Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

Citation Profile [Updated: 2020-06-03 07:38:54]

5 Years H

Impact Factor

0.57

5 Years IF

0.49

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	0.09	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	0.09	0	11	11	85	1	1	0		0		1	100	1	0.09	0.06
1995	0.27	0.2	0.12	0.27	14	25	213	3	4	11	3	11	3	2	66.7		0	0.08
1996	0	0.22	0	0	16	41	145		4	25		25			0		0	0.1
1997	0.27	0.23	0.25	0.27	14	55	45	14	18	30	8	41	11	9	64.3		0	0.1
1998	0.17	0.27	0.15	0.16	12	67	48	10	28	30	5	55	9	2	20		0	0.12
1999	0.04	0.29	0.15	0.12	15	82	24	12	40	26	1	67	8	4	33.3		0	0.14
2000	0.11	0.34	0.3	0.25	14	96	44	29	69	27	3	71	18	6	20.7		0	0.15
2001	0.07	0.36	0.17	0.17	13	109	32	19	88	29	2	71	12	6	31.6	1	0.08	0.16
2002	0.19	0.4	0.21	0.15	16	125	207	26	114	27	5	68	10	3	11.5		0	0.21
2003	0.1	0.41	0.33	0.17	16	141	209	47	161	29	3	70	12	1	2.1		0	0.2
2004	0.16	0.46	0.24	0.2	16	157	82	36	198	32	5	74	15		0	1	0.06	0.21
2005	0.38	0.47	0.33	0.4	15	172	309	54	254	32	12	75	30	1	1.9	7	0.47	0.22
2006	0.39	0.47	0.4	0.43	16	188	123	75	329	31	12	76	33	7	9.3	5	0.31	0.21
2007	0.52	0.42	0.37	0.47	23	211	210	78	407	31	16	79	37	4	5.1	3	0.13	0.19
2008	0.49	0.45	0.43	0.58	22	233	118	101	508	39	19	86	50	6	5.9	1	0.05	0.21
2009	0.31	0.44	0.35	0.38	24	257	138	88	597	45	14	92	35	9	10.2		0	0.21
2010	0.39	0.44	0.39	0.48	24	281	112	107	707	46	18	100	48	3	2.8	1	0.04	0.18
2011	0.23	0.46	0.39	0.32	23	304	86	118	827	48	11	109	35	3	2.5	1	0.04	0.21
2012	0.15	0.47	0.45	0.38	21	325	71	146	974	47	7	116	44	4	2.7	4	0.19	0.19
2013	0.45	0.53	0.57	0.57	27	352	53	202	1176	44	20	114	65		0	3	0.11	0.22
2014	0.19	0.55	0.5	0.4	21	373	55	188	1364	48	9	119	48		0	2	0.1	0.21
2015	0.27	0.55	0.57	0.46	22	395	53	224	1588	48	13	116	53	5	2.2	5	0.23	0.21
2016	0.53	0.56	0.55	0.5	19	414	24	228	1816	43	23	114	57	3	1.3		0	0.2
2017	0.34	0.58	0.51	0.42	18	432	11	221	2037	41	14	110	46		0		0	0.21
2018	0.27	0.7	0.51	0.28	10	442	13	225	2262	37	10	107	30		0	1	0.1	0.28
2019	0.57	0.88	0.52	0.49	18	460	10	239	2501	28	16	90	44		0	6	0.33	0.33

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	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	164
2	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	121
3	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	98
4	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	91
5	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	77
6	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	54
7	2005	The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers \|\| Download paper	51
8	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	46
9	1994	Stock market bubbles in the laboratory. (1994). Smith, Vernon ; Porter, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers \|\| Download paper	41
10	2002	Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers \|\| Download paper	40
11	2006	Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	40
12	2005	Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers \|\| Download paper	38
13	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	38
14	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	37
15	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	30
16	2006	On the Distributional Characterization of Daily Log-Returns of a World Stock Index. (2006). Platen, Eckhard ; Fergusson, Kevin. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38. Full description at Econpapers \|\| Download paper	29
17	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	28
18	1996	Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	28
19	1998	A framework for valuing corporate securities. (1998). Ericsson, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers \|\| Download paper	27
20	1996	Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. (1996). ParAS, Antonio ; Avellaneda, Marco. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52. Full description at Econpapers \|\| Download paper	26
21	2003	A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers \|\| Download paper	26
22	2000	Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32. Full description at Econpapers \|\| Download paper	23
23	1994	Delta, gamma and bucket hedging of interest rate derivatives. (1994). Jarrow, Robert ; Turnbull, Stuart . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48. Full description at Econpapers \|\| Download paper	22
24	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, ÃÂlvaro ; Figueroa, Marcelo ; Geman, Helyette. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers \|\| Download paper	22
25	2009	On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers \|\| Download paper	21
26	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). Belanger, A. C. ; Forsyth, P. A. ; Labahn, G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	21
27	2003	On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. (2003). Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324. Full description at Econpapers \|\| Download paper	20
28	2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). PerellÃÂ³, Josep ; Masoliver, Jaume ; Bouchaud, Jean-Philippe. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50. Full description at Econpapers \|\| Download paper	20
29	2005	Sharp Upper and Lower Bounds for Basket Options. (2005). Laurence, Peter ; Wang, Tai-Ho. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers \|\| Download paper	20
30	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	20
31	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	20
32	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	19
33	2004	On the pricing and hedging of volatility derivatives. (2004). Rafailidis, Avraam ; Howison, Sam ; Rasmussen, Henrik . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346. Full description at Econpapers \|\| Download paper	19
34	2011	Markowitzs Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model. (2011). Yang, Hailiang ; Chen, Ping. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:29-50. Full description at Econpapers \|\| Download paper	18
35	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Badran, Alexander ; Baldeaux, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	18
36	1996	Toward real-time pricing of complex financial derivatives. (1996). Ninomiya, S. ; Tezuka, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:1-20. Full description at Econpapers \|\| Download paper	17
37	1996	The use and pricing of convertible bonds. (1996). Nyborg, Kjell. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:3:p:167-190. Full description at Econpapers \|\| Download paper	17
38	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	16
39	1995	Statistical modelling of asymmetric risk in asset returns. (1995). Tran, Kien ; Knight, John ; Satchell, S. E.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172. Full description at Econpapers \|\| Download paper	16
40	1997	Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64. Full description at Econpapers \|\| Download paper	15
41	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Pages, Gilles ; Bouthemy, Sandrine ; Bardou, Olivier . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	15
42	2003	Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory. (2003). Hamada, Mahmoud ; Sherris, Michael. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47. Full description at Econpapers \|\| Download paper	15
43	2007	Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Benth, Fred Espen ; Kufakunesu, Rodwell ; GROTH, MARTIN. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363. Full description at Econpapers \|\| Download paper	15
44	2007	On American Options Under the Variance Gamma Process. (2007). Oosterlee, Cornelis ; Almendral, Ariel . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152. Full description at Econpapers \|\| Download paper	15
45	2002	Basics of electricity derivative pricing in competitive markets. (2002). VehvilÃÂ¤inen, Iivo ; Vehvilainen, Iivo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	14
46	2008	General Lower Bounds for Arithmetic Asian Option Prices. (2008). Albrecher, H. ; Schoutens, W. ; Mayer, P. A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:123-149. Full description at Econpapers \|\| Download paper	14
47	2008	Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing. (2008). Alexandridis, A. ; Zapranis, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:4:p:355-386. Full description at Econpapers \|\| Download paper	13
48	2013	Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes. (2013). Siu, Tak Kuen ; Elliott, Robert J.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:1:p:1-25. Full description at Econpapers \|\| Download paper	13
49	2004	Pricing American currency options in an exponential Levy model. (2004). JEANBLANC, M. ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:3:p:207-225. Full description at Econpapers \|\| Download paper	13
50	2006	Efficient Pricing of Derivatives on Assets with Discrete Dividends. (2006). Nieuwenhuis, J. W. ; Vellekoop, M. H.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:3:p:265-284. Full description at Econpapers \|\| Download paper	12

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

#	Year	Title	Cited
1	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	39
2	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	28
3	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	25
4	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	24
5	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	22
6	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	11
7	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	10
8	2005	The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers \|\| Download paper	10
9	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	8
10	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	8
11	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	8
12	2013	Robust Strategies for Optimal Order Execution in the Almgren--Chriss Framework. (2013). Schied, Alexander. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:3:p:264-286. Full description at Econpapers \|\| Download paper	7
13	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	7
14	2016	Market calibration under a long memory stochastic volatility model. (2016). Pospiil, Jan ; Sobotka, Toma. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:23:y:2016:i:5:p:323-343. Full description at Econpapers \|\| Download paper	7
15	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	7
16	2015	ADI Schemes for Pricing American Options under the Heston Model. (2015). Haentjens, Tinne ; In, Karel J. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:207-237. Full description at Econpapers \|\| Download paper	6
17	2005	Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers \|\| Download paper	6
18	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	6
19	1994	Stock market bubbles in the laboratory. (1994). Smith, Vernon ; Porter, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers \|\| Download paper	6
20	2018	A non-Gaussian OrnsteinâUhlenbeck model for pricing wind power futures. (2018). Pircalabu, Anca ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:36-65. Full description at Econpapers \|\| Download paper	6
21	2013	Utility Indifference Pricing: A Time Consistent Approach. (2013). Zhang, Huayue ; Pirvu, Traian A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:4:p:304-326. Full description at Econpapers \|\| Download paper	6
22	2013	Modelling Asset Prices for Algorithmic and High-Frequency Trading. (2013). Cartea, ÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:6:p:512-547. Full description at Econpapers \|\| Download paper	5
23	2003	A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers \|\| Download paper	5
24	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Badran, Alexander ; Baldeaux, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	5
25	2007	Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Benth, Fred Espen ; Kufakunesu, Rodwell ; GROTH, MARTIN. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363. Full description at Econpapers \|\| Download paper	5
26	2006	Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	5
27	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Bernard, Carole ; Cui, Zhenyu. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	5
28	1996	Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	5
29	1995	Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants. (1995). Bensoussan, A. ; Crouhy, M. ; Galai, D.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:1:p:43-60. Full description at Econpapers \|\| Download paper	5
30	2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). PerellÃÂ³, Josep ; Masoliver, Jaume ; Bouchaud, Jean-Philippe. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50. Full description at Econpapers \|\| Download paper	5
31	2015	Semi-Markov Model for Market Microstructure. (2015). Fodra, Pietro ; Pham, Huyen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:261-295. Full description at Econpapers \|\| Download paper	4
32	2004	Pricing American currency options in an exponential Levy model. (2004). JEANBLANC, M. ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:3:p:207-225. Full description at Econpapers \|\| Download paper	4
33	2011	Markowitzs Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model. (2011). Yang, Hailiang ; Chen, Ping. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:29-50. Full description at Econpapers \|\| Download paper	4
34	2016	Pitfalls of the Fourier Transform Method in Affine Models, and Remedies. (2016). Levendorski, Sergei. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:23:y:2016:i:2:p:81-134. Full description at Econpapers \|\| Download paper	4
35	2019	Mean-Field Game Strategies for Optimal Execution. (2019). Nourian, Mojtaba ; Jaimungal, Sebastian ; Huang, Xuancheng. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:2:p:153-185. Full description at Econpapers \|\| Download paper	4
36	2015	A Hybrid Model for Pricing and Hedging of Long-dated Bonds. (2015). Platen, Eckhard ; Baldeaux, Jan ; Ignatieva, Katja. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:4:p:366-398. Full description at Econpapers \|\| Download paper	4
37	2015	Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process. (2015). Pages, Gilles ; Sagna, Abass . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:5:p:463-498. Full description at Econpapers \|\| Download paper	4
38	2003	Tail behaviour of credit loss distributions for general latent factor models. (2003). Straetmans, Stefan ; Lucas, Andre ; Spreij, Peter ; Klaassen, Pieter . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:337-357. Full description at Econpapers \|\| Download paper	4
39	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	4
40	2011	Mean--Variance Optimal Adaptive Execution. (2011). Lorenz, Julian ; Almgren, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:5:p:395-422. Full description at Econpapers \|\| Download paper	4
41	2007	On American Options Under the Variance Gamma Process. (2007). Oosterlee, Cornelis ; Almendral, Ariel . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152. Full description at Econpapers \|\| Download paper	4
42	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). Belanger, A. C. ; Forsyth, P. A. ; Labahn, G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	4
43	2017	Regime-switching stochastic volatility model: estimation and calibration to VIX options. (2017). Goutte, StÃÂ©phane ; Pham, Huyen ; Ismail, Amine . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:24:y:2017:i:1:p:38-75. Full description at Econpapers \|\| Download paper	4
44	2008	Pricing of Swing Options in a Mean Reverting Model with Jumps. (2008). Kjaer, Mats. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:479-502. Full description at Econpapers \|\| Download paper	4
45	2003	On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. (2003). Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324. Full description at Econpapers \|\| Download paper	4
46	1997	A note on the Flesaker-Hughston model of the term structure of interest rates. (1997). Rutkowski, Marek. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:3:p:151-163. Full description at Econpapers \|\| Download paper	4
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50	2002	Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers \|\| Download paper	3

Citing documents used to compute impact factor: 16

Year	Title
2019	Developing bid-ask probabilities for high-frequency trading. (2019). Ingber, Lester. In: Lester Ingber Papers. RePEc:lei:ingber:19db. Full description at Econpapers \|\| Download paper
2019	Accelerated Share Repurchase and other buyback programs: what neural networks can bring. (2019). Pu, Jiang ; Manziuk, Iuliia ; Gu, Olivier. In: Papers. RePEc:arx:papers:1907.09753. Full description at Econpapers \|\| Download paper
2019	Tracking VIX with VIX Futures: Portfolio Construction and Performance. (2019). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1907.00293. Full description at Econpapers \|\| Download paper
2019	Contagion and bond pricing: The case of the ASEAN region. (2019). Abid, Ilyes ; Guesmi, Khaled ; Goutte, Stephane ; Dhaoui, Abderrazak. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:371-385. Full description at Econpapers \|\| Download paper
2019	Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility. (2019). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:1909.10187. Full description at Econpapers \|\| Download paper
2019	Mixing LSMC and PDE Methods to Price Bermudan Options. (2019). Jaimungal, Sebastian ; Jackson, Kenneth ; Farahany, David. In: Papers. RePEc:arx:papers:1803.07216. Full description at Econpapers \|\| Download paper
2019	Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods. (2019). Tan, Shih-Hau ; Hok, Julien. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00232-3. Full description at Econpapers \|\| Download paper
2019	A stochastic PDE model for limit order book dynamics. (2019). Mueller, Marvin S ; Cont, Rama. In: Papers. RePEc:arx:papers:1904.03058. Full description at Econpapers \|\| Download paper
2019	A STOCHASTIC PDE MODEL FOR LIMIT ORDER BOOK DYNAMICS. (2019). Muller, Marvin ; Cont, Rama. In: Working Papers. RePEc:hal:wpaper:hal-02090449. Full description at Econpapers \|\| Download paper
2019	A seasonal copula mixture for hedging the clean spark spread with wind power futures. (2019). Hog, Esben ; Pircalabu, Anca ; Christensen, Troels Sonderby. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:64-80. Full description at Econpapers \|\| Download paper
2019	Wind Power Pricing Game Strategy under the Chinaâs Market Trading Mechanism. (2019). Shi, Lei ; Ding, Xiaohui ; Dong, Fugui. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:18:p:3456-:d:265173. Full description at Econpapers \|\| Download paper
2019	Stochastic modeling of intraday photovoltaic power generation. (2019). Muller, Gernot ; Lingohr, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:175-186. Full description at Econpapers \|\| Download paper
2019	Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697. Full description at Econpapers \|\| Download paper
2019	Active and Passive Portfolio Management with Latent Factors. (2019). Jaimungal, Sebastian ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1903.06928. Full description at Econpapers \|\| Download paper
2019	Dynamic Optimal Portfolios for Multiple Co-Integrated Assets. (2019). Papanicolaou, A ; Li, T N. In: Papers. RePEc:arx:papers:1908.02164. Full description at Econpapers \|\| Download paper
2019	A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2019

Year	Citing document
2019	Portfolio liquidation under factor uncertainty. (2019). Zhou, Chao ; Xia, Xiaonyu ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1909.00748. Full description at Econpapers \|\| Download paper
2019	A two-player price impact game. (2019). Voss, Moritz. In: Papers. RePEc:arx:papers:1911.05122. Full description at Econpapers \|\| Download paper
2019	Pricing and hedging short-maturity Asian options in local volatility models. (2019). Park, Jong Hwa. In: Papers. RePEc:arx:papers:1911.12944. Full description at Econpapers \|\| Download paper
2019	A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field. (2019). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1912.08695. Full description at Econpapers \|\| Download paper
2019	A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. (2019). Forsyth, Peter A ; Li, Yuying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:189-204. Full description at Econpapers \|\| Download paper
2019	Defined Contribution Pension Plans: Who Has Seen the Risk?. (2019). Vetzal, Kenneth R ; Forsyth, Peter A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:70-:d:225342. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	A Stochastic Control Approach to Managed Futures Portfolios. (2018). Leung, Tim ; Yan, Raphael. In: Papers. RePEc:arx:papers:1811.01916. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document

Recent citations received in 2016

Year	Citing document

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	54	374
2	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	15	46
3	European Journal of Operational Research / Elsevier	91	43
4	Energy Economics / Elsevier	118	38
5	Insurance: Mathematics and Economics / Elsevier	44	38
6	Quantitative Finance / Taylor & Francis Journals	43	36
7	Finance and Stochastics / Springer	45	33
8	Annals of Operations Research / Springer	31	25
9	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	4	19
10	Journal of Banking & Finance / Elsevier	133	19
11	Physica A: Statistical Mechanics and its Applications / Elsevier	54	19