Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

Citation Profile [Updated: 2022-01-09 21:43:50]

5 Years H

Impact Factor

0.63

5 Years IF

0.59

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	0.11	0	0	0	0	0		0	0		0			0		0	0.05
1994	0	0.12	0.09	0	11	11	86	1	1	0		0		1	100	1	0.09	0.06
1995	0.27	0.19	0.12	0.27	14	25	239	3	4	11	3	11	3	2	66.7		0	0.08
1996	0	0.22	0	0	16	41	156		4	25		25			0		0	0.1
1997	0.27	0.22	0.25	0.27	14	55	48	14	18	30	8	41	11	9	64.3		0	0.09
1998	0.17	0.26	0.15	0.16	12	67	49	10	28	30	5	55	9	2	20		0	0.12
1999	0.04	0.27	0.15	0.12	15	82	25	12	40	26	1	67	8	4	33.3		0	0.13
2000	0.11	0.32	0.3	0.25	14	96	46	29	69	27	3	71	18	6	20.7		0	0.14
2001	0.07	0.35	0.17	0.17	13	109	36	19	88	29	2	71	12	6	31.6	1	0.08	0.15
2002	0.19	0.37	0.2	0.15	16	125	234	25	113	27	5	68	10	3	12		0	0.19
2003	0.1	0.4	0.33	0.17	16	141	237	47	160	29	3	70	12	1	2.1		0	0.19
2004	0.16	0.44	0.24	0.22	16	157	95	37	198	32	5	74	16		0	1	0.06	0.2
2005	0.38	0.45	0.33	0.41	15	172	323	54	254	32	12	75	31	1	1.9	6	0.4	0.21
2006	0.39	0.46	0.4	0.43	16	188	132	76	330	31	12	76	33	7	9.2	5	0.31	0.2
2007	0.52	0.42	0.37	0.48	23	211	240	79	409	31	16	79	38	4	5.1	3	0.13	0.18
2008	0.49	0.44	0.44	0.58	22	233	142	101	511	39	19	86	50	6	5.9	1	0.05	0.2
2009	0.29	0.43	0.35	0.39	24	257	169	89	601	45	13	92	36	9	10.1		0	0.21
2010	0.41	0.43	0.4	0.49	24	281	132	109	713	46	19	100	49	3	2.8	1	0.04	0.18
2011	0.25	0.45	0.4	0.33	23	304	112	119	834	48	12	109	36	4	3.4	1	0.04	0.2
2012	0.15	0.45	0.46	0.38	21	325	82	148	983	47	7	116	44	4	2.7	4	0.19	0.19
2013	0.48	0.5	0.59	0.6	27	352	69	207	1190	44	21	114	68		0	3	0.11	0.21
2014	0.19	0.51	0.5	0.4	21	373	80	187	1377	48	9	119	48		0	2	0.1	0.2
2015	0.27	0.5	0.56	0.46	22	395	78	221	1598	48	13	116	53	5	2.3	5	0.23	0.19
2016	0.53	0.5	0.57	0.53	19	414	41	235	1833	43	23	114	60	3	1.3		0	0.18
2017	0.37	0.5	0.53	0.44	18	432	27	228	2061	41	15	110	48		0		0	0.18
2018	0.3	0.54	0.53	0.32	22	454	31	240	2301	37	11	107	34		0	1	0.05	0.21
2019	0.43	0.58	0.54	0.48	18	472	41	257	2558	40	17	102	49		0	6	0.33	0.21
2020	0.63	0.75	0.53	0.59	20	492	5	261	2819	40	25	99	58	3	1.1		0	0.29

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, ÃÆÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	155
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	141
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	118
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	112
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	86
6	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	61
7	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	58
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	48
9	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	45
10	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	44
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	42
12	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	42
13	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	40
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	40
15	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	37
16	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	36
17	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	31
18	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	29
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	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
21	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
22	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	25
23	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	24
24	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	24
25	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	24
26	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	24
27	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	23
28	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, ÃÆÃÂlvaro ; 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	23
29	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	23
30	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
31	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	22
32	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	22
33	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
34	2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). PerellÃÆÃÂ³, 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	22
35	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	22
36	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	21
37	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	19
38	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	19
39	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	17
40	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	17
41	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
42	2002	Basics of electricity derivative pricing in competitive markets. (2002). VehvilÃÆÃÂ¤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	17
43	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
44	2009	A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries. (2009). Konstandatos, Otto ; Buchen, Peter . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:497-515. Full description at Econpapers \|\| Download paper	16
45	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	16
46	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	16
47	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	16
48	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	16
49	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	15
50	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

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, ÃÆÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	40
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	34
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	33
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	23
5	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	21
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	17
7	2019	Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality. (2019). Manziuk, Iuliia ; Guant, Olivier. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:5:p:387-452. Full description at Econpapers \|\| Download paper	14
8	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	13
9	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	12
10	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	11
11	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	10
12	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	9
13	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	9
14	2017	Regime-switching stochastic volatility model: estimation and calibration to VIX options. (2017). Goutte, StÃÆÃÂ©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	9
15	2018	A non-Gaussian OrnsteinÃ¢â¬âUhlenbeck 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	9
16	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	9
17	2018	Enhancing trading strategies with order book signals. (2018). Cartea, Alvaro ; Jaimungal, Sebastian ; Donnelly, Ryan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:1-35. Full description at Econpapers \|\| Download paper	8
18	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	8
19	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	8
20	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	8
21	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	8
22	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	7
23	2019	Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies. (2019). Vetzal, Kenneth R ; Forsyth, Peter A. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:1:p:1-37. Full description at Econpapers \|\| Download paper	7
24	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	7
25	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	7
26	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
27	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
28	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
29	2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). PerellÃÆÃÂ³, 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	6
30	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
31	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	6
32	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	6
33	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	6
34	2009	A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries. (2009). Konstandatos, Otto ; Buchen, Peter . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:497-515. Full description at Econpapers \|\| Download paper	6
35	2014	Optimal Trade Execution Under Stochastic Volatility and Liquidity. (2014). Cheridito, Patrick ; Sepin, Tardu . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:342-362. Full description at Econpapers \|\| Download paper	6
36	2013	Modelling Asset Prices for Algorithmic and High-Frequency Trading. (2013). Cartea, ÃÆÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:6:p:512-547. Full description at Econpapers \|\| Download paper	6
37	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	6
38	2011	On Modelling and Pricing Rainfall Derivatives with Seasonality. (2011). Leobacher, Gunther ; Ngare, Philip. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:71-91. Full description at Econpapers \|\| Download paper	5
39	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	5
40	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	5
41	2016	Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method. (2016). Karlsson, Patrik ; Oosterlee, Cornelis W ; Jain, Shashi. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:23:y:2016:i:3:p:175-196. Full description at Econpapers \|\| Download paper	5
42	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	5
43	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	5
44	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	5
45	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	5
46	2012	On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates. (2012). Grzelak, Lech ; OOSTERLEE, CORNELIS W.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:1:p:1-35. Full description at Econpapers \|\| Download paper	5
47	2009	Convergence of a Least-Squares Monte Carlo Algorithm for Bounded Approximating Sets. (2009). Zanger, Daniel . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:123-150. Full description at Econpapers \|\| Download paper	5
48	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	5
49	2018	Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management. (2018). Jaimungal, Sebastian ; Al-Aradi, Ali. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:3:p:268-294. Full description at Econpapers \|\| Download paper	5
50	2011	Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model. (2011). Siu, Tak Kuen ; Fung, Eric S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:6:p:473-490. Full description at Econpapers \|\| Download paper	4

Citing documents used to compute impact factor: 25

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2020	A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints. (2020). Bouveret, Geraldine ; Picarelli, Athena. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:3:d:10.1007_s10957-020-01724-8. Full description at Econpapers \|\| Download paper
2020	Trading strategies generated pathwise by functions of market weights. (2020). Karatzas, Ioannis ; Kim, Donghan. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-019-00414-2. Full description at Econpapers \|\| Download paper
2020	Impact of proportional transaction costs on systematically generated portfolios. (2020). Xie, Kangjianan ; Ruf, Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:104696. Full description at Econpapers \|\| Download paper
2020	Optimal Trading with Differing Trade Signals. (2020). Lorig, Matthew ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2006.13585. Full description at Econpapers \|\| Download paper
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2020	Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137. Full description at Econpapers \|\| Download paper
2020	Gamma Related Ornstein-Uhlenbeck Processes and their Simulation. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2003.08810. Full description at Econpapers \|\| Download paper
2020	Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2004.06786. Full description at Econpapers \|\| Download paper
2020	Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147. Full description at Econpapers \|\| Download paper
2020	Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target. (2020). Li, Yuying ; Ni, Chendi ; Carroll, Ray ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2006.15384. Full description at Econpapers \|\| Download paper
2020	A Variational Analysis Approach to Solving the Merton Problem. (2020). Jaimungal, Sebastian ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:2003.08450. Full description at Econpapers \|\| Download paper
2020	On a family of coherent measures of variability. (2020). Chen, Ouxiang ; Hu, Taizhong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:173-182. Full description at Econpapers \|\| Download paper
2020	Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations. (2020). Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf497. Full description at Econpapers \|\| Download paper
2020	A Stochastic Control Approach to Defined Contribution Plan Decumulation: The Nastiest, Hardest Problem in Finance. (2020). Forsyth, Peter A. In: Papers. RePEc:arx:papers:2008.06598. Full description at Econpapers \|\| Download paper
2020	Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR. (2020). Forsyth, Peter A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:230-245. Full description at Econpapers \|\| Download paper
2020	Risk-Sensitive Reinforcement Learning: a Martingale Approach to Reward Uncertainty. (2020). Ganesh, Sumitra ; Vadori, Nelson ; Veloso, Manuela ; Reddy, Prashant. In: Papers. RePEc:arx:papers:2006.12686. Full description at Econpapers \|\| Download paper
2020	An approximate solution for options market-making in high dimension. (2020). Manziuk, Iuliia ; Derchu, Joffrey ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2009.00907. Full description at Econpapers \|\| Download paper
2020	Algorithmic market making: the case of equity derivatives. (2019). Gu, Olivier ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:1907.12433. Full description at Econpapers \|\| Download paper
2020	Size matters for OTC market makers: viscosity approach and dimensionality reduction technique. (2019). Gu, Olivier ; Bergault, Philippe. In: Papers. RePEc:arx:papers:1907.01225. Full description at Econpapers \|\| Download paper
2020	Adaptive trading strategies across liquidity pools. (2020). Manziuk, Iuliia ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2008.07807. Full description at Econpapers \|\| Download paper
2020	Size matters for OTC market makers: general results and dimensionality reduction techniques. (2020). Gueant, Olivier ; Bergault, Philippe. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02987894. Full description at Econpapers \|\| Download paper
2020	Size matters for OTC market makers: general results and dimensionality reduction techniques. (2020). Gueant, Olivier ; Bergault, Philippe. In: Working Papers. RePEc:hal:wpaper:hal-02987894. Full description at Econpapers \|\| Download paper
2020	Optimal trading without optimal control. (2020). Ritter, Gordon ; Benveniste, Jerome ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2012.12945. Full description at Econpapers \|\| Download paper
2020	On Detecting Spoofing Strategies in High Frequency Trading. (2020). Drapeau, Samuel ; Ling, Lan ; Day, Andrew ; Tao, Xuan. In: Papers. RePEc:arx:papers:2009.14818. Full description at Econpapers \|\| Download paper
2020	Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Reisinger, Christoph ; Picarelli, Athena ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:07/2020. Full description at Econpapers \|\| Download paper

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Recent citations received in 2020

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Recent citations received in 2019

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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

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10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	65	456
2	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	18	57
3	European Journal of Operational Research / Elsevier	108	48
4	Finance and Stochastics / Springer	47	42
5	Insurance: Mathematics and Economics / Elsevier	48	39
6	Energy Economics / Elsevier	135	30
7	Quantitative Finance / Taylor & Francis Journals	50	28
8	Physica A: Statistical Mechanics and its Applications / Elsevier	62	25
9	Annals of Operations Research / Springer	37	25
10			23
11	International Journal of Financial Engineering (IJFE) / World Scientific Publishing Co. Pte. Ltd.	7	22