Finance and Stochastics

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 0.18 4 10 0 0 0.09 1997 0.21 16 137 4 0 5 0.31 0.08 1998 0.15 0.25 21 69 20 3 0 2 0.1 0.1 1999 0.41 0.32 25 84 37 15 0 0.15 2000 0.3 0.43 17 56 46 14 0 3 0.18 0.19 2001 0.19 0.41 29 111 42 8 0 4 0.14 0.17 2002 0.26 0.44 38 105 46 12 0 2 0.05 0.2 2003 0.28 0.47 0 67 19 0 0.22 2004 0.42 0.52 29 62 38 16 0 1 0.03 0.23 2005 0.21 0.56 32 58 29 6 0 4 0.13 0.25 2006 0.39 0.57 28 22 61 24 12.5 2 0.07 0.24 2007 0.35 0.48 27 22 60 21 28.6 2 0.07 0.22
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:spr:finsto:v:1:y:1997:i:4:p:293-330 LIBOR and swap market models and measures (*) (1997).
Cited: 48 times.

(2) RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129 From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) (1997).
Cited: 32 times.

(3) RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68 Processes of normal inverse Gaussian type (1997).
Cited: 26 times.

(4) RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447 Convex measures of risk and trading constraints (2002).
Cited: 26 times.

(5) RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341 The numeraire portfolio for unbounded semimartingales (2001).
Cited: 20 times.

(6) RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61 Fourier series method for measurement of multivariate volatilities (2002).
Cited: 16 times.

(7) RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291 Continuous-time term structure models: Forward measure approach (*) (1997).
Cited: 14 times.

(8) RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248 Hedging and liquidation under transaction costs in currency markets (1999).
Cited: 14 times.

(9) RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412 Applications of Malliavin calculus to Monte Carlo methods in finance (1999).
Cited: 13 times.

(10) RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272 Utility maximization in incomplete markets with random endowment (2001).
Cited: 13 times.

(11) RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440 Optimization of consumption with labor income (1998).
Cited: 12 times.

(12) RePEc:spr:finsto:v:3:y:1999:i:4:p:451-482 On dynamic measures of risk (1999).
Cited: 12 times.

(13) RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82 A solution approach to valuation with unhedgeable risks (2001).
Cited: 10 times.

(14) RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471 An analysis of a least squares regression method for American option pricing (2002).
Cited: 10 times.

(15) RePEc:spr:finsto:v:5:y:2001:i:4:p:557-581 Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001).
Cited: 10 times.

(16) RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140 On the range of options prices (*) (1997).
Cited: 10 times.

(17) RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239 An example of indifference prices under exponential preferences (2004).
Cited: 9 times.

(18) RePEc:spr:finsto:v:6:y:2002:i:2:p:173-196 A multicurrency extension of the lognormal interest rate Market Models (2002).
Cited: 9 times.

(19) RePEc:spr:finsto:v:5:y:2001:i:2:p:237-257 Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model (2001).
Cited: 9 times.

(20) RePEc:spr:finsto:v:4:y:2000:i:4:p:371-389 Bond pricing in a hidden Markov model of the short rate (2000).
Cited: 9 times.

(21) RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146 Efficient hedging: Cost versus shortfall risk (2000).
Cited: 9 times.

(22) RePEc:spr:finsto:v:5:y:2001:i:4:p:487-509 Existence and structure of stochastic equilibria with intertemporal substitution (2001).
Cited: 9 times.

(23) RePEc:spr:finsto:v:2:y:1998:i:3:p:295-310 Optimal time to invest when the price processes are geometric Brownian motions (1998).
Cited: 9 times.

(24) RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263 Optimal capital structure and endogenous default (2002).
Cited: 8 times.

(25) RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273 Quantile hedging (1999).
Cited: 8 times.

(26) RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89 Irreversible investment and industry equilibrium (*) (1996).
Cited: 8 times.

(27) RePEc:spr:finsto:v:1:y:1997:i:3:p:229-238 An application of hidden Markov models to asset allocation problems (*) (1997).
Cited: 8 times.

(28) RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273 Local martingales and the fundamental asset pricing theorems in the discrete-time case (1998).
Cited: 8 times.

(29) RePEc:spr:finsto:v:4:y:2000:i:2:p:209-222 Incompleteness of markets driven by a mixed diffusion (2000).
Cited: 8 times.

(30) RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341 Liquidity risk and arbitrage pricing theory (2004).
Cited: 8 times.

(31) RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172 Asymptotic arbitrage in large financial markets (1998).
Cited: 7 times.

(32) RePEc:spr:finsto:v:5:y:2001:i:3:p:389-412 A general characterization of one factor affine term structure models (2001).
Cited: 7 times.

(33) RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200 Coherent risk measures and good-deal bounds (2001).
Cited: 7 times.

(34) RePEc:spr:finsto:v:2:y:1998:i:2:p:173-198 Mean-variance hedging for continuous processes: New proofs and examples (1998).
Cited: 7 times.

(35) RePEc:spr:finsto:v:3:y:1999:i:2:p:167-185 A generalization of the mutual fund theorem (1999).
Cited: 7 times.

(36) RePEc:spr:finsto:v:6:y:2002:i:3:p:371-382 No-arbitrage criteria for financial markets with efficient friction (2002).
Cited: 7 times.

(37) RePEc:spr:finsto:v:3:y:1999:i:4:p:413-432 Minimal realizations of interest rate models (1999).
Cited: 6 times.

(38) RePEc:spr:finsto:v:3:y:1999:i:3:p:345-369 Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences (1999).
Cited: 6 times.

(39) RePEc:spr:finsto:v:8:y:2004:i:1:p:133-144 Convergence of utility functions and convergence of optimal strategies (2004).
Cited: 6 times.

(40) RePEc:spr:finsto:v:3:y:1999:i:1:p:35-54 A closed-form solution to the problem of super-replication under transaction costs (1998).
Cited: 6 times.

(41) RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298 Inf-convolution of risk measures and optimal risk transfer (2005).
Cited: 6 times.

(42) RePEc:spr:finsto:v:4:y:2000:i:4:p:391-408 Markov-functional interest rate models (2000).
Cited: 5 times.

(43) RePEc:spr:finsto:v:3:y:1999:i:2:p:227-236 Optimal stopping for a diffusion with jumps (1999).
Cited: 5 times.

(44) RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552 Vector-valued coherent risk measures (2004).
Cited: 5 times.

(45) RePEc:spr:finsto:v:4:y:2000:i:2:p:189-207 Discrete time option pricing with flexible volatility estimation (2000).
Cited: 5 times.

(46) RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154 The relaxed investor and parameter uncertainty (2001).
Cited: 5 times.

(47) RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493 Optimal stopping and perpetual options for Lévy processes (2002).
Cited: 5 times.

(48) RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397 Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998).
Cited: 5 times.

(49) RePEc:spr:finsto:v:9:y:2005:i:4:p:453-475 Pricing options on realized variance (2005).
Cited: 5 times.

(50) RePEc:spr:finsto:v:12:y:2008:i:2:p:265-292 On the duality principle in option pricing: semimartingale setting (2008).
Cited: 5 times.

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

(1) RePEc:hum:wpaper:sfb649dp2007-026 Robust Optimal Control for a Consumption-investment Problem (2007). Sonderforschungsbereich 649, Humboldt University, Berlin, Germany / SFB 649 Discussion Papers

(2) RePEc:spr:finsto:v:11:y:2007:i:3:p:323-355 An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model (2007). Finance and Stochastics

Recent citations received in: 2006

(1) RePEc:hum:wpaper:sfb649dp2006-051 Regression methods in pricing American and Bermudan options using consumption processes (2006). Sonderforschungsbereich 649, Humboldt University, Berlin, Germany / SFB 649 Discussion Papers

(2) RePEc:kap:apfinm:v:13:y:2006:i:2:p:129-149 Risk measures for derivatives with Markov-modulated pure jump processes (2006). Asia-Pacific Financial Markets

Recent citations received in: 2005

(1) RePEc:arx:papers:math/0508489 Dynamic exponential utility indifference valuation (2005). arXiv.org / Quantitative Finance Papers

(2) RePEc:hum:wpaper:sfb649dp2005-029 Utility duality under additional information: conditional measures versus filtration enlargements (2005). Sonderforschungsbereich 649, Humboldt University, Berlin, Germany / SFB 649 Discussion Papers

(3) RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177 Relative arbitrage in volatility-stabilized markets (2005). Annals of Finance

(4) RePEc:nuf:econwp:0516 Variation, jumps, market frictions and high frequency data in financial econometrics (2005). Economics Group, Nuffield College, University of Oxford / Economics Papers

Recent citations received in: 2004

(1) RePEc:wpa:wuwpge:0404003 A Unified Approach to Portfolio Optimization with Linear Transaction Costs (2004). EconWPA / GE, Growth, Math methods

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