Mathematical 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 0.21 0.18 19 156 39 8 0 0.08 1997 0.21 0.22 18 171 38 8 0 2 0.11 0.09 1998 0.24 0.25 20 93 37 9 0 1 0.05 0.1 1999 0.34 0.31 16 180 38 13 0 5 0.31 0.15 2000 0.33 0.42 28 82 36 12 0 2 0.07 0.19 2001 0.27 0.41 0 44 12 0 0.16 2002 0.18 0.44 14 77 28 5 0 1 0.07 0.2 2003 0.29 0.46 0 14 4 0 0.21 2004 1.29 0.51 0 14 18 0 0.23 2005 0.54 0 0 0 0.24 2006 0.56 0 0 0 0.24 2007 0.45 6 4 0 0 0.21 2008 0.33 0.5 29 22 6 2 0 5 0.17 0.24
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:bla:mathfi:v:9:y:1999:i:3:p:203-228 Coherent Measures of Risk (1999).
Cited: 111 times.

(2) RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406 A YIELD-FACTOR MODEL OF INTEREST RATES (1996).
Cited: 74 times.

(3) RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323 Long memory in continuous-time stochastic volatility models (1998).
Cited: 39 times.

(4) repec:bla:mathfi:v:7:y:1997:i:2:p:211-239 ().
Cited: 38 times.

(5) RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106 ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992).
Cited: 32 times.

(6) RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204 MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994).
Cited: 30 times.

(7) RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72 VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE (1995).
Cited: 28 times.

(8) RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86 DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS (1992).
Cited: 28 times.

(9) RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14 Optimal Stopping and the American Put (1991).
Cited: 27 times.

(10) RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52 The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000).
Cited: 27 times.

(11) RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167 MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT (1994).
Cited: 26 times.

(12) RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348 Interest Rate Dynamics and Consistent Forward Rate Curves (1999).
Cited: 26 times.

(13) RePEc:bla:mathfi:v:2:y:1992:i:3:p:153-187 Option Pricing Under Incompleteness and Stochastic Volatility (1992).
Cited: 26 times.

(14) RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302 OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL (1996).
Cited: 22 times.

(15) RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71 Backward Stochastic Differential Equations in Finance (1997).
Cited: 21 times.

(16) RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412 Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997).
Cited: 20 times.

(17) RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286 Monte Carlo valuation of American options (2002).
Cited: 18 times.

(18) RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65 Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach (1998).
Cited: 17 times.

(19) RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48 Complete Models with Stochastic Volatility (1998).
Cited: 15 times.

(20) RePEc:bla:mathfi:v:7:y:1997:i:2:p:157-176 The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates (1997).
Cited: 15 times.

(21) RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105 Arbitrage with Fractional Brownian Motion (1997).
Cited: 15 times.

(22) RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26 ().
Cited: 14 times.

(23) RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232 ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS (1995).
Cited: 14 times.

(24) RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53 Term Structure Models Driven by General Lévy Processes (1999).
Cited: 13 times.

(25) RePEc:bla:mathfi:v:7:y:1997:i:4:p:351-374 Market Volatility and Feedback Effects from Dynamic Hedging (1997).
Cited: 13 times.

(26) RePEc:bla:mathfi:v:11:y:2001:i:4:p:385-413 ().
Cited: 12 times.

(27) RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32 THE GARCH OPTION PRICING MODEL (1995).
Cited: 12 times.

(28) RePEc:bla:mathfi:v:2:y:1992:i:4:p:217-237 Pricing Options On Risky Assets In A Stochastic Interest Rate Economy (1992).
Cited: 12 times.

(29) RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298 A DIFFUSION MODEL FOR ELECTRICITY PRICES (2002).
Cited: 11 times.

(30) RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155 The Market Model of Interest Rate Dynamics (1997).
Cited: 11 times.

(31) RePEc:bla:mathfi:v:6:y:1996:i:3:p:303-322 MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS (1996).
Cited: 11 times.

(32) RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349 A Continuity Correction for Discrete Barrier Options (1997).
Cited: 10 times.

(33) RePEc:bla:mathfi:v:11:y:2001:i:4:p:447-474 ().
Cited: 10 times.

(34) RePEc:bla:mathfi:v:5:y:1995:i:4:p:311-336 OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS (1995).
Cited: 10 times.

(35) RePEc:bla:mathfi:v:12:y:2002:i:3:p:239-269 Portfolio Value-at-Risk with Heavy-Tailed Risk Factors (2002).
Cited: 9 times.

(36) RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195 On Models of Default Risk (2000).
Cited: 9 times.

(37) RePEc:bla:mathfi:v:4:y:1994:i:3:p:223-245 CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994).
Cited: 9 times.

(38) RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324 An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (1997).
Cited: 9 times.

(39) RePEc:bla:mathfi:v:7:y:1997:i:3:p:241-286 The Valuation of American Options on Multiple Assets (1997).
Cited: 9 times.

(40) RePEc:bla:mathfi:v:15:y:2005:i:2:p:203-212 ().
Cited: 9 times.

(41) RePEc:bla:mathfi:v:6:y:1996:i:2:p:215-236 EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL (1996).
Cited: 9 times.

(42) repec:bla:mathfi:v:10:y:2000:i:1:p:1-21 ().
Cited: 8 times.

(43) RePEc:bla:mathfi:v:4:y:1994:i:3:p:247-258 THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD (1994).
Cited: 8 times.

(44) RePEc:bla:mathfi:v:9:y:1999:i:2:p:97-116 Bounds on European Option Prices under Stochastic Volatility (1999).
Cited: 8 times.

(45) RePEc:bla:mathfi:v:12:y:2002:i:4:p:329-339 MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002).
Cited: 8 times.

(46) RePEc:bla:mathfi:v:6:y:1996:i:4:p:365-378 PRICING AND HEDGING DOUBLE-BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996).
Cited: 8 times.

(47) RePEc:bla:mathfi:v:3:y:1993:i:1:p:1-23 A Microeconomic Approach to Diffusion Models For Stock Prices (1993).
Cited: 7 times.

(48) RePEc:bla:mathfi:v:10:y:2000:i:1:p:53-75 On the Rate of Convergence of Discrete-Time Contingent Claims (2000).
Cited: 7 times.

(49) RePEc:bla:mathfi:v:1:y:1991:i:4:p:77-94 Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes (1991).
Cited: 7 times.

(50) RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276 OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993).
Cited: 7 times.

Recent citations received in: | 2008 | 2007 | 2006 | 2005

Recent citations received in: 2008

(1) RePEc:arx:papers:0809.4781 On contingent claims pricing in incomplete markets: A risk sharing approach (2008). arXiv.org / Quantitative Finance Papers

(2) RePEc:ner:dauphi:urn:hdl:123456789/116 Méthodes numériques pour la valorisation doptions swings et autres problèmes sur les matières premières. (2008). Université Paris-Dauphine / Open Access publications from Université Paris-Dauphine

(3) RePEc:rdg:icmadp:icma-dp2008-02 Stochastic Local Volatility (2008).

(4) RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439 Optimal capital and risk allocations for law- and cash-invariant convex functions (2008). Finance and Stochastics

(5) RePEc:spr:finsto:v:12:y:2008:i:4:p:469-505 Arbitrage-free market models for option prices: the multi-strike case (2008). Finance and Stochastics

Recent citations received in: 2007

Recent citations received in: 2006

Recent citations received in: 2005

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