Quantitative Finance

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

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.17 0 0 0 0.08 1997 0.2 0 0 0 0.08 1998 0.23 0 0 0 0.1 1999 0.31 0 0 0 0.15 2000 0.43 0 0 0 0.19 2001 0.4 0 0 0 0.17 2002 0.43 14 17 0 0 0.2 2003 0.14 0.48 0 14 2 0 0.22 2004 0.57 0.52 1 0 14 8 0 0.23 2005 0.59 14 10 1 0 2 0.14 0.27 2006 0.07 0.63 30 7 15 1 0 3 0.1 0.27
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:quantf:v:2:y:2002:i:6:p:459-467 Consistent pricing and hedging for a modified constant elasticity of variance model (2002).
Cited: 10 times.

(2) RePEc:taf:quantf:v:5:y:2005:i:5:p:489-501 Empirical estimation of tail dependence using copulas: application to Asian markets (2005).
Cited: 6 times.

(3) RePEc:taf:quantf:v:2:y:2002:i:6:p:432-442 Pricing of perpetual Bermudan options (2002).
Cited: 4 times.

(4) RePEc:taf:quantf:v:2:y:2002:i:6:p:415-431 A theory of non-Gaussian option pricing (2002).
Cited: 3 times.

(5) RePEc:taf:quantf:v:6:y:2006:i:3:p:207-218 Expensive martingales (2006).
Cited: 2 times.

(6) RePEc:taf:quantf:v:8:y:2008:i:4:p:427-434 New and robust drift approximations for the LIBOR market model (2008).
Cited: 2 times.

(7) RePEc:taf:quantf:v:5:y:2005:i:6:p:525-530 Moment swaps (2005).
Cited: 1 times.

(8) RePEc:taf:quantf:v:6:y:2006:i:6:p:449-449 The modified Weibull distribution for asset returns (2006).
Cited: 1 times.

(9) RePEc:taf:quantf:v:8:y:2008:i:5:p:513-532 Financial markets in the laboratory: an experimental analysis of some stylized facts (2008).
Cited: 1 times.

(10) RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453 Probability distribution of returns in the Heston model with stochastic volatility* (2002).
Cited: 1 times.

(11) RePEc:taf:quantf:v:8:y:2008:i:3:p:299-312 Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (2008).
Cited: 1 times.

(12) RePEc:taf:quantf:v:6:y:2006:i:2:p:147-158 A new technique for calibrating stochastic volatility models: the Malliavin gradient method (2006).
Cited: 1 times.

(13) RePEc:taf:quantf:v:7:y:2007:i:2:p:231-244 Solving ALM problems via sequential stochastic programming (2007).
Cited: 1 times.

(14) RePEc:taf:quantf:v:5:y:2005:i:6:p:531-542 Valuation of volatility derivatives as an inverse problem (2005).
Cited: 1 times.

(15) RePEc:taf:quantf:v:6:y:2006:i:6:p:513-536 Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006).
Cited: 1 times.

(16) RePEc:taf:quantf:v:5:y:2005:i:6:p:513-517 Statistical properties of demand fluctuation in the financial market (2005).
Cited: 1 times.

(17) RePEc:taf:quantf:v:6:y:2006:i:4:p:327-335 Barrier options and their static hedges: simple derivations and extensions (2006).
Cited: 1 times.

(18) RePEc:taf:quantf:v:6:y:2006:i:3:p:197-206 Local volatility function models under a benchmark approach (2006).
Cited: 1 times.

(19) RePEc:taf:quantf:v:7:y:2007:i:6:p:621-636 Value-at-risk forecasts under scrutiny - the German experience (2007).
Cited: 1 times.

(20) RePEc:taf:quantf:v:5:y:2005:i:6:p:557-568 Multiple equilibria in a monopoly market with heterogeneous agents and externalities (2005).
Cited: 1 times.

(21) RePEc:taf:quantf:v:7:y:2007:i:1:p:63-74 The geometry of crashes. A measure of the dynamics of stock market crises (2007).
Cited: 1 times.

Recent citations received in: | 2006 | 2005 | 2004 | 2003

Recent citations received in: 2006

(1) RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264 Static versus dynamic hedges: an empirical comparison for barrier options (2006). Review of Derivatives Research

(2) RePEc:spr:finsto:v:10:y:2006:i:2:p:178-203 Consistent Variance Curve Models (2006). Finance and Stochastics

(3) RePEc:taf:quantf:v:6:y:2006:i:6:p:451-451 The modified weibull distribution for asset returns: reply (2006). Quantitative Finance

Recent citations received in: 2005

(1) RePEc:hal:journl:halshs-00179343_v1 How can we define the concept of long memory ? An econometric survey, (2005). HAL / Post-Print

(2) RePEc:taf:quantf:v:5:y:2005:i:6:p:519-521 Two phase behaviour and the distribution of volume (2005). Quantitative Finance

Recent citations received in: 2004

Recent citations received in: 2003

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

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