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Citation Profile [Updated: 2021-02-02 17:32:57]
5 Years H
46
Impact Factor
1.77
5 Years IF
1.47
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 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 0.12 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.19 0 0 0 0 0 1 0 0 0 0 0.08
1996 0 0.22 0.75 0 4 4 69 4 0 0 0 0 0.1
1997 0 0.22 0.7 0 16 20 574 14 18 4 4 5 35.7 14 0.88 0.09
1998 0.65 0.26 0.39 0.65 21 41 514 16 34 20 13 20 13 0 2 0.1 0.12
1999 0.54 0.27 0.45 0.51 25 66 509 28 64 37 20 41 21 0 3 0.12 0.13
2000 0.43 0.32 0.58 0.58 17 83 353 47 112 46 20 66 38 3 6.4 1 0.06 0.14
2001 0.64 0.34 0.67 0.55 29 112 731 74 187 42 27 83 46 1 1.4 5 0.17 0.15
2002 0.5 0.37 0.59 0.57 38 150 946 89 276 46 23 108 62 7 7.9 5 0.13 0.19
2003 0.64 0.39 0.89 0.53 0 150 0 133 410 67 43 130 69 0 0 0.19
2004 0.89 0.44 0.89 0.83 29 179 669 159 569 38 34 109 91 0 9 0.31 0.2
2005 0.52 0.46 1.01 0.8 32 211 747 213 782 29 15 113 90 2 0.9 10 0.31 0.21
2006 1.02 0.46 0.96 0.91 35 246 515 237 1019 61 62 128 116 16 6.8 2 0.06 0.21
2007 0.69 0.42 0.96 0.72 27 273 568 261 1280 67 46 134 96 20 7.7 6 0.22 0.18
2008 0.44 0.44 0.99 0.67 24 297 316 289 1573 62 27 123 82 11 3.8 9 0.38 0.2
2009 1.02 0.43 1.17 0.84 23 320 308 371 1947 51 52 147 123 15 4 9 0.39 0.21
2010 0.83 0.43 1.15 0.89 24 344 288 395 2343 47 39 141 125 29 7.3 6 0.25 0.18
2011 0.72 0.45 1.07 0.7 29 373 388 397 2743 47 34 133 93 38 9.6 13 0.45 0.2
2012 0.72 0.45 1.08 0.77 30 403 353 435 3180 53 38 127 98 51 11.7 9 0.3 0.19
2013 0.83 0.51 1.29 0.86 31 434 334 558 3739 59 49 130 112 40 7.2 9 0.29 0.21
2014 0.79 0.53 1.33 0.87 31 465 334 618 4357 61 48 137 119 60 9.7 18 0.58 0.2
2015 1.06 0.53 1.46 1.06 31 496 216 724 5082 62 66 145 153 72 9.9 8 0.26 0.2
2016 1.26 0.52 1.63 1.11 41 537 208 872 5955 62 78 152 168 86 9.9 18 0.44 0.19
2017 0.82 0.53 1.55 1.04 33 570 175 882 6837 72 59 164 170 87 9.9 9 0.27 0.19
2018 1.11 0.6 1.43 0.98 31 601 152 859 7696 74 82 167 163 91 10.6 13 0.42 0.24
2019 1.45 0.68 1.38 1.13 30 631 36 871 8567 64 93 167 188 58 6.7 6 0.2 0.25
2020 1.77 0.99 1.68 1.47 30 661 21 1113 9680 61 108 166 244 63 5.7 21 0.7 0.38
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
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

328
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.

Full description at Econpapers || Download paper

197
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.

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148
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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134
52005Conditional 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.

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133
61998Robust 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.

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128
71997From 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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126
82007The 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.

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124
91999Hedging 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.

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119
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.

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109
112013Model-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.

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107
122002Fourier 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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104
132005Local 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

93
142007Moment 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.

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93
151999Applications 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.

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88
162001A 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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83
172004Vector-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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81
182002An 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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80
192006A 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.

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78
201999Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

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74
211997Processes 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.

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73
222011Robust 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.

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73
232001Utility 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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72
242001The 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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70
252007On 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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69
262000Efficient 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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65
272009Risk 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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63
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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62
292001Coherent 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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60
302004Asymptotic 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.

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59
312004Optimizing 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.

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58
322011Asymptotic 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.

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55
332008Dynamic 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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55
341997Continuous-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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55
352000Optimal 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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54
362001The 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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54
372004An 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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52
381998Option 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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52
392002Optimal 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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52
401998Local 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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51
412001Fractional 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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51
422002The 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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51
431998Perfect 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.

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48
442002A 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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47
451998Asymptotic arbitrage in large financial markets. (1998). Kramkov, Dmitry ; Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172.

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47
462000Game 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
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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46
481998Portfolio 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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45
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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44
501998Optimization 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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44
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

54
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

40
32007On 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

34
41998Robust 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

32
52011Asymptotic 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

29
62007The 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

27
72006Generalized 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

25
82005Conditional 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

25
92017On time-inconsistent stochastic control in continuous time. (2017). Bjork, Tomas ; Murgoci, Agatha ; Khapko, Mariana . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0327-5.

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24
102015Aggregation-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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23
112002An 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.

Full description at Econpapers || Download paper

23
122004Liquidity 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

21
132012Polynomial 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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19
142016Polynomial 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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19
152004Vector-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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18
162018The microstructural foundations of leverage effect and rough volatility. (2018). Euch, Omar ; Rosenbaum, Mathieu ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z.

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18
171997Processes 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

18
182018Dynamic programming approach to principal–agent problems. (2018). Cvitanic, Jaksa ; Touzi, Nizar ; Possamai, Dylan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0344-4.

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18
191999Hedging 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.

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17
202014A 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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16
212012Optimal 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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15
222005Local 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

15
232007Moment 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

15
242001A 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.

Full description at Econpapers || Download paper

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.

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14
262017Hybrid scheme for Brownian semistationary processes. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5.

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14
272018Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. (2018). Gao, Niushan ; Xanthos, Foivos ; Munari, Cosimo ; Leung, Denny. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0357-7.

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14
282002Fourier 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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14
292013Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. (2013). Yang, Jingping ; Wang, Ruodu ; Peng, Liang. In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:2:p:395-417.

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13
302016An 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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312016Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0283-x.

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322011Robust 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.

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332014A 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.

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342001Utility 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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352005Inf-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.

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362016A general HJM framework for multiple yield curve modelling. (2016). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0291-5.

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372016Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:1-50.

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382018Equilibrium 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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392008Dynamic 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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402006A 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.

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412005A note on Wick products and the fractional Black-Scholes model. (2005). Hult, Henrik ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:197-209.

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422018Time-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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432018Robust 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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442008Optimal lifetime consumption and investment under a drawdown constraint. (2008). Touzi, Nizar ; Elie, Romuald. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:299-330.

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452014Comparative 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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462010Representation 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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472011Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates. (2011). Belomestny, Denis. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:655-683.

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482002Optimal 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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492018The 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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502017Optimal consumption and investment with Epstein–Zin recursive utility. (2017). Seiferling, Thomas ; Seifried, Frank Thomas ; Kraft, Holger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0316-0.

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2020Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989.

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2020Resolving asset pricing puzzles with price impact. (2019). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Papers. RePEc:arx:papers:1910.02466.

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2020Mean‐field games with differing beliefs for algorithmic trading. (2020). Jaimungal, Sebastian ; Casgrain, Philippe. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:995-1034.

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2020Price formation and optimal trading in intraday electricity markets with a major player. (2020). Tankov, Peter ; Tinsi, Laura. In: Papers. RePEc:arx:papers:2011.07655.

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2020Correlators of Polynomial Processes. (2019). Lavagnini, Silvia ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:1906.11320.

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2020Markov cubature rules for polynomial processes. (2020). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1947-1971.

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2020Martingale Optimal Transport Duality. (2019). Soner, Mete H ; Promel, David J ; Kiiski, Matti ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:1904.04644.

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2020Model-free pricing and hedging in discrete time using rough path signatures. (2019). Arribas, Imanol Perez ; Nejad, Sina ; Lyons, Terry. In: Papers. RePEc:arx:papers:1905.01720.

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2020Robust pricing and hedging of options on multiple assets and its numerics. (2019). Obloj, Jan ; Lim, Tongseok ; Guo, Gaoyue ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1909.03870.

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2020Arbitrage-free modeling under Knightian Uncertainty. (2019). Maggis, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1909.04602.

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2020The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives. (2020). Zhang, Yunyu. In: PLOS ONE. RePEc:plo:pone00:0229737.

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2020An analytical study of participating policies with minimum guaranteed and surrender option. (2020). Stabile, Gabriele ; de Angelis, Tiziano ; Chiarolla, Maria B. In: Papers. RePEc:arx:papers:2004.06982.

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2020Nonzero-Sum Stochastic Differential Games Between an Impulse Controller and a Stopper. (2020). Campi, Luciano ; Santis, Davide. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:2:d:10.1007_s10957-020-01718-6.

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2020Competition versus Cooperation: A class of solvable mean field impulse control problems. (2020). Sohr, Tobias ; Neumann, Berenice Anne ; Christensen, Soren. In: Papers. RePEc:arx:papers:2010.06452.

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2020A solution technique for Lévy driven long term average impulse control problems. (2020). Sohr, Tobias ; Christensen, Soren. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7303-7337.

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2020Scaling limits of processes with fast nonlinear mean reversion. (2020). Muhle-Karbe, Johannes ; Herdegen, Martin ; Caye, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1994-2031.

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2020Exploiting arbitrage requires short selling. (2020). Tappe, Stefan ; Platen, Eckhard. In: Papers. RePEc:arx:papers:2011.12523.

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2020Insiders and their Free Lunches: the Role of Short Positions. (2020). Dandapani, Aditi ; Coculescu, Delia. In: Papers. RePEc:arx:papers:2012.00359.

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2020Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences. (2020). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:2003.01783.

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2020Mechanics of good trade execution in the framework of linear temporary market impact. (2019). Brigo, Damiano ; Bellani, Claudio. In: Papers. RePEc:arx:papers:1909.10464.

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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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2020Equations and Shape of the Optimal Band Strategy. (2020). Chaouki, Ayman ; de Lataillade, Joachim . In: Papers. RePEc:arx:papers:2003.04646.

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2020Forward utilities and Mean-field games under relative performance concerns. (2020). Platonov, Vadim ; Reis, Goncalo Dos. In: Papers. RePEc:arx:papers:2005.09461.

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2020Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889.

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2020Propagation of minimality in the supercooled Stefan problem. (2020). Svaluto-Ferro, Sara ; Rigger, Stefan ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2010.03580.

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2020Dynamic Default Contagion in Interbank Systems. (2020). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2010.15254.

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2020Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2020). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Working Papers. RePEc:hal:wpaper:hal-02910724.

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2020The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972.

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2020The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02946146.

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2020Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints. (2020). Sass, Jorn ; Laudage, Christian ; Desmettre, Sascha. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:114-:d:437604.

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2020Optimal risk-sharing across a network of insurance companies. (2020). Smirnow, Alexander ; Kull, Andreas ; Farkas, Walter ; Ettlin, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:39-47.

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2020Convergence of optimal expected utility for a sequence of discrete‐time markets. (2020). Schachermayer, Walter ; Kreps, David M. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1205-1228.

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2020Log-modulated rough stochastic volatility models. (2020). Pigato, Paolo ; Harang, Fabian Andsem ; Bayer, Christian. In: Papers. RePEc:arx:papers:2008.03204.

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Recent citations received in 2020

YearCiting document
2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020No arbitrage SVI. (2020). Mingone, Arianna ; Martini, Claude. In: Papers. RePEc:arx:papers:2005.03340.

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2020Duality Theory for Robust Utility Maximization. (2020). Kupper, Michael ; Bartl, Daniel ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2007.08376.

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2020Radner equilibrium and systems of quadratic BSDEs with discontinuous generators. (2020). Xing, Hao ; Schwarz, Daniel C ; Escauriaza, Luis. In: Papers. RePEc:arx:papers:2008.03500.

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2020A New Approach to Estimating Loss-Given-Default Distribution. (2020). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868.

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2020A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2010.09186.

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2020Conditional Systemic Risk Measures. (2020). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:2010.11515.

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2020The investor problem based on the HJM model. (2020). Zawisza, Dariusz ; Peszat, Szymon. In: Papers. RePEc:arx:papers:2010.13915.

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2020Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market. (2020). Beiglboeck, Mathias ; Acciaio, Beatrice ; Pammer, Gudmund. In: Papers. RePEc:arx:papers:2011.04274.

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2020Power mixture forward performance processes. (2020). Sircar, Ronnie ; Avanesyan, Levon. In: Papers. RePEc:arx:papers:2012.10847.

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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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2020A term structure model for dividends and interest rates. (2020). Willems, Sander ; Filipovi, Damir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1461-1496.

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2020A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf495.

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2020Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776.

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2020How safe are european safe bonds? An analysis from the perspective of modern credit risk models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620302016.

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2020Impact of proportional transaction costs on systematically generated portfolios. (2020). Xie, Kangjianan ; Ruf, Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:104696.

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2020Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework. (2020). Schmidt, Thorsten ; Gumbel, Sandrine. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:50-:d:361196.

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2020Filtration shrinkage, the structure of deflators, and failure of market completeness. (2020). Ruf, Johannes ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00435-2.

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2020Extended weak convergence and utility maximisation with proportional transaction costs. (2020). Bayraktar, Erhan ; Dolinsky, Yan ; Dolinskyi, Leonid. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00437-0.

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2020Optimal reduction of public debt under partial observation of the economic growth. (2020). Ferrari, Giorgio ; Ceci, Claudia ; Callegaro, Giorgia. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00438-z.

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2020A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1156.

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Recent citations received in 2019

YearCiting document
2019Optimal Stopping and Utility in a Simple Model of Unemployment Insurance. (2019). Bogachev, Leonid V ; Anquandah, Jason S. In: Papers. RePEc:arx:papers:1902.06175.

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2019Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728.

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2019A Model for the Optimal Management of Inflation. (2019). Schuhmann, Patrick ; Ferrari, Giorgio ; Federico, Salvatore. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:624.

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2019Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107.

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2019Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance. (2019). Bogachev, Leonid V ; Anquandah, Jason S. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:94-:d:262848.

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2019Optimal Investment for Retail Investors with Flooredand Capped Costs. (2019). Mich, Lukas ; Belak, Christoph ; Seifried, Frank T. In: Working Paper Series. RePEc:trr:qfrawp:201906.

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Recent citations received in 2018

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

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

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

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

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

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

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

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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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2018General stopping behaviors of naïve and non-committed sophisticated agents, with application to probability distortion. (2018). Yu, Xun ; Nguyen-Huu, Adrien ; Huang, Yu-Jui. In: Working Papers. RePEc:hal:wpaper:hal-01954926.

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2018General stopping behaviors of naïve and non-committed sophisticated agents, with application to probability distortion. (2018). Nguyen-Huu, Adrien ; Yu, Xun ; Huang, Yu-Jui. In: CEE-M Working Papers. RePEc:hal:wpceem:hal-01954926.

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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). Muhle-Karbe, Johannes ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1704.04524.

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2017The geometry of multi-marginal Skorokhod Embedding. (2017). Huesmann, Martin ; Cox, Alexander ; Beiglboeck, Mathias . In: Papers. RePEc:arx:papers:1705.09505.

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2017Option Pricing with Delayed Information. (2017). Mousavi, Seyyed Mostafa ; Ichiba, Tomoyuki . 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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2017A buffer Hawkes process for limit order books. (2017). Caglar, Mine ; Kaj, Ingemar. In: Papers. RePEc:arx:papers:1710.03506.

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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). Pulido, Sergio ; Kramkov, Dmitry . 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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