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Citation Profile [Updated: 2020-11-03 07:59:29]
5 Years H
58
Impact Factor
1.35
5 Years IF
1.29
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 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.08 0.12 0 17 17 445 1 2 0 0 1 100 1 0.06 0.04
1992 0 0.09 0.03 0 16 33 525 1 3 17 17 0 1 0.06 0.04
1993 0.06 0.11 0.09 0.06 21 54 351 5 8 33 2 33 2 3 60 1 0.05 0.05
1994 0.08 0.12 0.12 0.06 20 74 560 9 17 37 3 54 3 2 22.2 2 0.1 0.06
1995 0.24 0.2 0.33 0.3 19 93 654 31 48 41 10 74 22 0 6 0.32 0.09
1996 0.56 0.23 0.5 0.4 19 112 1110 54 104 39 22 93 37 0 4 0.21 0.11
1997 0.68 0.23 0.62 0.51 18 130 1185 80 185 38 26 95 48 3 3.8 10 0.56 0.1
1998 0.59 0.27 0.57 0.46 20 150 668 86 271 37 22 97 45 4 4.7 5 0.25 0.13
1999 0.58 0.29 0.7 0.61 16 166 2131 115 388 38 22 96 59 5 4.3 7 0.44 0.14
2000 0.97 0.34 1.24 1.15 28 194 710 235 628 36 35 92 106 1 0.4 5 0.18 0.15
2001 0.64 0.36 1.12 0.98 20 214 419 237 868 44 28 101 99 2 0.8 3 0.15 0.16
2002 0.52 0.4 0.99 0.98 25 239 669 234 1105 48 25 102 100 0 4 0.16 0.21
2003 0.49 0.41 1.15 0.89 26 265 314 300 1409 45 22 109 97 9 3 4 0.15 0.2
2004 0.84 0.46 1.39 1.17 30 295 515 406 1820 51 43 115 135 12 3 6 0.2 0.2
2005 0.54 0.47 1.19 0.7 29 324 543 383 2205 56 30 129 90 8 2.1 12 0.41 0.22
2006 0.68 0.47 1.25 0.73 33 357 551 444 2651 59 40 130 95 11 2.5 8 0.24 0.21
2007 0.56 0.43 1.35 0.68 27 384 453 512 3169 62 35 143 97 8 1.6 6 0.22 0.19
2008 0.63 0.45 1.34 0.67 30 414 572 548 3722 60 38 145 97 27 4.9 13 0.43 0.21
2009 0.67 0.44 1.42 0.77 22 436 406 621 4343 57 38 149 114 39 6.3 10 0.45 0.21
2010 0.65 0.44 1.44 0.74 0 436 0 626 4969 52 34 141 104 0 0 0.18
2011 1.27 0.47 1.38 0.94 0 436 0 598 5570 22 28 112 105 0 0 0.21
2012 0 0.47 1.42 1.13 0 436 0 616 6189 0 79 89 0 0 0.19
2013 0 0.53 1.74 1.6 0 436 0 750 6949 0 52 83 0 0 0.22
2014 0 0.54 1.9 2.45 16 452 211 855 7806 0 22 54 20 2.3 5 0.31 0.21
2015 0.75 0.54 1.83 0.75 28 480 190 877 8684 16 12 16 12 0 4 0.14 0.21
2016 1.07 0.54 2.19 1.07 33 513 258 1123 9809 44 47 44 47 8 0.7 19 0.58 0.19
2017 1.15 0.55 1.79 1.23 35 548 134 978 10788 61 70 77 95 2 0.2 4 0.11 0.2
2018 1.28 0.64 1.75 1.31 37 585 70 1023 11811 68 87 112 147 15 1.5 6 0.16 0.25
2019 0.88 0.74 1.82 1.38 35 620 95 1130 12941 72 63 149 205 7 0.6 31 0.89 0.27
2020 1.35 0.84 1.79 1.29 33 653 16 1166 14107 72 97 168 217 27 2.3 18 0.55 0.28
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Delbaen, Freddy ; Heath, David ; Eber, Jean-Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

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1722
21996A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

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662
31997Backward Stochastic Differential Equations in Finance. (1997). ElKaroui, N. ; Quenez, M. C. ; Peng, S. ; El Karoui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

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345
41995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

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302
51997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

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200
61998Long memory in continuous‐time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

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196
72000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

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184
82002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

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147
91994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

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136
101991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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126
111992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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124
121994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167.

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116
131992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pagès, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86.

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114
141996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165.

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111
151993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375.

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111
161999Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348.

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111
171997Bond Market Structure in the Presence of Marked Point Processes. (1997). Кабанов, Юрий ; Runggaldier, Wolfgang ; Bjork, Tomas ; Kabanov, Yuri . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239.

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105
182000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

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104
191997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

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103
202003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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97
211993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

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93
222002A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298.

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92
231995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE. (1995). Sankarasubramanian, L. ; Ritchken, Peter . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72.

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87
242007AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476.

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86
252005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26.

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85
262008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

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82
271999Term Structure Models Driven by General Lévy Processes. (1999). Raible, Sebastian ; Eberlein, Ernst. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53.

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81
281991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

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80
292000Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

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79
302006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

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77
311997A Continuity Correction for Discrete Barrier Options. (1997). Glasserman, Paul ; Broadie, Mark ; Kou, Steven. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349.

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77
322008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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77
331998Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65.

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77
342009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

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76
351995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, Elyès ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232.

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76
362005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

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75
372002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373.

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74
382002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

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74
391997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Wilmott, P. ; Whalley, A. E.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324.

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74
401997Contingent Claims and Market Completeness in a Stochastic Volatility Model. (1997). Touzi, Nizar ; Romano, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412.

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72
411991Option Pricing With V. G. Martingale Components. (1991). Milne, Frank ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:4:p:39-55.

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71
421998On Feedback Effects from Hedging Derivatives. (1998). Platen, Eckhard ; Schweizer, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:67-84.

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71
431996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL. (1996). Renault, Eric ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302.

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70
441991Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case. (1991). He, Hua ; Pearson, Neil D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:3:p:1-10.

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69
452001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets. (2001). Platen, Eckhard ; Heath, David ; Schweizer, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:4:p:385-413.

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68
461998Robustness of the Black and Scholes Formula. (1998). el Karoui, Nicole ; Jeanblanc-Picque, Monique ; Shreve, Steven E.. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126.

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67
471992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy. (1992). Jarrow, Robert ; Amin, Kaushik I.. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:4:p:217-237.

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66
482004The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. (2004). Schachermayer, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:19-48.

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65
492004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480.

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65
501998Complete Models with Stochastic Volatility. (1998). Rogers, Leonard ; Hobson, David G. ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48.

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64
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Delbaen, Freddy ; Heath, David ; Eber, Jean-Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

Full description at Econpapers || Download paper

245
21997Backward Stochastic Differential Equations in Finance. (1997). ElKaroui, N. ; Quenez, M. C. ; Peng, S. ; El Karoui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

Full description at Econpapers || Download paper

55
31996A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

Full description at Econpapers || Download paper

52
42000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

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38
5201931
62002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

Full description at Econpapers || Download paper

29
71998Long memory in continuous‐time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

Full description at Econpapers || Download paper

27
82007AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476.

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26
92016A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Beiglbock, M ; Schachermayer, W ; Penkner, F ; Acciaio, B. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:233-251.

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26
101995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

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25
112016COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918.

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24
122005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

Full description at Econpapers || Download paper

22
132003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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22
142014MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Bjork, Tomas ; Yu, Xun ; Murgoci, Agatha . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24.

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21
151991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

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20
162006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

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17
172007THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14.

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16
181993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

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16
192008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

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16
202015BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING. (2015). Crepey, Stephane. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:1-22.

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15
212015BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA. (2015). Crepey, Stephane. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:23-50.

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14
222016RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Amini, Hamed ; Minca, Andreea ; Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365.

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14
232005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL. (2005). Muler, Nora ; Azcue, Pablo . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:261-308.

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14
242014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS. (2014). Pallavicini, Andrea ; Brigo, Damiano ; Capponi, Agostino. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146.

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14
252016FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK. (2016). Cont, Rama ; Wagalath, Lakshithe. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:835-866.

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13
261992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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13
272004Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall. (2004). Scaillet, Olivier. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:115-129.

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13
282006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES. (2006). Scandolo, Giacomo ; Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:4:p:589-612.

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13
291991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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13
301994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

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311997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

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322004The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. (2004). Schachermayer, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:19-48.

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332008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH. (2008). Mingfeng, LI ; Linetsky, Vadim. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:337-384.

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342008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS. (2008). Touzi, Nizar ; Carmona, Rene. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:239-268.

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352008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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362009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

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372004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480.

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382005CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION. (2005). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, ; Bielecki, Tomasz R. ; Pliska, Stanley R.. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:213-244.

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392006DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY. (2006). Weber, Stefan. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441.

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402016UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME. (2016). Nutz, Marcel. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:252-268.

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412002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373.

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421991Option Pricing With V. G. Martingale Components. (1991). Milne, Frank ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:4:p:39-55.

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432015ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL. (2015). Matoussi, Anis ; Zhou, Chao ; Possamai, Dylan. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:2:p:258-287.

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442017ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES. (2017). Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos ; Bouchard, Bruno. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:4:p:963-987.

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452015OPTIMAL INSURANCE DESIGN UNDER RANK-DEPENDENT EXPECTED UTILITY. (2015). Bernard, Carole ; Yu, Xun ; Yan, Jia-An ; He, Xue Dong. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:154-186.

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461992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pagès, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86.

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472005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS. (2005). Pages, Gilles ; Bally, Vlad ; Printems, Jacques . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:119-168.

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482015LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT. (2015). Giesecke, Kay ; Sirignano, Justin A ; Sowers, Richard B ; Spiliopoulos, Konstantinos. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:77-114.

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492009CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK. (2009). Chen, Nan ; Kou, S. G.. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:3:p:343-378.

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501997A Continuity Correction for Discrete Barrier Options. (1997). Glasserman, Paul ; Broadie, Mark ; Kou, Steven. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349.

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2020Dividend policy and capital structure of a defaultable firm. (2020). , Alex ; Lex, A ; Alex, . In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:961-994.

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2020On the quasi-sure superhedging duality with frictions. (2020). Bayraktar, Erhan ; Burzoni, Matteo. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00411-5.

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2020Conditional nonlinear expectations. (2020). Bartl, Daniel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:2:p:785-805.

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2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

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2020Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. (2019). Nadtochiy, Sergey ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1910.01778.

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2020Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. (2020). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2002.09549.

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2020Relative Arbitrage Opportunities in $N$ Investors and Mean-Field Regimes. (2020). Yang, Tianjiao ; Ichiba, Tomoyuki. In: Papers. RePEc:arx:papers:2006.15158.

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2020Mean Field Exponential Utility Game: A Probabilistic Approach. (2020). Zhou, Chao ; Su, Xizhi ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2006.07684.

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2020Static and semistatic hedging as contrarian or conformist bets. (2020). Boyarchenko, Svetlana ; Levendorski, Sergei. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:921-960.

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2020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Kirkby, Lars J ; Nguyen, Duy. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0.

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2020An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186.

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Recent citations received in 2020

YearCiting document
2020Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469.

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2020Double continuation regions for American options under Poisson exercise opportunities. (2020). Yamazaki, Kazutoshi ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2004.03330.

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2020Limits of random walks with distributionally robust transition probabilities. (2020). Eckstein, Stephan ; Bartl, Daniel ; Kupper, Michael. In: Papers. RePEc:arx:papers:2007.08815.

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2020Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2007.08829.

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2020Perpetual American options with asset-dependent discounting. (2020). Palmowski, Zbigniew ; Al-Hadad, Jonas. In: Papers. RePEc:arx:papers:2007.09419.

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2020The Hansen ratio in mean--variance portfolio theory. (2020). Vcern, Alevs. In: Papers. RePEc:arx:papers:2007.15980.

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2020Detecting and repairing arbitrage in traded option prices. (2020). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2008.09454.

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2020Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257.

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2020Weak error rates for option pricing under the rough Bergomi model. (2020). Tempone, Ra'Ul ; Hall, Eric Joseph ; Bayer, Christian. In: Papers. RePEc:arx:papers:2009.01219.

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2020Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach. (2020). Weber, Stefan ; Kim, Sojung. In: Papers. RePEc:arx:papers:2009.03653.

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2020Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2020). Munari, Cosimo. In: Papers. RePEc:arx:papers:2009.04151.

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2020Price formation and optimal trading in intraday electricity markets. (2020). Tinsi, Laura ; Tankov, Peter. In: Papers. RePEc:arx:papers:2009.04786.

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2020Short dated smile under Rough Volatility: asymptotics and numerics. (2020). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:2009.08814.

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2020Optimal Dividend Payout under Stochastic Discounting. (2020). Mitzel, Norbert W ; Stammler, Hans-Georg ; Neumann, Beate ; Strasser, Ulf. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:636.

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2020Semimartingale theory of monotone mean–variance portfolio allocation. (2020). Černý, Aleš. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1168-1178.

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2020Dividend policy and capital structure of a defaultable firm. (2020). , Alex ; Lex, A ; Alex, . In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:961-994.

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2020American Step Options. (2019). Moraux, Franck ; Abdou, Souleymane Laminou ; Detemple, Jerome ; De Temple, Jerome. In: Post-Print. RePEc:hal:journl:halshs-02283374.

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Recent citations received in 2019

YearCiting document
2019Stacked Monte Carlo for option pricing. (2019). Oumgari, Mugad ; Malone, Emma R ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1903.10795.

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2019Mertons portfolio problem with power utility under Volterra Heston model. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1905.05371.

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2019Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101.

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2019A simple approach to dual representations of systemic risk measures. (2019). Munari, Cosimo ; Koch-Medina, Pablo ; Arduca, Maria. In: Papers. RePEc:arx:papers:1906.10933.

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2019Markovian lifts of positive semidefinite affine Volterra type processes. (2019). Teichmann, Josef ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1907.01917.

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2019From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151.

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2019Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972.

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2019Moment constrained optimal dividends: precommitment \& consistent planning. (2019). Lindensjo, Kristoffer ; Christensen, Soren. In: Papers. RePEc:arx:papers:1909.10749.

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2019Random concave functions. (2019). Wong, Ting-Kam Leonard ; Baxendale, Peter. In: Papers. RePEc:arx:papers:1910.13668.

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2019Infinite dimensional polynomial processes. (2019). Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1911.02614.

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2019Speculative Trading, Prospect Theory and Transaction Costs. (2019). Zheng, Harry ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:1911.10106.

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2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

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2019Multivariate Systemic Optimal Risk Transfer Equilibrium. (2019). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:1912.12226.

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2019Open Markets. (2019). Kim, Donghan. In: Papers. RePEc:arx:papers:1912.13110.

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2019Alternative trading strategies to beat “buy-and-hold”. (2019). Kevin, Ka Kwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119304108.

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2019Moment explosions in the rough Heston model. (2019). Pinter, Arpad ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00267-6.

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2019Markovian lifts of positive semidefinite affine Volterra-type processes. (2019). Teichmann, Josef ; Cuchiero, Christa. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00268-5.

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2019A multi-asset investment and consumption problem with transaction costs. (2019). Zhu, Yeqi ; Lex, A ; Alex, ; Hobson, David. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00391-6.

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2019Affine forward variance models. (2019). Keller-Ressel, Martin ; Gatheral, Jim. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00392-5.

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2019Duality for pathwise superhedging in continuous time. (2019). Tangpi, Ludovic ; Promel, David J ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00395-2.

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2019Multi-dimensional optimal trade execution under stochastic resilience. (2019). Xia, Xiaonyu ; Horst, Ulrich. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00394-3.

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2019Systemic risk governance in a dynamical model of a banking system. (2019). Mariani, Francesca ; Fatone, Lorella. In: Journal of Global Optimization. RePEc:spr:jglopt:v:75:y:2019:i:3:d:10.1007_s10898-019-00790-1.

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2019Dynamic systemic risk measures for bounded discrete time processes. (2019). Zilch, K ; Overbeck, L ; Kromer, E. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:90:y:2019:i:1:d:10.1007_s00186-018-0655-z.

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2019Multiple Yield Curve Modelling with CBI Processes. (2019). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:19/2019.

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2019RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION. (2019). Radoii, Rado ; Gatheral, Jim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500109.

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2019THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE. (2019). Schussler, Rainer ; Jonen, Alexander ; Frahm, Gabriel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500250.

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2019BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM. (2019). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:07:n:s0219024919500377.

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2019SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION. (2019). Deng, Shi-Jie ; Kirkby, Lars J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s0219024919500389.

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2019PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS. (2019). Arai, Takuji. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s0219024919500432.

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Recent citations received in 2018

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

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

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

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2018A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models. (2018). Nguyen, Duy. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:04:n:s2424786318500391.

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

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Recent citations received in 2017

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

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

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2017Alleviating time inconsistent behaviors via a competition scheme. (2017). Cui, Xiangyu ; Xu, LU ; Shi, Yun. In: Naval Research Logistics (NRL). RePEc:wly:navres:v:64:y:2017:i:5:p:357-372.

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

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