion and beyond. (2016). Crepey, Stephane ; Song, Shiqi. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0305-3.

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361998Portfolio optimisation with strictly positive transaction costs and impulse control. (1998). Korn, Ralf. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:85-114.

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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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382014A theory of Markovian time-inconsistent stochastic control in discrete time. (2014). Murgoci, Agatha ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:545-592.

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392002An 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.

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402008Optimal capital and risk allocations for law- and cash-invariant convex functions. (2008). Filipovi, Damir ; Svindland, Gregor. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439.

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412005Integro-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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422015Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Wang, Ruodu ; Embrechts, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790.

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431998Option 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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442001Coherent 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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452000Efficient 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.

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462001Equity portfolios generated by functions of ranked market weights. (2001). Fernholz, Robert. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:4:p:469-486.

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472004An 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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482012Continuous-time trading and the emergence of probability. (2012). Vovk, Vladimir. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:561-609.

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492014Robust 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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501997LIBOR 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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Citing documents used to compute impact factor 104:


YearTitle
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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2018Volatility and arbitrage. (2018). Fernholz, Robert E ; Ruf, Johannes ; Karatzas, Ioannis. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:75234.

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2018Generalised Lyapunov Functions and Functionally Generated Trading Strategies. (2018). Ruf, Johannes ; Xie, Kangjianan. In: Papers. RePEc:arx:papers:1801.07817.

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2018Dynamics of observables in rank-based models and performance of functionally generated portfolios. (2018). Almada, Sergio A ; Zhang, Jiacheng ; Shkolnikov, Mykhaylo. In: Papers. RePEc:arx:papers:1802.03593.

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2018Diversification, Volatility, and Surprising Alpha. (2018). Banner, Adrian ; Schofield, David ; Ruf, Johannes ; Papathanakos, Vassilios ; Fernholz, Robert. In: Papers. RePEc:arx:papers:1809.03769.

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2018Trading Strategies Generated by Path-dependent Functionals of Market Weights. (2018). Karatzas, Ioannis ; Kim, Donghan. In: Papers. RePEc:arx:papers:1809.10123.

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2018Asset Price Distributions and Efficient Markets. (2018). Stroup, Caleb ; Fernholz, Ricardo. In: Papers. RePEc:arx:papers:1810.12840.

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2018The Rank Effect. (2018). Fernholz, Ricardo T ; Koch, Christoffer . In: Papers. RePEc:arx:papers:1812.06000.

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2018General multilevel Monte Carlo methods for pricing discretely monitored Asian options. (2018). Kahale, Nabil . In: Papers. RePEc:arx:papers:1805.09427.

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2018Discretization error for a two-sided reflected Lévy process. (2018). Asmussen, Soren ; Ivanovs, Jevgenijs . In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:89:y:2018:i:1:d:10.1007_s11134-018-9576-z.

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2018Geometrically Convergent Simulation of the Extrema of L\{e}vy Processes. (2018). Gonz, Jorge ; Bravo, Ger'Onimo Uribe ; Mijatovi, Aleksandar. In: Papers. RePEc:arx:papers:1810.11039.

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2018Market Delay and G-expectations. (2018). Dolinsky, Yan ; Zouari, Jonathan. In: Papers. RePEc:arx:papers:1709.09442.

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2018Sensitivity analysis of long-term cash flows. (2018). Park, Hyungbin. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0370-x.

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2018Malliavin differentiability of indicator functions on canonical Lévy spaces. (2018). Suzuki, Ryoichi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:183-190.

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2018An expansion in the model space in the context of utility maximization. (2018). Larsen, Kasper ; Itkovi, Gordan ; Mostovyi, Oleksii. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-017-0353-3.

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2018Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility. (2018). Albosaily, Sahar ; Pergamenshchikov, Serguei. In: Papers. RePEc:arx:papers:1809.08139.

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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2018Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty. (2018). Riedel, Frank ; Beissner, Patrick. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0362-x.

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2018Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint. (2018). Neuman, Eyal ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1711.00427.

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2018Volatility options in rough volatility models. (2018). Horvath, Blanka ; Tankov, Peter ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1802.01641.

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2018Target volatility option pricing in lognormal fractional SABR model. (2018). Alos, Elisa ; Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak. In: Papers. RePEc:arx:papers:1801.08215.

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2018Deep calibration of rough stochastic volatility models. (2018). Bayer, Christian ; Stemper, Benjamin. In: Papers. RePEc:arx:papers:1810.03399.

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2018Hierarchical adaptive sparse grids for option pricing under the rough Bergomi model. (2018). Bayer, Christian ; Tempone, Raul ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:1812.08533.

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2018Effective risk aversion in thin risk-sharing markets. (2018). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096.

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2018Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations. (2018). Barczy, Matyas ; Pap, Gyula ; Kebaier, Ahmed ; ben Alaya, Mohamed. In: Papers. RePEc:arx:papers:1711.02140.

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2018The Alpha-Heston Stochastic Volatility Model. (2018). Jiao, Ying ; Zhou, Chao ; Scotti, Simone ; Ma, Chunhua. In: Papers. RePEc:arx:papers:1812.01914.

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2018Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2018). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734.

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2018Upper bounds for strictly concave distortion risk measures on moment spaces. (2018). Cornilly, D ; Vanduffel, S ; Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:141-151.

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2018Robust risk aggregation with neural networks. (2018). Eckstein, Stephan ; Pohl, Mathias ; Kupper, Michael. In: Papers. RePEc:arx:papers:1811.00304.

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2018A clustering approach and a rule of thumb for risk aggregation. (2018). Marta, F ; Puccetti, Giovanni ; Giammusso, Davide. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:236-248.

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2018The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case. (2018). Huang, Yu-Jui ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1707.04981.

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2018Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time. (2018). Huang, Yu-Jui ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1712.07806.

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2018Time-consistent stopping under decreasing impatience. (2018). Nguyen-Huu, Adrien ; Huang, Yu-Jui. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0350-6.

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2018Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time. (2018). Huang, Yu-Jui ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1809.09243.

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2018Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. (2018). Bian, Lihua ; Yao, Haixiang ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:78-94.

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2018Time-consistent mean-variance portfolio selection with only risky assets. (2018). Pun, Chi Seng. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:281-292.

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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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2018Monotonicity preserving transformations of MOT and SEP. (2018). Huesmann, Martin ; Stebegg, Florian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1114-1134.

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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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2018A superhedging approach to stochastic integration. (2018). Ochowski, Rafa M ; Promel, David J ; Perkowski, Nicolas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:12:p:4078-4103.

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2018The robust superreplication problem: a dynamic approach. (2018). Carassus, Laurence ; Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1812.11201.

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2018Reduced-form framework under model uncertainty. (2018). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1707.04475.

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2018No-arbitrage under a class of honest times. (2018). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0345-3.

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2018Explicit description of all deflators for markets under random horizon. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1803.10128.

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2018Mortality/longevity Risk-Minimization with or without securitization. (2018). Choulli, Tahir ; Vanmaele, Michele ; Daveloose, Catherine . In: Papers. RePEc:arx:papers:1805.11844.

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2018Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1807.06449.

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2018Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1810.12762.

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2018Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078.

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2018Risk-based optimal portfolio of an insurer with regime switching and noisy memory. (2018). Kufakunesu, Rodwell ; Mabitsela, Lesedi ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1808.04604.

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2018Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Jing, Bing-Yi ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

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2018Explicit Asymptotics on First Passage Times of Diffusion Processes. (2018). Dassios, Angelos ; Li, Luting. In: Papers. RePEc:arx:papers:1806.08161.

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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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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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2018Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk. (2018). He, Xuedong ; Peng, Xianhua . In: Papers. RePEc:arx:papers:1707.05596.

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2018Large deviations for risk measures in finite mixture models. (2018). Bignozzi, Valeria ; Petrella, Lea ; Macci, Claudio. In: Papers. RePEc:arx:papers:1710.03252.

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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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2018A theory for combinations of risk measures. (2018). Righi, Marcelo Brutti . In: Papers. RePEc:arx:papers:1807.01977.

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2018Conditional expectiles, time consistency and mixture convexity properties. (2018). Bellini, Fabio ; Puccetti, Giovanni ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:117-123.

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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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2018Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives. (2018). Guo, Ivan ; Loeper, Gregoire. In: Papers. RePEc:arx:papers:1812.03526.

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2018Risk- and value-based management for non-life insurers under solvency constraints. (2018). Eckert, Johanna ; Gatzert, Nadine. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:2:p:761-774.

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2018ON DISTRIBUTIONS OF EXPONENTIAL FUNCTIONALS OF THE PROCESSES WITH INDEPENDENT INCREMENTS. (2018). Vostrikova, Lioudmila. In: Working Papers. RePEc:hal:wpaper:hal-01725776.

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2018Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1707.06970.

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2018Optimal trading using signals. (2018). de March, Hadrien ; Lehalle, Charles-Albert. In: Papers. RePEc:arx:papers:1811.03718.

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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 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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2018Utility maximization with proportional transaction costs under model uncertainty. (2018). Deng, Shuoqing ; Yu, Xiang ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1805.06498.

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2018On the quasi-sure superhedging duality with frictions. (2018). Bayraktar, Erhan ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1809.07516.

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2018Dependent Defaults and Losses with Factor Copula Models. (2018). Ackerer, Damien ; Vatter, Thibault . In: Papers. RePEc:arx:papers:1610.03050.

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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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2018Asian Option Pricing with Orthogonal Polynomials. (2018). Willems, Sander. In: Papers. RePEc:arx:papers:1802.01307.

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2018On the Relation Between Linearity-Generating Processes and Linear-Rational Models. (2018). Filipovic, Damir ; Trolle, Anders B ; Larsson, Martin. In: Papers. RePEc:arx:papers:1806.03153.

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2018Probability measure-valued polynomial diffusions. (2018). Cuchiero, Christa ; Svaluto-Ferro, Sara ; Larsson, Martin. In: Papers. RePEc:arx:papers:1807.03229.

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2018The Jacobi Stochastic Volatility Model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovic, Damir. In: Post-Print. RePEc:hal:journl:hal-01338330.

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2018The Jacobi stochastic volatility model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0364-8.

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2018Stochastic invariance of closed sets with non-Lipschitz coefficients. (2018). Jaber, Eduardo Abi ; Illand, Camille ; Bouchard, Bruno. In: Post-Print. RePEc:hal:journl:hal-01349639.

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2018Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model. (2018). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea . In: Papers. RePEc:arx:papers:1809.05328.

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2018No-arbitrage under a class of honest times. (2018). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0345-3.

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2018Explicit description of all deflators for markets under random horizon. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1803.10128.

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2018The value of informational arbitrage. (2018). Chau, Huy N ; Fontana, Claudio ; Cosso, Andrea . In: Papers. RePEc:arx:papers:1804.00442.

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2018Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1807.06449.

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2018Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1810.12762.

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2018Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models. (2018). Rutkowski, Marek ; Bielecki, Tomasz R ; Cialenco, Igor. In: Papers. RePEc:arx:papers:1701.08399.

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2018A Binary Nature of Funding Impacts in Bilateral Contracts. (2018). Zhou, Chao ; Lee, Junbeom . In: Papers. RePEc:arx:papers:1703.00259.

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2018Risk-neutral valuation under differential funding costs, defaults and collateralization. (2018). Brigo, Damiano ; Rutkowski, Marek ; Pallavicini, Andrea ; Francischello, Marco ; Buescu, Cristin. In: Papers. RePEc:arx:papers:1802.10228.

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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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2018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Papers. RePEc:arx:papers:1801.04994.

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2018Multiple curve L\evy forward price model allowing for negative interest rates. (2018). Eberlein, Ernst ; Grbac, Zorana ; Gerhart, Christoph. In: Papers. RePEc:arx:papers:1805.02605.

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2018Convexity adjustment for constant maturity swaps in a multi-curve framework. (2018). Karouzakis, Nikolaos ; Andriosopoulos, Kostas ; Hatgioannides, John. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2430-6.

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2018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:18-:d:134969.

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2018Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics. (2018). Toczydlowska, Dorota ; Peters, Gareth W. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:34-:d:158660.

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2018Term structure modeling for multiple curves with stochastic discontinuities. (2018). Fontana, Claudio ; Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana. In: Papers. RePEc:arx:papers:1810.09882.

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2018An urgent call to get better prepared for unexpected events. (2018). Spaanderman, Jurgen. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1602.

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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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2018Extreme quantile estimation for β-mixing time series and applications. (2018). Chavez-Demoulin, Valerie ; Guillou, Armelle. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:59-74.

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2018A control problem for a speculative investor in a target zone model. (2018). Neuman, Eyal ; Schied, Alexander. In: Papers. RePEc:arx:papers:1801.07784.

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2018Optimal Trading with General Signals and Liquidation in Target Zone Models. (2018). Belak, Christoph ; Ou, Kevin ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1808.00515.

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2018The Fatou Closedness under Model Uncertainty. (2018). Meyer-Brandis, Thilo ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:1610.04085.

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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 unified Framework for Robust Modelling of Financial Markets in discrete time. (2018). Obloj, Jan ; Wiesel, Johannes. In: Papers. RePEc:arx:papers:1808.06430.

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2018The robust superreplication problem: a dynamic approach. (2018). Carassus, Laurence ; Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1812.11201.

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2018Arbitrage-Free Pricing of Game Options in Nonlinear Markets. (2018). Nie, Tianyang ; Rutkowski, Marek ; Kim, Edward. In: Papers. RePEc:arx:papers:1807.05448.

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Recent citations (cites in year: CiY)


Recent citations received in 2018

YearCiting document
2018Explicit description of all deflators for markets under random horizon. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1803.10128.

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2018The strong Fatou property of risk measures. (2018). Chen, Shengzhong ; Xanthos, Foivos ; Gao, Niushan. In: Papers. RePEc:arx:papers:1805.05259.

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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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2018Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1807.06449.

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2018Optimal Trading with General Signals and Liquidation in Target Zone Models. (2018). Belak, Christoph ; Ou, Kevin ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1808.00515.

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2018Law-invariant insurance pricing and its limitations. (2018). Bellini, Fabio ; Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo. In: Papers. RePEc:arx:papers:1808.00821.

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2018The value of a liability cash flow in discrete time subject to capital requirements. (2018). Engsner, Hampus ; Lindskog, Filip ; Lindensjo, Kristoffer. In: Papers. RePEc:arx:papers:1808.03328.

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2018A unified Framework for Robust Modelling of Financial Markets in discrete time. (2018). Obloj, Jan ; Wiesel, Johannes. In: Papers. RePEc:arx:papers:1808.06430.

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2018Emergence of Turbulent Epochs in Oil Prices. (2018). Garnier, Josselin ; Solna, Knut. In: Papers. RePEc:arx:papers:1808.09382.

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2018The Zumbach effect under rough Heston. (2018). el Euch, Omar ; Rosenbaum, Mathieu ; Radoivci, Radovs ; Gatheral, Jim. In: Papers. RePEc:arx:papers:1809.02098.

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2018Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time. (2018). Huang, Yu-Jui ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1809.09243.

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2018Optimal electricity demand response contracting with responsiveness incentives. (2018). Ren'e A"id, ; Touzi, Nizar ; Possamai, Dylan. In: Papers. RePEc:arx:papers:1810.09063.

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2018The Fatou property of law-invariant risk measures. (2018). Tantrawan, Made ; Leung, Denny H. In: Papers. RePEc:arx:papers:1810.10374.

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2018Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Choulli, Tahir ; Yansori, Sina. In: Papers. RePEc:arx:papers:1810.12762.

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2018Precise asymptotics: robust stochastic volatility models. (2018). Friz, Peter K ; Pigato, Paolo ; Gassiat, Paul. In: Papers. RePEc:arx:papers:1811.00267.

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2018Continuity of Utility Maximization under Weak Convergence. (2018). Bayraktar, Erhan ; Guo, Jia ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1811.01420.

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2018Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series. (2018). Chan, Tat Lung ; Hale, Nicholas. In: Papers. RePEc:arx:papers:1811.09257.

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2018On pricing rules and optimal strategies in general Kyle-Back models. (2018). cCetin, Umut ; Danilova, Albina . In: Papers. RePEc:arx:papers:1812.07529.

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2018The robust superreplication problem: a dynamic approach. (2018). Carassus, Laurence ; Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1812.11201.

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2018The average risk sharing problem under risk measure and expected utility theory. (2018). Mao, Tiantian ; Liu, Haiyan ; Hu, Jiuyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179.

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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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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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Recent citations received in 2017

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

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

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

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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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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team