Citation analysis for Finance and Stochastics / Springer

Citation Profile [Updated: 2024-03-05 07:42:34]

5 Years H Index

Impact Factor (IF)

1.15

5 Years IF

1.32

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
1996	0	0.25	0.75	0	4	4	71		3	0		0			0		0	0.12
1997	0	0.24	0.6	0	16	20	658	12	15	4		4		5	41.7	12	0.75	0.11
1998	0.65	0.28	0.39	0.65	21	41	631	16	31	20	13	20	13		0	2	0.1	0.13
1999	0.54	0.31	0.45	0.51	25	66	592	28	61	37	20	41	21		0	3	0.12	0.15
2000	0.41	0.36	0.59	0.56	17	83	418	48	110	46	19	66	37	4	8.3	2	0.12	0.16
2001	0.64	0.38	0.7	0.57	29	112	874	77	188	42	27	83	47	1	1.3	5	0.17	0.17
2002	0.54	0.41	0.63	0.63	38	150	1208	95	283	46	25	108	68	7	7.4	5	0.13	0.21
2004	0.92	0.49	0.94	0.87	29	179	826	169	595	38	35	109	95		0	9	0.31	0.22
2005	0.55	0.51	1.13	0.9	32	211	929	238	833	29	16	113	102	5	2.1	11	0.34	0.23
2006	1.02	0.5	1.05	0.97	35	246	649	259	1092	61	62	128	124	16	6.2	5	0.14	0.22
2007	0.72	0.46	1.03	0.76	27	273	751	281	1373	67	48	134	102	22	7.8	8	0.3	0.2
2008	0.52	0.49	1.12	0.77	24	297	401	328	1705	62	32	123	95	12	3.7	11	0.46	0.23
2009	1.06	0.48	1.26	0.88	23	320	405	399	2107	51	54	147	129	15	3.8	11	0.48	0.24
2010	0.87	0.48	1.3	0.98	24	344	373	445	2553	47	41	141	138	32	7.2	9	0.38	0.21
2011	0.87	0.52	1.25	0.81	29	373	508	461	3018	47	41	133	108	41	8.9	14	0.48	0.24
2012	0.83	0.52	1.24	0.87	30	403	462	497	3517	53	44	127	110	54	10.9	9	0.3	0.22
2013	1.08	0.56	1.44	1	31	434	463	622	4140	59	64	130	130	43	6.9	14	0.45	0.24
2014	0.89	0.55	1.51	1	31	465	464	702	4842	61	54	137	137	66	9.4	21	0.68	0.23
2015	1.13	0.55	1.58	1.12	31	496	334	785	5628	62	70	145	162	74	9.4	11	0.35	0.23
2016	1.29	0.53	1.71	1.14	34	530	286	903	6532	62	80	152	173	72	8	14	0.41	0.21
2017	0.98	0.55	1.67	1.15	33	563	389	940	7472	65	64	157	181	89	9.5	12	0.36	0.21
2018	1.13	0.56	1.53	1.02	31	594	345	906	8378	67	76	160	163	96	10.6	14	0.45	0.24
2019	1.55	0.58	1.44	1.19	30	624	200	896	9274	64	99	160	191	62	6.9	12	0.4	0.23
2020	1.36	0.7	1.46	1.27	30	654	149	958	10232	61	83	159	202	70	7.3	17	0.57	0.33
2021	1.27	0.84	1.48	1.41	25	679	70	1006	11238	60	76	158	223	68	6.8	10	0.4	0.31
2022	1	0.93	1.31	1.33	27	706	41	926	12164	55	55	149	198	71	7.7	16	0.59	0.28
2023	1.15	1.04	1.31	1.32	29	735	9	963	13127	52	60	143	189	62	6.4	8	0.28	0.28

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	2002	Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447. Full description at Econpapers \|\| Download paper	489
2	1997	*LIBOR and swap market models and measures ()*. (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330*. Full description at Econpapers \|\| Download paper	211
3	2006	Generalized deviations in risk analysis. (2006). Uryasev, Stan ; Rockafellar, R. ; Zabarankin, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74. Full description at Econpapers \|\| Download paper	195
4	1998	Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347. Full description at Econpapers \|\| Download paper	163
5	2005	Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561. Full description at Econpapers \|\| Download paper	163
6	2007	The numÃ©raire portfolio in semimartingale financial models. (2007). Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493. Full description at Econpapers \|\| Download paper	156
7	2004	Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Etin, Umut ; Protter, Philip. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341. Full description at Econpapers \|\| Download paper	145
8	2013	Model-independent bounds for option pricesâa mass transport approach. (2013). Henry-Labordere, Pierre ; Beiglbock, Mathias ; Penkner, Friedrich . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501. Full description at Econpapers \|\| Download paper	143
9	2005	Inf-convolution of risk measures and optimal risk transfer. (2005). Barrieu, Pauline ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298. Full description at Econpapers \|\| Download paper	141
10	1999	Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric ; Lions, Pierre-Louis. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers \|\| Download paper	136
11	1997	*From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets ()*. (1997). Olsen, Richard ; Dacorogna, Michel ; Dave, Rakhal R. ; Pictet, Olivier V. ; Guillaume, Dominique M. ; Muller, Ulrich A.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129*. Full description at Econpapers \|\| Download paper	136
12	2005	Local martingales, bubbles and option prices. (2005). Hobson, David ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492. Full description at Econpapers \|\| Download paper	128
13	1999	Hedging and liquidation under transaction costs in currency markets. (1999). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248. Full description at Econpapers \|\| Download paper	125
14	2007	On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Vives, Josep ; Leon, Jorge ; Alos, Elisa. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589. Full description at Econpapers \|\| Download paper	123
15	2002	Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61. Full description at Econpapers \|\| Download paper	119
16	2007	Moment explosions in stochastic volatility models. (2007). Piterbarg, Vladimir ; Andersen, Leif. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50. Full description at Econpapers \|\| Download paper	117
17	2001	A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82. Full description at Econpapers \|\| Download paper	117
18	2004	Vector-valued coherent risk measures. (2004). Jouini, ElyÃÂ¨s ; Touzi, Nizar ; Meddeb, Moncef . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552. Full description at Econpapers \|\| Download paper	106
19	2002	An analysis of a least squares regression method for American option pricing. (2002). Protter, Philip ; Clement, Emmanuelle ; Lamberton, Damien. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471. Full description at Econpapers \|\| Download paper	92
20	2017	On time-inconsistent stochastic control in continuous time. (2017). Murgoci, Agatha ; Khapko, Mariana ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0327-5. Full description at Econpapers \|\| Download paper	90
21	2006	A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330. Full description at Econpapers \|\| Download paper	90
22	1997	Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68. Full description at Econpapers \|\| Download paper	87
23	2011	Robust pricing and hedging of double no-touch options. (2011). Oboj, Jan ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605. Full description at Econpapers \|\| Download paper	84
24	2009	Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; SchÃÂ¶neborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204. Full description at Econpapers \|\| Download paper	84
25	2011	Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654. Full description at Econpapers \|\| Download paper	80
26	2000	Efficient hedging: Cost versus shortfall risk. (2000). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146. Full description at Econpapers \|\| Download paper	79
27	2001	The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341. Full description at Econpapers \|\| Download paper	79
28	2001	Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272. Full description at Econpapers \|\| Download paper	78
29	2004	Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Haussmann, Ulrich ; Sass, Jorn. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577. Full description at Econpapers \|\| Download paper	75
30	2004	Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Shreve, Steven ; Janeek, Karel. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206. Full description at Econpapers \|\| Download paper	74
31	2000	Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Asmussen, Soren ; Taksar, Michael ; jgaard, Bjarne Ho ; Hojgaard, Bjarne. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324. Full description at Econpapers \|\| Download paper	72
32	1999	Quantile hedging. (1999). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273. Full description at Econpapers \|\| Download paper	72
33	2004	An example of indifference prices under exponential preferences. (2004). Zariphopoulou, Thaleia ; Musiela, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239. Full description at Econpapers \|\| Download paper	71
34	1998	Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Soner, Halil Mete ; Barles, Guy . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397. Full description at Econpapers \|\| Download paper	71
35	2002	Optimal capital structure and endogenous default. (2002). Rogers, Leonard ; Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263. Full description at Econpapers \|\| Download paper	69
36	2008	Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244. Full description at Econpapers \|\| Download paper	68
37	2001	Coherent risk measures and good-deal bounds. (2001). Kuchler, Uwe ; Jaschke, Stefan . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200. Full description at Econpapers \|\| Download paper	68
38	2002	Optimal stopping and perpetual options for LÃ©vy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493. Full description at Econpapers \|\| Download paper	67
39	1998	Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Jacod, J. ; Shiryaev, A. N.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273. Full description at Econpapers \|\| Download paper	67
40	1997	*Continuous-time term structure models: Forward measure approach ()*. (1997). Rutkowski, Marek ; Musiela, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291*. Full description at Econpapers \|\| Download paper	65
41	2015	Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Embrechts, Paul ; Wang, Bin. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790. Full description at Econpapers \|\| Download paper	65
42	2002	The cumulant process and Esschers change of measure. (2002). Kallsen, Jan ; Shiryaev, Albert N.. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428. Full description at Econpapers \|\| Download paper	64
43	2010	Representation of the penalty term of dynamic concave utilities. (2010). Peng, Shige ; Delbaen, Freddy ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472. Full description at Econpapers \|\| Download paper	62
44	2001	Applications of Malliavin calculus to Monte-Carlo methods in finance. II. (2001). Lions, Pierre-Louis ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:201-236. Full description at Econpapers \|\| Download paper	61
45	2005	Diversity and relative arbitrage in equity markets. (2005). Fernholz, Robert ; Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27. Full description at Econpapers \|\| Download paper	60
46	2001	The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154. Full description at Econpapers \|\| Download paper	58
47	2001	Fractional Brownian motion, random walks and binary market models. (2001). Sottinen, Tommi. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:343-355. Full description at Econpapers \|\| Download paper	58
48	2012	Polynomial processes and their applications to mathematical finance. (2012). Keller-Ressel, Martin ; Teichmann, Josef ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740. Full description at Econpapers \|\| Download paper	58
49	1998	Perfect option hedging for a large trader. (1998). Frey, Rudiger. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141. Full description at Econpapers \|\| Download paper	56
50	1998	Optimization of consumption with labor income. (1998). el Karoui, Nicole ; Jeanblanc-Picque, Monique. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440. Full description at Econpapers \|\| Download paper	55

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

#	Year	Title	Cited
1	2002	Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447. Full description at Econpapers \|\| Download paper	72
2	2006	Generalized deviations in risk analysis. (2006). Uryasev, Stan ; Rockafellar, R. ; Zabarankin, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74. Full description at Econpapers \|\| Download paper	36
3	2007	On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Vives, Josep ; Leon, Jorge ; Alos, Elisa. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589. Full description at Econpapers \|\| Download paper	33
4	2017	On time-inconsistent stochastic control in continuous time. (2017). Murgoci, Agatha ; Khapko, Mariana ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0327-5. Full description at Econpapers \|\| Download paper	30
5	2013	Model-independent bounds for option pricesâa mass transport approach. (2013). Henry-Labordere, Pierre ; Beiglbock, Mathias ; Penkner, Friedrich . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501. Full description at Econpapers \|\| Download paper	29
6	2018	The microstructural foundations of leverage effect and rough volatility. (2018). Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Euch, Omar. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z. Full description at Econpapers \|\| Download paper	27
7	2007	The numÃ©raire portfolio in semimartingale financial models. (2007). Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493. Full description at Econpapers \|\| Download paper	26
8	1998	Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347. Full description at Econpapers \|\| Download paper	25
9	2018	Dynamic programming approach to principalâagent problems. (2018). Cvitanic, Jaksa ; Touzi, Nizar ; Possamai, Dylan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0344-4. Full description at Econpapers \|\| Download paper	23
10	2011	Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654. Full description at Econpapers \|\| Download paper	20
11	2019	Incorporating signals into optimal trading. (2019). Neuman, Eyal ; Lehalle, Charles-Albert. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7. Full description at Econpapers \|\| Download paper	19
12	2005	Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561. Full description at Econpapers \|\| Download paper	19
13	2015	Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Embrechts, Paul ; Wang, Bin. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790. Full description at Econpapers \|\| Download paper	18
14	2017	Hybrid scheme for Brownian semistationary processes. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5. Full description at Econpapers \|\| Download paper	17
15	2014	A theory of Markovian time-inconsistent stochastic control in discrete time. (2014). Bjork, Tomas ; Murgoci, Agatha . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:545-592. Full description at Econpapers \|\| Download paper	16
16	2020	Adapted Wasserstein distances and stability in mathematical finance. (2020). Eder, Manu ; Beiglbock, Mathias ; Bartl, Daniel ; Backhoff-Veraguas, Julio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00426-3. Full description at Econpapers \|\| Download paper	16
17	2008	Optimal capital and risk allocations for law- and cash-invariant convex functions. (2008). Svindland, Gregor ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439. Full description at Econpapers \|\| Download paper	16
18	2001	A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82. Full description at Econpapers \|\| Download paper	15
19	2017	Optimal consumption and investment with EpsteinâZin recursive utility. (2017). Seifried, Frank Thomas ; Kraft, Holger ; Seiferling, Thomas . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0316-0. Full description at Econpapers \|\| Download paper	15
20	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	15
21	2009	Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; SchÃÂ¶neborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204. Full description at Econpapers \|\| Download paper	14
22	2004	Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Haussmann, Ulrich ; Sass, Jorn. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577. Full description at Econpapers \|\| Download paper	14
23	1999	Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric ; Lions, Pierre-Louis. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers \|\| Download paper	14
24	2017	Trading strategies generated by Lyapunov functions. (2017). Ruf, Johannes ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0332-8. Full description at Econpapers \|\| Download paper	13
25	2005	Local martingales, bubbles and option prices. (2005). Hobson, David ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492. Full description at Econpapers \|\| Download paper	13
26	2016	Polynomial diffusions and applications in finance. (2016). Filipovi, Damir ; Larsson, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0304-4. Full description at Econpapers \|\| Download paper	13
27	2005	Inf-convolution of risk measures and optimal risk transfer. (2005). Barrieu, Pauline ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298. Full description at Econpapers \|\| Download paper	12
28	2014	Comparative and qualitative robustness for law-invariant risk measures. (2014). Kratschmer, Volker ; Zahle, Henryk ; Schied, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:271-295. Full description at Econpapers \|\| Download paper	12
29	2020	Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (2020). Angelis, Tiziano. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00407-1. Full description at Econpapers \|\| Download paper	12
30	2017	Consumptionâinvestment optimization with EpsteinâZin utility in incomplete markets. (2017). Xing, Hao. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0297-z. Full description at Econpapers \|\| Download paper	12
31	2008	Optimal lifetime consumption and investment under a drawdown constraint. (2008). Elie, Romuald ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:299-330. Full description at Econpapers \|\| Download paper	12
32	2013	Consumption-portfolio optimization with recursive utility in incomplete markets. (2013). Steffensen, Mogens ; Kraft, Holger ; Seifried, Frank . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:1:p:161-196. Full description at Econpapers \|\| Download paper	11
33	2022	The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00489-4. Full description at Econpapers \|\| Download paper	11
34	1997	*LIBOR and swap market models and measures ()*. (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330*. Full description at Econpapers \|\| Download paper	11
35	2018	Equilibrium returns with transaction costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6. Full description at Econpapers \|\| Download paper	11
36	2015	Taylor approximation of incomplete Radner equilibrium models. (2015). Larsen, Kasper ; Choi, Jin . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:3:p:653-679. Full description at Econpapers \|\| Download paper	11
37	2012	Polynomial processes and their applications to mathematical finance. (2012). Keller-Ressel, Martin ; Teichmann, Josef ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740. Full description at Econpapers \|\| Download paper	11
38	2018	Optimal liquidation under stochastic liquidity. (2018). Frentrup, Peter ; Bilarev, Todor ; Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2. Full description at Econpapers \|\| Download paper	10
39	2002	The cumulant process and Esschers change of measure. (2002). Kallsen, Jan ; Shiryaev, Albert N.. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428. Full description at Econpapers \|\| Download paper	10
40	2017	Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Scotti, Simone ; Ma, Chunhua ; Jiao, Ying. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7. Full description at Econpapers \|\| Download paper	10
41	2014	Beyond cash-additive risk measures: when changing the numÃ©raire fails. (2014). Farkas, Walter ; Koch-Medina, Pablo ; Munari, Cosimo. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:145-173. Full description at Econpapers \|\| Download paper	10
42	2018	Risk measures based on behavioural economics theory. (2018). Cai, Jun ; Mao, Tiantian. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0358-6. Full description at Econpapers \|\| Download paper	9
43	1998	Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Soner, Halil Mete ; Barles, Guy . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397. Full description at Econpapers \|\| Download paper	9
44	2001	Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272. Full description at Econpapers \|\| Download paper	9
45	2018	Robust pricingâhedging dualities in continuous time. (2018). Oboj, Jan ; Hou, Zhaoxu. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9. Full description at Econpapers \|\| Download paper	9
46	2002	Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61. Full description at Econpapers \|\| Download paper	9
47	1998	Optimization of consumption with labor income. (1998). el Karoui, Nicole ; Jeanblanc-Picque, Monique. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440. Full description at Econpapers \|\| Download paper	8
48	2002	An analysis of a least squares regression method for American option pricing. (2002). Protter, Philip ; Clement, Emmanuelle ; Lamberton, Damien. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471. Full description at Econpapers \|\| Download paper	8
49	2020	Term structure modelling for multiple curves with stochastic discontinuities. (2020). Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana ; Fontana, Claudio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5. Full description at Econpapers \|\| Download paper	8
50	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	8

Citing documents used to compute impact factor: 60

Year	Title
2023	Imprecise P-Box Sensitivity Analysis of an Aero-Engine Combustor Performance Simulation Model Considering Correlated Variables. (2023). Luo, Huageng ; Xing, Fei ; Zhang, Baoqiang ; Kong, Lingwei ; Li, Jinhui ; Tang, Hongjie. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:5:p:2362-:d:1084712. Full description at Econpapers \|\| Download paper
2023	Endogenous Network Valuation Adjustment and the Systemic Term Structure in a Dynamic Interbank Model. (2022). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2211.15431. Full description at Econpapers \|\| Download paper
2023	Analysis of optimal portfolios on finite and small-time horizons for a multi-dimensional correlated stochastic volatility model. (2023). Sengupta, Indranil ; Lin, Minglian. In: Papers. RePEc:arx:papers:2302.06778. Full description at Econpapers \|\| Download paper
2023	Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Papers. RePEc:arx:papers:2311.15635. Full description at Econpapers \|\| Download paper
2023	Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications. (2021). Wang, Yuwei ; Strub, Moris S ; Liang, Gechun. In: Papers. RePEc:arx:papers:2110.08900. Full description at Econpapers \|\| Download paper
2023	Optimal Investment in Defined Contribution Pension Schemes with Forward Utility Preferences. (2023). Chong, Wing Fung ; Hin, Kenneth Tsz. In: Papers. RePEc:arx:papers:2303.08462. Full description at Econpapers \|\| Download paper
2023	Can grid-tied solar photovoltaics lead to residential heating electrification? A techno-economic case study in the midwestern U.S.. (2023). Pearce, Joshua M ; Sommerfeldt, Nelson. In: Applied Energy. RePEc:eee:appene:v:336:y:2023:i:c:s0306261923002027. Full description at Econpapers \|\| Download paper
2023	Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Xu, Huifu ; Wang, Wei. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x. Full description at Econpapers \|\| Download paper
2023	Deep stochastic optimization in finance. (2023). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00074-6. Full description at Econpapers \|\| Download paper
2023	Deep learning algorithms for hedging with frictions. (2023). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-023-00075-z. Full description at Econpapers \|\| Download paper
2023	Mean field portfolio games. (2023). Zhou, Chao ; Fu, Guanxing. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00492-9. Full description at Econpapers \|\| Download paper
2023
2023	Joint calibration to SPX and VIX options with signature-based models. (2023). Svaluto-Ferro, Sara ; Moller, Janka ; Gazzani, Guido ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2301.13235. Full description at Econpapers \|\| Download paper
2023	Signature SDEs from an affine and polynomial perspective. (2023). Teichmann, Josef ; Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2302.01362. Full description at Econpapers \|\| Download paper
2023	Separating Times for One-Dimensional Diffusions. (2022). Urusov, Mikhail ; Criens, David. In: Papers. RePEc:arx:papers:2211.06042. Full description at Econpapers \|\| Download paper
2023	Pitmans Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers. (2023). Tsuzuki, Yukihiro. In: Papers. RePEc:arx:papers:2303.13956. Full description at Econpapers \|\| Download paper
2023	Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion markets. (2023). Urusov, Mikhail ; Criens, David. In: Papers. RePEc:arx:papers:2306.11470. Full description at Econpapers \|\| Download paper
2023	Robust utility maximization with nonlinear continuous semimartingales. (2022). Niemann, Lars ; Criens, David. In: Papers. RePEc:arx:papers:2206.14015. Full description at Econpapers \|\| Download paper
2023	The continuous-time pre-commitment KMM problem in incomplete markets. (2022). Song, Yilun ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2210.13833. Full description at Econpapers \|\| Download paper
2023	Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes. (2022). Huwyler, Raphael ; Czichowsky, Christoph. In: Papers. RePEc:arx:papers:2211.00532. Full description at Econpapers \|\| Download paper
2023	Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30. Full description at Econpapers \|\| Download paper
2023	Markov decision processes under model uncertainty. (2023). Iki, Mario ; Sester, Julian ; Neufeld, Ariel. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:618-665. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	Sensitivity of robust optimization problems under drift and volatility uncertainty. (2023). Neufeld, Ariel ; Bartl, Daniel ; Park, Kyunghyun. In: Papers. RePEc:arx:papers:2311.11248. Full description at Econpapers \|\| Download paper
2023	Transaction time models in multi-state life insurance. (2022). Sandqvist, Oliver Lunding ; Furrer, Christian ; Buchardt, Kristian. In: Papers. RePEc:arx:papers:2209.06902. Full description at Econpapers \|\| Download paper
2023	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
2023	Distributionally robust risk evaluation with causality constraint and structural information. (2022). Han, Bingyan. In: Papers. RePEc:arx:papers:2203.10571. Full description at Econpapers \|\| Download paper
2023	Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach. (2023). Wong, Hoi Ying ; Pun, Chi Seng ; Han, Bingyan. In: Papers. RePEc:arx:papers:2306.16982. Full description at Econpapers \|\| Download paper
2023	Simultaneous Optimal Transport. (2022). Zhang, Zhenyuan ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2201.03483. Full description at Econpapers \|\| Download paper
2023	A Framework for Measures of Risk under Uncertainty. (2021). Wang, Ruodu ; Liu, Yang ; Fadina, Tolulope. In: Papers. RePEc:arx:papers:2110.10792. Full description at Econpapers \|\| Download paper
2023	Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2211.00520. Full description at Econpapers \|\| Download paper
2023	Dynamic star-shaped risk measures and $g$-expectations. (2023). Wang, Xunlian ; Tian, Dejian. In: Papers. RePEc:arx:papers:2305.02481. Full description at Econpapers \|\| Download paper
2023	A fast Monte Carlo scheme for additive processes and option pricing. (2021). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2112.08291. Full description at Econpapers \|\| Download paper
2023	A fast Monte Carlo scheme for additive processes and option pricing. (2023). Baviera, Roberto ; Azzone, Michele. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00463-1. Full description at Econpapers \|\| Download paper
2023	Is (independent) subordination relevant?. (2023). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2307.08628. Full description at Econpapers \|\| Download paper
2023	Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models. (2023). Walter, Niklas ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2309.14784. Full description at Econpapers \|\| Download paper
2023	Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis. (2022). Kratsios, Anastasis ; Livieri, Giulia ; Galimberti, Luca. In: Papers. RePEc:arx:papers:2210.13300. Full description at Econpapers \|\| Download paper
2023	Impact of financial environment on household risk financial asset selection: A micro perspective. (2023). Khalid, Fahad ; Xiaoyang, MA ; Xiaoyi, Zhang ; Xiaoli, Gan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:137-145. Full description at Econpapers \|\| Download paper
2023	On Parametric Optimal Execution and Machine Learning Surrogates. (2022). Voss, Moritz ; Ludkovski, Mike ; Chen, Tao. In: Papers. RePEc:arx:papers:2204.08581. Full description at Econpapers \|\| Download paper
2023	A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2207.00446. Full description at Econpapers \|\| Download paper
2023	Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. (2022). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2206.03772. Full description at Econpapers \|\| Download paper
2023	Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z. Full description at Econpapers \|\| Download paper
2023	Calibration of the Bass Local Volatility model. (2023). Marini, Antonio ; Acciaio, Beatrice ; Pammer, Gudmund. In: Papers. RePEc:arx:papers:2311.14567. Full description at Econpapers \|\| Download paper
2023	Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective. (2022). Vadori, Nelson. In: Papers. RePEc:arx:papers:2203.06865. Full description at Econpapers \|\| Download paper
2023	Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. (2022). 'Alvaro Cartea, ; Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2206.14666. Full description at Econpapers \|\| Download paper
2023	Generative Ornstein-Uhlenbeck Markets via Geometric Deep Learning. (2023). Hyndman, Cody ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2302.09176. Full description at Econpapers \|\| Download paper
2023	D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556. Full description at Econpapers \|\| Download paper
2023	Machine learning for option pricing: an empirical investigation of network architectures. (2023). Papazoglou-Hennig, Jonas ; Papapantoleon, Antonis ; van Mieghem, Laurens. In: Papers. RePEc:arx:papers:2307.07657. Full description at Econpapers \|\| Download paper
2023	Strategic trading with information acquisition and long-memory stochastic liquidity. (2023). Kennedy, Adrian Patrick ; Ma, Guiyuan ; Li, Xiaolong ; Han, Jinhui. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:480-495. Full description at Econpapers \|\| Download paper
2023	On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538. Full description at Econpapers \|\| Download paper
2023	Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. (2023). Zhang, Qinyi ; Yu, Xiang ; Li, Xun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:25-45. Full description at Econpapers \|\| Download paper
2023	An extended Merton problem with relaxed benchmark tracking. (2023). Yu, Xiang ; Huang, Yijie ; Bo, Lijun. In: Papers. RePEc:arx:papers:2304.10802. Full description at Econpapers \|\| Download paper
2023	Optimal ratcheting of dividend payout under Brownian motion surplus. (2023). Xu, Zuo Quan ; Guan, Chonghu. In: Papers. RePEc:arx:papers:2308.15048. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	Optimal dividend payout with path-dependent drawdown constraint. (2023). Fan, Jiacheng ; Guan, Chonghu ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2312.01668. Full description at Econpapers \|\| Download paper
2023	Evolutionary finance: a model with endogenous asset payoffs. (2023). Vanaei, M J ; Hens, T ; Evstigneev, I V. In: Journal of Bioeconomics. RePEc:kap:jbioec:v:25:y:2023:i:2:d:10.1007_s10818-023-09335-9. Full description at Econpapers \|\| Download paper
2023	The fundamental theorem of asset pricing with and without transaction costs. (2023). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571. Full description at Econpapers \|\| Download paper
2023	Simulation of a L\evy process, its extremum, and hitting time of the extremum via characteristic functions. (2023). Levendorskii, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2312.03929. Full description at Econpapers \|\| Download paper
2023	Reconciling rough volatility with jumps. (2023). de Carvalho, Nathan ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2303.07222. Full description at Econpapers \|\| Download paper
2023	Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-04119787. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2023

Year	Citing document
2023	An elementary proof of the dual representation of Expected Shortfall. (2023). Munari, Cosimo ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2306.14506. Full description at Econpapers \|\| Download paper
2023	Explicit Computations for Delayed Semistatic Hedging. (2023). Zuk, OR ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:2308.10550. Full description at Econpapers \|\| Download paper
2023	Optimal dividend strategies for a catastrophe insurer. (2023). Azcue, Pablo ; Albrecher, Hansjoerg ; Muler, Nora. In: Papers. RePEc:arx:papers:2311.05781. Full description at Econpapers \|\| Download paper
2023	Dynamic portfolio selection for nonlinear law-dependent preferences. (2023). Xia, Jianming ; Liang, Zongxia ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2311.06745. Full description at Econpapers \|\| Download paper
2023	Delayed Semi-static Hedging in the Continuous Time Bachelier Model. (2023). Dolinsky, Yan. In: Papers. RePEc:arx:papers:2311.17270. Full description at Econpapers \|\| Download paper
2023	Optimal dividend payout with path-dependent drawdown constraint. (2023). Fan, Jiacheng ; Guan, Chonghu ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2312.01668. Full description at Econpapers \|\| Download paper
2023	Detecting Toxic Flow. (2023). Duran-Martin, Gerardo ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2312.05827. Full description at Econpapers \|\| Download paper
2023	The infinite-horizon investmentâconsumption problem for EpsteinâZin stochastic differential utility. II: Existence, uniqueness and verification for ? ? ( 0 , 1 ) $\vartheta \in (0,1)$. (2023). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00496-5. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	Reinforcement Learning with Dynamic Convex Risk Measures. (2022). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2112.13414. Full description at Econpapers \|\| Download paper
2022	Representation for martingales living after a random time with applications. (2022). Alharbi, Ferdoos ; Choulli, Tahir. In: Papers. RePEc:arx:papers:2203.11072. Full description at Econpapers \|\| Download paper
2022	Economic Networks: Theory and Computation. (2022). Stachurski, John ; Sargent, Thomas J. In: Papers. RePEc:arx:papers:2203.11972. Full description at Econpapers \|\| Download paper
2022	Log-optimal portfolio after a random time: Existence, description and sensitivity analysis. (2022). Choulli, Tahir ; Alharbi, Ferdoos. In: Papers. RePEc:arx:papers:2204.03798. Full description at Econpapers \|\| Download paper
2022	Ensemble learning for portfolio valuation and risk management. (2022). Filipovi, Damir ; Boudabsa, Lotfi. In: Papers. RePEc:arx:papers:2204.05926. Full description at Econpapers \|\| Download paper
2022	A mean field game approach to equilibrium consumption under external habit formation. (2022). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2206.13341. Full description at Econpapers \|\| Download paper
2022	Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions. (2022). Pakkanen, Mikko S ; Wiese, Magnus ; Buehler, Hans ; Wood, Ben ; Murray, Phillip. In: Papers. RePEc:arx:papers:2207.07467. Full description at Econpapers \|\| Download paper
2022	Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2211.00447. Full description at Econpapers \|\| Download paper
2022	Weak error estimates for rough volatility models. (2022). Wagenhofer, Thomas ; Salkeld, William ; Friz, Peter K. In: Papers. RePEc:arx:papers:2212.01591. Full description at Econpapers \|\| Download paper
2022	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2212.08297. Full description at Econpapers \|\| Download paper
2022	Portfolio choice with return predictability and small trading frictions. (2022). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000694. Full description at Econpapers \|\| Download paper
2022	Extension of as-if-Markov modeling to scaled payments. (2022). Furrer, Christian ; Christiansen, Marcus C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:288-306. Full description at Econpapers \|\| Download paper
2022	Explicit description of all deflators for market models under random horizon with applications to NFLVR. (2022). Yansori, Sina ; Choulli, Tahir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:230-264. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03835948. Full description at Econpapers \|\| Download paper
2022	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03902513. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140. Full description at Econpapers \|\| Download paper
2021	Measure-valued affine and polynomial diffusions. (2021). di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa ; Svaluto-Ferro, Sara. In: Papers. RePEc:arx:papers:2112.15129. Full description at Econpapers \|\| Download paper
2021	. Full description at Econpapers \|\| Download paper
2021	. Full description at Econpapers \|\| Download paper
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167. Full description at Econpapers \|\| Download paper
2021	Nonlinear expectations of random sets. (2021). Muhlemann, Anja ; Molchanov, Ilya. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00442-3. Full description at Econpapers \|\| Download paper
2021	Set-valued risk measures as backward stochastic difference inclusions and equations. (2021). Feinstein, Zachary ; Ararat, Ain. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00445-0. Full description at Econpapers \|\| Download paper
2021	Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach. (2021). Platen, Eckhard ; Grasselli, Martino ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:06/2021. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	Cournot-Nash equilibrium and optimal transport in a dynamic setting. (2020). Jia, Junchao ; Backhoff-Veraguas, Julio ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2002.08786. Full description at Econpapers \|\| Download paper
2020	Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers \|\| Download paper
2020	Variance Contracts. (2020). Zhuang, Sheng Chao ; Yu, Xun ; Chi, Yichun. In: Papers. RePEc:arx:papers:2008.07103. Full description at Econpapers \|\| Download paper
2020	Power mixture forward performance processes. (2020). Sircar, Ronnie ; Avanesyan, Levon. In: Papers. RePEc:arx:papers:2012.10847. 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	A term structure model for dividends and interest rates. (2020). Willems, Sander ; Filipovi, Damir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1461-1496. Full description at Econpapers \|\| Download paper
2020	A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf495. Full description at Econpapers \|\| Download paper
2020	Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776. Full description at Econpapers \|\| Download paper
2020	How safe are european safe bonds? An analysis from the perspective of modern credit risk models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620302016. 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	Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework. (2020). Schmidt, Thorsten ; Gumbel, Sandrine. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:50-:d:361196. 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	Filtration shrinkage, the structure of deflators, and failure of market completeness. (2020). Ruf, Johannes ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00435-2. Full description at Econpapers \|\| Download paper
2020	Extended weak convergence and utility maximisation with proportional transaction costs. (2020). Bayraktar, Erhan ; Dolinsky, Yan ; Dolinskyi, Leonid. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00437-0. Full description at Econpapers \|\| Download paper
2020	Optimal reduction of public debt under partial observation of the economic growth. (2020). Ferrari, Giorgio ; Ceci, Claudia ; Callegaro, Giorgia. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00438-z. Full description at Econpapers \|\| Download paper
2020	Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data. (2020). Mancino, Maria Elvira ; Toscano, G ; Scotti, S. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:4:p:288-316. Full description at Econpapers \|\| Download paper
2020	A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1156. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	87	2309
2	Finance and Stochastics / Springer	53	333
3	Mathematical Finance / Wiley Blackwell	70	193
4	Stochastic Processes and their Applications / Elsevier	46	178
5	Insurance: Mathematics and Economics / Elsevier	55	142
6	European Journal of Operational Research / Elsevier	130	125
7			105
8	Post-Print / HAL	204	81
9	Working Papers / HAL	59	77
10	Risks / MDPI	17	63
11	Center for Mathematical Economics Working Papers / Center for Mathematical Economics, Bielefeld University	16	54