Applied Mathematical Finance

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Latest citations and documents published in this series in EconPapers.

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.17 0 0 0 0.08 1997 0.2 11 6 0 0 0.08 1998 0.23 12 13 11 0 0.1 1999 0.04 0.32 15 5 23 1 100 0.16 2000 0.11 0.43 14 15 27 3 66.7 0.19 2001 0.07 0.39 13 4 29 2 50 1 0.08 0.17 2002 0.19 0.42 16 8 27 5 0 0.2 2003 0.47 16 16 29 0 0.22 2004 0.09 0.51 15 2 32 3 0 1 0.07 0.23
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in 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 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:
Immediacy Index:
Documents published:
Citations received:

Most cited documents in this series:

(1) RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32 Volatility skews and extensions of the Libor market model (2000).
Cited: 13 times.

(2) RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335 ().
Cited: 9 times.

(3) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82 General Black-Scholes models accounting for increased market volatility from hedging strategies (1998).
Cited: 8 times.

(4) RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52 The Dynamic Interaction of Speculation and Diversification (2005).
Cited: 5 times.

(5) RePEc:taf:apmtfi:v:13:y:2006:i:1:p:39-59 A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models (2006).
Cited: 4 times.

(6) RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324 On arbitrage-free pricing of weather derivatives based on fractional Brownian motion (2003).
Cited: 4 times.

(7) RePEc:taf:apmtfi:v:13:y:2006:i:1:p:1-18 A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model (2006).
Cited: 4 times.

(8) RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85 Bivariate option pricing with copulas (2002).
Cited: 4 times.

(9) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18 Optimal execution with nonlinear impact functions and trading-enhanced risk (2003).
Cited: 3 times.

(10) RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336 A note on arbitrage-free pricing of forward contracts in energy markets (2003).
Cited: 3 times.

(11) RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64 Calibrating volatility surfaces via relative-entropy minimization (1997).
Cited: 3 times.

(12) RePEc:taf:apmtfi:v:6:y:1999:i:2:p:87-106 A finite element approach to the pricing of discrete lookbacks with stochastic volatility (1999).
Cited: 3 times.

(13) RePEc:taf:apmtfi:v:8:y:2001:i:2:p:79-95 Liquidity and credit risk (2001).
Cited: 2 times.

(14) RePEc:taf:apmtfi:v:5:y:1998:i:2:p:107-116 Optimal exercise boundary for an American put option (1998).
Cited: 2 times.

(15) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:49-74 A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach (2003).
Cited: 2 times.

(16) RePEc:taf:apmtfi:v:4:y:1997:i:4:p:181-199 Interest rate futures: estimation of volatility parameters in an arbitrage-free framework (1997).
Cited: 2 times.

(17) RePEc:taf:apmtfi:v:11:y:2004:i:3:p:259-282 Calculating hedge fund risk: the draw down and the maximum draw down (2004).
Cited: 1 times.

(18) RePEc:taf:apmtfi:v:6:y:1999:i:3:p:197-208 Optimal hedging strategies for misspecified asset price models (1999).
Cited: 1 times.

(19) RePEc:taf:apmtfi:v:4:y:1997:i:1:p:21-36 Misspecified asset price models and robust hedging strategies (1997).
Cited: 1 times.

(20) RePEc:taf:apmtfi:v:8:y:2001:i:4:p:209-233 valuation of options on joint minima and maxima (2001).
Cited: 1 times.

(21) RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163 A framework for valuing corporate securities (1998).
Cited: 1 times.

(22) RePEc:taf:apmtfi:v:8:y:2001:i:1:p:49-77 A numerical PDE approach for pricing callable bonds (2001).
Cited: 1 times.

(23) RePEc:taf:apmtfi:v:10:y:2003:i:2:p:91-119 Tracking error decision rules and accumulated wealth (2003).
Cited: 1 times.

(24) RePEc:taf:apmtfi:v:9:y:2002:i:3:p:143-161 A model of speculative behaviour with a strange attractor (2002).
Cited: 1 times.

(25) RePEc:taf:apmtfi:v:7:y:2000:i:1:p:33-60 Unstructured meshing for two asset barrier options (2000).
Cited: 1 times.

(26) RePEc:taf:apmtfi:v:10:y:2003:i:2:p:121-147 Stock options as barrier contingent claims (2003).
Cited: 1 times.

(27) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:1-15 Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism (1998).
Cited: 1 times.

(28) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60 Basics of electricity derivative pricing in competitive markets (2002).
Cited: 1 times.

(29) RePEc:taf:apmtfi:v:6:y:1999:i:3:p:209-232 Phenomenology of the interest rate curve (1999).
Cited: 1 times.

(30) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47 Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory (2003).
Cited: 1 times.

(31) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20 On modelling and pricing weather derivatives (2002).
Cited: 1 times.

(32) RePEc:taf:apmtfi:v:11:y:2004:i:2:p:125-146 Modelling credit default swap spreads by means of normal mixtures and copulas (2004).
Cited: 1 times.

(33) RePEc:taf:apmtfi:v:13:y:2006:i:4:p:309-331 An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling (2006).
Cited: 1 times.

(34) RePEc:taf:apmtfi:v:7:y:2000:i:2:p:115-125 Estimating fees for managed futures: a continuous-time model with a knockout feature (2000).
Cited: 1 times.

(35) RePEc:taf:apmtfi:v:10:y:2003:i:2:p:163-181 Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints (2003).
Cited: 1 times.

(36) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:17-43 An explicit finite difference approach to the pricing of barrier options (1998).
Cited: 1 times.

(37) RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85 Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005).
Cited: 1 times.

(38) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43 Energy futures prices: term structure models with Kalman filter estimation (2002).
Cited: 1 times.

Latest citations received in: | 2004 | 2003 | 2002 | 2001

Latest citations received in: 2004

(1) RePEc:ecm:feam04:797 The Markovian Dynamics of "Smart Money" (2004). Econometric Society / Econometric Society 2004 Far Eastern Meetings

Latest citations received in: 2003

Latest citations received in: 2002

Latest citations received in: 2001

(1) RePEc:taf:apmtfi:v:8:y:2001:i:4:p:197-208 Valuation formulae for window barrier options (2001). Applied Mathematical Finance

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Source data used to compute the impact factor of RePEc series.