Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2023-01-07 21:26:51]

5 Years H Index

Impact Factor (IF)

1.85

5 Years IF

1.53

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
1991	0	0.1	0.12	0	17	17	499	1	2	0		0		1	100	1	0.06	0.05
1992	0	0.11	0.03	0	16	33	595	1	3	17		17			0	1	0.06	0.05
1993	0.09	0.13	0.15	0.09	21	54	423	8	11	33	3	33	3	4	50	3	0.14	0.06
1994	0.08	0.14	0.12	0.06	20	74	695	9	20	37	3	54	3	2	22.2	2	0.1	0.06
1995	0.29	0.22	0.38	0.31	19	93	786	35	55	41	12	74	23		0	8	0.42	0.1
1996	0.67	0.25	0.54	0.44	19	112	1239	59	116	39	26	93	41		0	3	0.16	0.12
1997	0.68	0.24	0.63	0.52	18	130	1480	81	198	38	26	95	49	3	3.7	9	0.5	0.11
1998	0.76	0.28	0.67	0.56	20	150	788	100	298	37	28	97	54	5	5	5	0.25	0.13
1999	0.74	0.3	0.81	0.67	16	166	2822	132	432	38	28	96	64	6	4.5	8	0.5	0.15
2000	1	0.35	1.32	1.22	28	194	909	252	689	36	36	92	112	1	0.4	5	0.18	0.16
2001	0.77	0.38	1.23	1.06	20	214	558	260	952	44	34	101	107	2	0.8	4	0.2	0.17
2002	0.54	0.41	1.1	1.11	25	239	844	259	1214	48	26	102	113		0	5	0.2	0.21
2003	0.56	0.44	1.27	0.97	26	265	431	332	1550	45	25	109	106	10	3	6	0.23	0.22
2004	0.94	0.49	1.55	1.33	30	295	757	453	2008	51	48	115	153	13	2.9	6	0.2	0.22
2005	0.71	0.5	1.48	0.85	29	324	759	478	2489	56	40	129	110	8	1.7	17	0.59	0.23
2006	1.02	0.5	1.48	0.97	33	357	932	528	3019	59	60	130	126	12	2.3	10	0.3	0.23
2007	0.87	0.46	1.58	0.9	27	384	603	600	3625	62	54	143	128	9	1.5	8	0.3	0.2
2008	1.03	0.49	1.59	1.01	30	414	729	654	4284	60	62	145	147	28	4.3	15	0.5	0.23
2009	0.7	0.47	1.6	0.95	22	436	495	696	4980	57	40	149	142	41	5.9	10	0.45	0.23
2014	0	0.55	2.13	2.45	16	452	322	961	9118	0		22	54	20	2.1	7	0.44	0.23
2015	1.19	0.55	2.01	1.19	28	480	283	962	10081	16	19	16	19		0	5	0.18	0.23
2016	1.16	0.53	2.37	1.16	33	513	423	1212	11299	44	51	44	51	8	0.7	22	0.67	0.21
2017	1.26	0.55	1.96	1.34	35	548	272	1071	12374	61	77	77	103	2	0.2	13	0.37	0.21
2018	1.53	0.57	1.97	1.49	37	585	171	1150	13524	68	104	112	167	17	1.5	15	0.41	0.24
2019	1.01	0.6	1.88	1.45	35	620	276	1167	14691	72	73	149	216	10	0.9	29	0.83	0.24
2020	1.14	0.73	2.08	1.35	47	667	183	1390	16081	72	82	168	227	51	3.7	24	0.51	0.34
2021	1.85	1.02	2.05	1.53	42	709	51	1453	17534	82	152	187	286	103	7.1	11	0.26	0.38

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years 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	1999	Coherent 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	2323
2	1996	A 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	722
3	1997	Backward 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	455
4	1995	THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32. Full description at Econpapers \|\| Download paper	394
5	2000	Optimal 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. Full description at Econpapers \|\| Download paper	254
6	1998	Long memory in continuousÃ¢â¬Âtime 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	234
7	1997	The 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. Full description at Econpapers \|\| Download paper	226
8	2006	A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151. Full description at Econpapers \|\| Download paper	217
9	2002	Monte 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	169
10	1994	MODELING 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. Full description at Econpapers \|\| Download paper	166
11	1994	MAXIMUM 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. Full description at Econpapers \|\| Download paper	148
12	1993	BESSEL 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. Full description at Econpapers \|\| Download paper	142
13	1992	ALTERNATIVE 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. Full description at Econpapers \|\| Download paper	142
14	1991	Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14. Full description at Econpapers \|\| Download paper	138
15	1997	Arbitrage 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. Full description at Econpapers \|\| Download paper	135
16	2000	The 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. Full description at Econpapers \|\| Download paper	134
17	2006	MODEL 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. Full description at Econpapers \|\| Download paper	133
18	1992	DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; PagÃÆÃÂ¨s, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86. Full description at Econpapers \|\| Download paper	123
19	1999	Interest 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. Full description at Econpapers \|\| Download paper	123
20	2003	Stochastic Volatility for LÃÂ©vy 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. Full description at Econpapers \|\| Download paper	121
21	2004	The 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. Full description at Econpapers \|\| Download paper	120
22	1996	HEDGING 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. Full description at Econpapers \|\| Download paper	119
23	2000	Pricing 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. Full description at Econpapers \|\| Download paper	116
24	2002	Exponential 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. Full description at Econpapers \|\| Download paper	116
25	1993	OPTIMAL 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. Full description at Econpapers \|\| Download paper	116
26	1997	Pricing Stock Options in a JumpÃ¢â¬ÂDiffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods. (1997). Scott, Louis O.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:413-426. Full description at Econpapers \|\| Download paper	112
27	1997	Bond Market Structure in the Presence of Marked Point Processes. (1997). ÃÅ¡ÃÂ°ÃÂ±ÃÂ°ÃÂ½ÃÂ¾ÃÂ², ÃÂ®Ãâ¬ÃÂ¸ÃÂ¹ ; Runggaldier, Wolfgang ; Bjork, Tomas ; Kabanov, Yuri . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239. Full description at Econpapers \|\| Download paper	111
28	2008	BEHAVIORAL 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. Full description at Econpapers \|\| Download paper	111
29	2002	A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298. Full description at Econpapers \|\| Download paper	110
30	2004	THE 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. Full description at Econpapers \|\| Download paper	110
31	2007	AN 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. Full description at Econpapers \|\| Download paper	108
32	1995	VOLATILITY 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. Full description at Econpapers \|\| Download paper	104
33	2005	AN 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	103
34	2007	THE 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. Full description at Econpapers \|\| Download paper	101
35	1991	Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29. Full description at Econpapers \|\| Download paper	100
36	1999	Term Structure Models Driven by General LÃÂ©vy Processes. (1999). Raible, Sebastian ; Eberlein, Ernst. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53. Full description at Econpapers \|\| Download paper	97
37	2009	RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214. Full description at Econpapers \|\| Download paper	96
38	1998	Consumption 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. Full description at Econpapers \|\| Download paper	93
39	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃÆÃÂ¨s ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292. Full description at Econpapers \|\| Download paper	91
40	2005	DEFAULT 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. Full description at Econpapers \|\| Download paper	91
41	1997	A 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. Full description at Econpapers \|\| Download paper	88
42	2002	VALUATION 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. Full description at Econpapers \|\| Download paper	87
43	1998	Robustness 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. Full description at Econpapers \|\| Download paper	84
44	1997	An 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. Full description at Econpapers \|\| Download paper	83
45	1997	Contingent 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. Full description at Econpapers \|\| Download paper	83
46	2001	The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims. (2001). Takahashi, Akihiko ; Kunitomo, Naoto. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:1:p:117-151. Full description at Econpapers \|\| Download paper	82
47	1996	OPTION 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. Full description at Econpapers \|\| Download paper	82
48	2016	COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918. Full description at Econpapers \|\| Download paper	80
49	2004	Nonparametric 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. Full description at Econpapers \|\| Download paper	80
50	2019		80

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

#	Year	Title	Cited
1	1999	Coherent 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	496
2	1997	Backward 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	100
3	2000	Optimal 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. Full description at Econpapers \|\| Download paper	72
4	2019		68
5	1996	A 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	67
6	2016	COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918. Full description at Econpapers \|\| Download paper	51
7	1998	Long memory in continuousÃ¢â¬Âtime 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	49
8	1995	THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32. Full description at Econpapers \|\| Download paper	48
9	2007	AN 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. Full description at Econpapers \|\| Download paper	42
10	2002	Monte 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	41
11	2016	A 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. Full description at Econpapers \|\| Download paper	35
12	1991	Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29. Full description at Econpapers \|\| Download paper	33
13	2014	MEANÃ¢â¬âVARIANCE 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. Full description at Econpapers \|\| Download paper	33
14	1997	The 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. Full description at Econpapers \|\| Download paper	32
15	2016	RESILIENCE 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. Full description at Econpapers \|\| Download paper	32
16	2006	MODEL 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. Full description at Econpapers \|\| Download paper	29
17	2008	BEHAVIORAL 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. Full description at Econpapers \|\| Download paper	29
18	2003	Stochastic Volatility for LÃÂ©vy 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. Full description at Econpapers \|\| Download paper	29
19	1994	MODELING 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. Full description at Econpapers \|\| Download paper	27
20	2006	DISTRIBUTION-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. Full description at Econpapers \|\| Download paper	26
21	2009	RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214. Full description at Econpapers \|\| Download paper	26
22	2006	A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151. Full description at Econpapers \|\| Download paper	26
23	2007	THE 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. Full description at Econpapers \|\| Download paper	25
24	2005	AN 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	25
25	2004	THE 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. Full description at Econpapers \|\| Download paper	25
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2021	Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (2020). Miller, Enzo ; Jaber, Eduardo Abi ; Pham, Huyen. In: UniversitÃÂ© Paris1 PanthÃÂ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02877569. Full description at Econpapers \|\| Download paper
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2021	SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738. Full description at Econpapers \|\| Download paper
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2021	Elicitability and identifiability of set-valued measures of systemic risk. (2021). Rudloff, Birgit ; Hlavinova, Jana ; Fissler, Tobias. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00446-z. Full description at Econpapers \|\| Download paper
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2021	American options in the Volterra Heston model. (2021). Zuiga, Elizabeth ; Pulido, Sergio ; Chevalier, Etienne. In: Working Papers. RePEc:hal:wpaper:hal-03178306. Full description at Econpapers \|\| Download paper
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2021	Volterra equations driven by rough signals. (2021). Tindel, Samy ; Harang, Fabian A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:34-78. Full description at Econpapers \|\| Download paper
2021	Small?time, large?time, and H?0 asymptotics for the Rough Heston model. (2021). Smith, Benjamin ; Gerhold, Stefan ; Forde, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:203-241. Full description at Econpapers \|\| Download paper
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2021	CVA and vulnerable options pricing by correlation expansions. (2021). Ramponi, Alessandro ; Scarlatti, S ; Antonelli, F. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03367-z. Full description at Econpapers \|\| Download paper
2021	Optimal bookmaking. (2021). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:560-574. Full description at Econpapers \|\| Download paper
2021	Mean-Variance Portfolio Selection in Contagious Markets. (2021). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2110.09417. Full description at Econpapers \|\| Download paper
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2021	Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. (2021). Gulisashvili, Archil. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:139:y:2021:i:c:p:37-79. Full description at Econpapers \|\| Download paper
2021	Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675. Full description at Econpapers \|\| Download paper
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2021	Pareto-optimal reinsurance policies with maximal synergy. (2021). Ren, Jiandong ; Hong, Hanping ; Jiang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:185-198. Full description at Econpapers \|\| Download paper
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2021	Optimal trade execution in an order book model with stochastic liquidity parameters. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05843. Full description at Econpapers \|\| Download paper
2021	C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05863. Full description at Econpapers \|\| Download paper
2021	Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957. Full description at Econpapers \|\| Download paper
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2021	Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics. (2021). Tangpi, Ludovic ; Chu, Jiarui. In: Papers. RePEc:arx:papers:2111.12248. Full description at Econpapers \|\| Download paper
2021	Sharing the value?at?risk under distributional ambiguity. (2021). Xie, Weijun ; Chen, Zhi. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:531-559. Full description at Econpapers \|\| Download paper
2021	Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2021). Schlogl, Erik ; Rudd, Ralph ; Feng, YU ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:13-:d:474489. Full description at Econpapers \|\| Download paper
2021	Evaluating the performance of U.S. international equity closed-end funds. (2021). Fletcher, Jonathan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000165. Full description at Econpapers \|\| Download paper
2021	Relative Arbitrage Opportunities in $N$ Investors and Mean-Field Regimes. (2020). Yang, Tianjiao ; Ichiba, Tomoyuki. In: Papers. RePEc:arx:papers:2006.15158. Full description at Econpapers \|\| Download paper
2021	$N$-player and Mean-field Games in It\^{o}-diffusion Markets with Competitive or Homophilous Interaction. (2021). Zariphopoulou, Thaleia ; Hu, Ruimeng. In: Papers. RePEc:arx:papers:2106.00581. Full description at Econpapers \|\| Download paper
2021	Signatured Deep Fictitious Play for Mean Field Games with Common Noise. (2021). Hu, Ruimeng ; Min, Ming. In: Papers. RePEc:arx:papers:2106.03272. Full description at Econpapers \|\| Download paper
2021	Submission Fees in Risk-Taking Contests. (2021). Whitmeyer, Mark. In: Papers. RePEc:arx:papers:2108.13506. Full description at Econpapers \|\| Download paper
2021	Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2112.02961. Full description at Econpapers \|\| Download paper
2021	Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games. (2021). Pun, Chi Seng ; Lei, Qian . In: Papers. RePEc:arx:papers:2112.14409. Full description at Econpapers \|\| Download paper
2021	Super-replication with transaction costs under model uncertainty for continuous processes. (2021). Rasonyi, Miklos ; Chau, Huy N ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2102.02298. Full description at Econpapers \|\| Download paper
2021	A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398. Full description at Econpapers \|\| Download paper
2021	Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062. Full description at Econpapers \|\| Download paper
2021	Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method. (2021). Leitao, Alvaro ; Kirkby, Lars J ; Nguyen, Duy. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000360. Full description at Econpapers \|\| Download paper
2021	The value of power-related options under spectrally negative LÃ©vy processes. (2021). Aguilar, Jean-Philippe. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09174-0. Full description at Econpapers \|\| Download paper
2021	Optimal investment in illiquid market with search frictions and transaction costs. (2021). Choi, Jin Hyuk ; Gang, Tae Ung. In: Papers. RePEc:arx:papers:2101.09936. Full description at Econpapers \|\| Download paper
2021	An Analytic Approach for Pricing American Options with Regime Switching. (2021). Zhu, Song-Ping ; Chan, Leunglung. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:188-:d:540271. Full description at Econpapers \|\| Download paper
2021	From Bachelier to Dupire via Optimal Transport. (2021). Schachermayer, Walter ; Pammer, Gudmund ; Beiglbock, Mathias. In: Papers. RePEc:arx:papers:2106.12395. Full description at Econpapers \|\| Download paper
2021	Faking Brownian motion with continuous Markov martingales. (2021). Schachermayer, Walter ; Pammer, Gudmund ; Lowther, George ; Beiglbock, Mathias. In: Papers. RePEc:arx:papers:2109.12927. Full description at Econpapers \|\| Download paper
2021	High-frequency trading with fractional Brownian motion. (2021). Rasonyi, Miklos ; Mishura, Yuliya ; Guasoni, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-020-00439-y. Full description at Econpapers \|\| Download paper
2021	Weak 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. Full description at Econpapers \|\| Download paper
2021	Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Salmon, Nicholas ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2105.02325. Full description at Econpapers \|\| Download paper
2021	Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Sengupta, Indranil ; Salmon, Nicholas. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00394-4. Full description at Econpapers \|\| Download paper
2021	Price formation and optimal trading in intraday electricity markets. (2020). Tinsi, Laura ; Tankov, Peter. In: Papers. RePEc:arx:papers:2009.04786. Full description at Econpapers \|\| Download paper
2021	Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2021cf1162. Full description at Econpapers \|\| Download paper
2021	Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf509. Full description at Econpapers \|\| Download paper
2021	A Mean-Field Game Approach to Equilibrium Pricing, Optimal Generation, and Trading in Solar Renewable Energy Certificate (SREC) Markets. (2020). Jaimungal, Sebastian ; Firoozi, Dena ; Shrivats, Arvind. In: Papers. RePEc:arx:papers:2003.04938. Full description at Econpapers \|\| Download paper
2021	Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation. (2021). He, Xuedong ; Yu, Xun. In: Papers. RePEc:arx:papers:2105.01829. Full description at Econpapers \|\| Download paper
2021	An $\alpha-$MaxMin Axiomatisation of Temporally-Biased Multiple Discounts. (2021). Ha-Huy, Thai ; Drugeon, Jean-Pierre. In: MPRA Paper. RePEc:pra:mprapa:111306. Full description at Econpapers \|\| Download paper
2021	Optimal reinsurance under the ?-maxmin mean-variance criterion. (2021). Li, Bin ; Zhang, Liming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:225-239. Full description at Econpapers \|\| Download paper
2021	Impacts of Capital Structure and Dividend Policy on the Financial Performance of Listed Companies on Vietnamese Stocks Market. (2021). , Thao ; Vu, Loan T. In: OSF Preprints. RePEc:osf:osfxxx:u8pd9. Full description at Econpapers \|\| Download paper
2021	Perpetual American options with asset-dependent discounting. (2020). Palmowski, Zbigniew ; Al-Hadad, Jonas. In: Papers. RePEc:arx:papers:2007.09419. Full description at Econpapers \|\| Download paper
2021	Pricing Perpetual American Put Options with Asset-Dependent Discounting. (2021). Palmowski, Zbigniew ; Al-Hadad, Jonas. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:130-:d:520879. Full description at Econpapers \|\| Download paper
2021	Double continuation regions for American options under Poisson exercise opportunities. (2021). Perez, Jose Luis ; Palmowski, Zbigniew ; Yamazaki, Kazutoshi. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:722-771. Full description at Econpapers \|\| Download paper
2021	Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257. Full description at Econpapers \|\| Download paper
2021	A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria. (2021). Zhou, Zhou ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:2101.00343. Full description at Econpapers \|\| Download paper
2021	Analysis of the Bank Specific Factors, Macroeconomics and Oil Price on Dividend Policy. (2021). Fachrudin, Khaira Amalia ; Silalahi, Amlys Syahputra ; Effendi, Kharisya Ayu ; Sianipar, Aryanti Sariartha. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-02-22. Full description at Econpapers \|\| Download paper
2021	Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. (2021). Ferrari, Giorgio ; Calvia, Alessandro. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:651. Full description at Econpapers \|\| Download paper
2021	Optimal Dividends under Markov-Modulated Bankruptcy Level. (2021). Ferrari, Giorgio ; Zhu, Shihao ; Schuhmann, Patrick. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:657. Full description at Econpapers \|\| Download paper
2021	Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2007.08829. Full description at Econpapers \|\| Download paper
2021	Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2021). Munari, Cosimo. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00440-5. Full description at Econpapers \|\| Download paper
2021	Risk measures beyond frictionless markets. (2021). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2111.08294. Full description at Econpapers \|\| Download paper
2021	Numeraire-invariant quadratic hedging and meanâvariance portfolio allocation. (2021). Ern, Ale ; Kallsen, Jan ; Czichowsky, Christoph. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:112612. Full description at Econpapers \|\| Download paper
2021	Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations. (2021). Laredo, Catherine ; Genon-Catalot, Valentine. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:513-548. Full description at Econpapers \|\| Download paper
2021	A deep learning algorithm for optimal investment strategies. (2021). Gim, Daeyung ; Park, Hyungbin. In: Papers. RePEc:arx:papers:2101.12387. Full description at Econpapers \|\| Download paper
2021	Duality theory for robust utility maximisation. (2021). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00455-6. Full description at Econpapers \|\| Download paper
2021	An Axiomatic Foundation for the Expected Shortfall. (2021). Zitikis, Riardas ; Wang, Ruodu. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1413-1429. Full description at Econpapers \|\| Download paper
2021	On the elicitability of range value at risk. (2021). Johanna, Ziegel ; Tobias, Fissler. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:38:y:2021:i:1-2:p:25-46:n:3. Full description at Econpapers \|\| Download paper
2021	Bayes risk, elicitability, and the Expected Shortfall. (2021). Wang, Qiuqi ; Mao, Tiantian ; Embrechts, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1190-1217. Full description at Econpapers \|\| Download paper
2021	Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. Full description at Econpapers \|\| Download paper
2021	Optimal pairs trading with dynamic mean-variance objective. (2021). Siu, Tak Kuen ; Yu, Feng-Hui ; Gu, Jia-Wen ; Zhu, Dong-Mei ; Ching, Wai-Ki. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:94:y:2021:i:1:d:10.1007_s00186-021-00751-z. Full description at Econpapers \|\| Download paper
2021	Ordering and Inequalities for Mixtures on Risk Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Papers. RePEc:arx:papers:2007.12338. Full description at Econpapers \|\| Download paper
2021	Generalized BSDEs with random time horizon in a progressively enlarged filtration. (2021). Aksamit, Anna ; Rutkowski, Marek ; Li, Libo. In: Papers. RePEc:arx:papers:2105.06654. Full description at Econpapers \|\| Download paper
2021	Reflected backward stochastic differential equations under stopping with an arbitrary random time. (2021). Choulli, Tahir ; Alsheyab, Safa. In: Papers. RePEc:arx:papers:2107.11896. Full description at Econpapers \|\| Download paper
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2021	Convergence of optimal expected utility for a sequence of binomial models. (2021). Schachermayer, Walter ; Hubalek, Friedrich. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1315-1331. Full description at Econpapers \|\| Download paper
2021	A General Approach for Parisian Stopping Times under Markov Processes. (2021). Li, Lingfei ; Zhang, Gongqiu. In: Papers. RePEc:arx:papers:2107.06605. Full description at Econpapers \|\| Download paper
2021	Dynamic Default Contagion in Interbank Systems. (2020). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2010.15254. Full description at Econpapers \|\| Download paper
2021	The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623. Full description at Econpapers \|\| Download paper
2021	On the optimal control of interbank contagion in the euro area banking system. (2021). Kok, Christoffer ; Fukker, Gabor . In: Working Paper Series. RePEc:ecb:ecbwps:20212554. Full description at Econpapers \|\| Download paper
2021	Climate risk and financial stability in the network of banks and investment funds. (2021). Martinez-Jaramillo, Serafin ; Luis , ; Battiston, Stefano ; Roncoroni, Alan. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000309. Full description at Econpapers \|\| Download paper
2021	Interconnected banks and systemically important exposures. (2021). Kok, Christoffer ; Haaj, Grzegorz ; Derrico, Marco ; Battiston, Stefano ; Roncoroni, Alan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921002013. Full description at Econpapers \|\| Download paper
2021	Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk. (2021). Roncalli, Thierry ; Karray-Meziou, Fatma ; Cherief, Amina ; Regnault, Margaux. In: Papers. RePEc:arx:papers:2105.08377. Full description at Econpapers \|\| Download paper
2021	Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk. (2021). Regnault, Margaux ; Karray-Meziou, Fatma ; Cherief, Amina ; Roncalli, Thierry. In: MPRA Paper. RePEc:pra:mprapa:108295. Full description at Econpapers \|\| Download paper
2021	The structure of financial returns. (2021). Wang, King ; Madan, Dilip B. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320300799. Full description at Econpapers \|\| Download paper
2021	Conditions for bubbles to arise under heterogeneous beliefs. (2020). Park, Hyungbin ; Lee, Seunghyun. In: Papers. RePEc:arx:papers:2012.13753. Full description at Econpapers \|\| Download paper
2021	Equilibrium asset pricing with transaction costs. (2021). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-021-00449-4. Full description at Econpapers \|\| Download paper
2021	Liquidity in competitive dealer markets. (2021). Muhlekarbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:827-856. Full description at Econpapers \|\| Download paper
2021	Sustainable Construction and FinancingâAsset-Backed Securitization of Expresswayâs Usufruct with Redeemable Rights. (2021). Wang, Biyue ; Tjia, Linda Yin-Nor ; Zhang, Qiming ; Ersoy, Aksel. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:16:p:9113-:d:614434. Full description at Econpapers \|\| Download paper
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2021	The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Herdegen, Martin ; Hobson, David. In: Papers. RePEc:arx:papers:2107.06593. Full description at Econpapers \|\| Download paper
2021	Proper solutions for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2112.06708. Full description at Econpapers \|\| Download paper
2021	Random concave functions. (2019). Wong, Ting-Kam Leonard ; Baxendale, Peter. In: Papers. RePEc:arx:papers:1910.13668. Full description at Econpapers \|\| Download paper
2021	Open markets. (2021). Kim, Dong Han ; Karatzas, Ioannis. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1111-1161. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2021

Year	Citing document
2021	Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation. (2021). He, Xuedong ; Yu, Xun. In: Papers. RePEc:arx:papers:2105.01829. Full description at Econpapers \|\| Download paper
2021	Risk measures induced by efficient insurance contracts. (2021). Zitikis, Ricardas ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2109.00314. Full description at Econpapers \|\| Download paper
2021	Proper solutions for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2112.06708. Full description at Econpapers \|\| Download paper
2021	Consistent investment of sophisticated rank?dependent utility agents in continuous time. (2021). Yu, Xun ; Jin, Hanqing ; Hu, Ying. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:1056-1095. Full description at Econpapers \|\| Download paper
2021	Optimal stopping under model ambiguity: A time?consistent equilibrium approach. (2021). Yu, Xiang ; Huang, Yujui. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:979-1012. Full description at Econpapers \|\| Download paper
2021	In memoriam: Mark H. A. Davis and his contributions to mathematical finance. (2021). Zariphopoulou, Thaleia ; Oboj, Jan. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1099-1110. Full description at Econpapers \|\| Download paper
2021	Optimal reinsurance under the ?-maxmin mean-variance criterion. (2021). Li, Bin ; Zhang, Liming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:225-239. Full description at Econpapers \|\| Download paper
2021	A refined measure of conditional maximum drawdown. (2021). Rossello, Damiano ; lo Cascio, Silvestro. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:4:d:10.1057_s41283-021-00081-8. Full description at Econpapers \|\| Download paper
2021	CBI-time-changed LÃ©vy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:14/2021. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469. Full description at Econpapers \|\| Download paper
2020	Double 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. Full description at Econpapers \|\| Download paper
2020	The Hansen ratio in mean--variance portfolio theory. (2020). Vcern, Alevs. In: Papers. RePEc:arx:papers:2007.15980. Full description at Econpapers \|\| Download paper
2020	Detecting and repairing arbitrage in traded option prices. (2020). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2008.09454. Full description at Econpapers \|\| Download paper
2020	Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2020). Munari, Cosimo. In: Papers. RePEc:arx:papers:2009.04151. Full description at Econpapers \|\| Download paper
2020	Convergence of Optimal Expected Utility for a Sequence of Binomial Models. (2020). Schachermayer, Walter ; Hubalek, Friedrich. In: Papers. RePEc:arx:papers:2009.09751. Full description at Econpapers \|\| Download paper
2020	Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Horst, Ulrich ; Fu, Guanxing ; Xia, Xiaonyu. In: Papers. RePEc:arx:papers:2011.05589. Full description at Econpapers \|\| Download paper
2020	Price formation and optimal trading in intraday electricity markets with a major player. (2020). Tankov, Peter ; Tinsi, Laura. In: Papers. RePEc:arx:papers:2011.07655. Full description at Econpapers \|\| Download paper
2020	An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625. Full description at Econpapers \|\| Download paper
2020	A Continuous-Time Model of Financial Clearing. (2020). Sonin, Konstantin. In: Working Papers. RePEc:bfi:wpaper:2020-101. Full description at Econpapers \|\| Download paper
2020	Optimal 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. Full description at Econpapers \|\| Download paper
2020	Semimartingale theory of monotone meanÃ¢â¬âvariance portfolio allocation. (2020). ÃÅernÃÂ½, AleÃÂ¡. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1168-1178. Full description at Econpapers \|\| Download paper
2020	Dividend 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. Full description at Econpapers \|\| Download paper
2020	A Continuous-Time Model of Financial Clearing. (2020). Sonin, Konstantin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15117. Full description at Econpapers \|\| Download paper
2020	Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time. (2020). Jin, Zhuo ; Zhou, Zhou. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:100-108. Full description at Econpapers \|\| Download paper
2020	Empirical analysis and forecasting of multiple yield curves. (2020). Lutkebohmert, Eva ; Gerhart, Christoph. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:59-78. Full description at Econpapers \|\| Download paper
2020	Optimal stopping problems for running minima with positive discounting rates. (2020). Gapeev, Pavel V. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105849. Full description at Econpapers \|\| Download paper
2020	Good-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. Full description at Econpapers \|\| Download paper
2020	Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player. (2020). Tinsi, Laura ; Tankov, Peter ; Feron, Olivier. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:133-:d:457902. Full description at Econpapers \|\| Download paper
2020	A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics. (2020). Szolgyenyi, Michaela ; Steinicke, Alexander ; Kremsner, Stefan. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:136-:d:459366. Full description at Econpapers \|\| Download paper
2020	American Step Options. (2019). Moraux, Franck ; Abdou, Souleymane Laminou ; Detemple, Jerome ; De Temple, Jerome. In: Post-Print. RePEc:hal:journl:halshs-02283374. Full description at Econpapers \|\| Download paper
2020	Utility Maximization with Proportional Transaction Costs Under Model Uncertainty. (2020). Yu, Xiang ; Tan, Xiaolu ; Deng, Shuoqing. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:4:p:1210-1236. Full description at Econpapers \|\| Download paper
2020	Network Risk in the European Sovereign CDS Market. (2020). Todorova, Zornitsa. In: The Review of Finance and Banking. RePEc:rfb:journl:v:12:y:2020:i:2:p:137-154. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	Stacked Monte Carlo for option pricing. (2019). Oumgari, Mugad ; Malone, Emma R ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1903.10795. Full description at Econpapers \|\| Download paper
2019	Mertons portfolio problem with power utility under Volterra Heston model. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1905.05371. Full description at Econpapers \|\| Download paper
2019	Decomposition 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. Full description at Econpapers \|\| Download paper
2019	A simple approach to dual representations of systemic risk measures. (2019). Munari, Cosimo ; Koch-Medina, Pablo ; Arduca, Maria. In: Papers. RePEc:arx:papers:1906.10933. Full description at Econpapers \|\| Download paper
2019	Elicitability and Identifiability of Systemic Risk Measures. (2019). Rudloff, Birgit ; Hlavinov, Jana ; Fissler, Tobias. In: Papers. RePEc:arx:papers:1907.01306. Full description at Econpapers \|\| Download paper
2019	Markovian lifts of positive semidefinite affine Volterra type processes. (2019). Teichmann, Josef ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1907.01917. Full description at Econpapers \|\| Download paper
2019	Systemic Risk and Heterogeneous Mean Field Type Interbank Network. (2019). Sun, Li-Hsien. In: Papers. RePEc:arx:papers:1907.03082. Full description at Econpapers \|\| Download paper
2019	Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972. Full description at Econpapers \|\| Download paper
2019	Moment constrained optimal dividends: precommitment \& consistent planning. (2019). Lindensjo, Kristoffer ; Christensen, Soren. In: Papers. RePEc:arx:papers:1909.10749. Full description at Econpapers \|\| Download paper
2019	Infinite dimensional polynomial processes. (2019). Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1911.02614. Full description at Econpapers \|\| Download paper
2019	The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969. Full description at Econpapers \|\| Download paper
2019	Open Markets. (2019). Kim, Donghan. In: Papers. RePEc:arx:papers:1912.13110. Full description at Econpapers \|\| Download paper
2019	Alternative trading strategies to beat Ã¢â¬Åbuy-and-holdÃ¢â¬Â. (2019). Kevin, Ka Kwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119304108. Full description at Econpapers \|\| Download paper
2019	The Redesigning of Tires and the Recycling Process to Maintain an Efficient Circular Economy. (2019). Dobrescu, Tiberiu ; Dobrot, Gabriela ; Mohora, Cristina . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:19:p:5204-:d:269854. Full description at Econpapers \|\| Download paper
2019	Moment explosions in the rough Heston model. (2019). Gerhold, Stefan ; Pinter, Arpad ; Gerstenecker, Christoph. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00267-6. Full description at Econpapers \|\| Download paper
2019	Markovian lifts of positive semidefinite affine Volterra-type processes. (2019). Cuchiero, Christa ; Teichmann, Josef. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00268-5. Full description at Econpapers \|\| Download paper
2019	A multi-asset investment and consumption problem with transaction costs. (2019). , Alex ; Lex, A ; Alex, ; Hobson, David ; Zhu, Yeqi. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00391-6. Full description at Econpapers \|\| Download paper
2019	Affine 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. Full description at Econpapers \|\| Download paper
2019	Duality 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. Full description at Econpapers \|\| Download paper
2019	Multi-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. Full description at Econpapers \|\| Download paper
2019	Systemic 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. Full description at Econpapers \|\| Download paper
2019	Dynamic 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. Full description at Econpapers \|\| Download paper
2019	Multiple Yield Curve Modelling with CBI Processes. (2019). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:19/2019. Full description at Econpapers \|\| Download paper
2019	RATIONAL 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. Full description at Econpapers \|\| Download paper
2019	THE 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. Full description at Econpapers \|\| Download paper
2019	BAYESIAN 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. Full description at Econpapers \|\| Download paper
2019	SWING 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. Full description at Econpapers \|\| Download paper
2019	PRICING 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	A subordinated CIR intensity model with application to Wrong-Way risk CVA. (2018). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1801.05673. Full description at Econpapers \|\| Download paper
2018	Robust utility maximization in markets with transaction costs. (2018). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:1803.04213. Full description at Econpapers \|\| Download paper
2018	Arbitrage-Free Pricing of Game Options in Nonlinear Markets. (2018). Rutkowski, Marek ; Kim, Edward ; Nie, Tianyang. In: Papers. RePEc:arx:papers:1807.05448. Full description at Econpapers \|\| Download paper
2018	Small-time moderate deviations for the randomised Heston model. (2018). Shi, Fangwei ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1808.03548. Full description at Econpapers \|\| Download paper
2018	A 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. Full description at Econpapers \|\| Download paper
2018	Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (2018). Brigo, Damiano ; Vrins, Frederic. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164. Full description at Econpapers \|\| Download paper
2018	The 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. Full description at Econpapers \|\| Download paper
2018	Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi ; Czichowsky, Christoph Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85230. Full description at Econpapers \|\| Download paper
2018	Hedge or Rebalance: Optimal Risk Management with Transaction Costs. (2018). Malamud, Semyon ; Kassibrakis, Serge ; Gallien, Florent. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:112-:d:174200. Full description at Econpapers \|\| Download paper
2018	Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi ; Czichowsky, Christoph. In: Post-Print. RePEc:hal:journl:hal-02373296. Full description at Econpapers \|\| Download paper
2018	Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi ; Czichowsky, Christoph. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0351-5. Full description at Econpapers \|\| Download paper
2018	A 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. Full description at Econpapers \|\| Download paper
2018	LÃâ°VYÃ¢â¬âVASICEK 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. Full description at Econpapers \|\| Download paper
2018
2018

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	80	2607
2	Finance and Stochastics / Springer	51	313
3	Insurance: Mathematics and Economics / Elsevier	52	279
4	European Journal of Operational Research / Elsevier	121	239
5	Mathematical Finance / Wiley Blackwell	67	220
6	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	29	175
7	Stochastic Processes and their Applications / Elsevier	44	164
8			131
9	Risks / MDPI	15	125
10	Working Papers / HAL	56	125
11	Annals of Operations Research / Springer	46	118