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 9 0 0 0.08 1997 0.22 16 156 4 0 6 0.38 0.09 1998 0.15 0.25 21 71 20 3 0 2 0.1 0.1 1999 0.41 0.31 25 91 37 15 0 1 0.04 0.15 2000 0.3 0.42 17 61 46 14 0 3 0.18 0.19 2001 0.21 0.41 29 119 42 9 0 4 0.14 0.16 2002 0.24 0.44 38 122 46 11 0 2 0.05 0.2 2003 0.28 0.46 0 67 19 0 0.21 2004 0.45 0.51 29 74 38 17 0 1 0.03 0.23 2005 0.21 0.54 32 80 29 6 0 5 0.16 0.24 2006 0.43 0.56 28 28 61 26 11.5 2 0.07 0.24 2007 0.37 0.45 27 30 60 22 27.3 2 0.07 0.21 2008 0.2 0.5 23 28 55 11 36.4 8 0.35 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:spr:finsto:v:1:y:1997:i:4:p:293-330 LIBOR and swap market models and measures (*) (1997).
Cited: 58 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: 33 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:1:p:49-61 Fourier series method for measurement of multivariate volatilities (2002).
Cited: 26 times.

(5) RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447 Convex measures of risk and trading constraints (2002).
Cited: 25 times.

(6) RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341 The numeraire portfolio for unbounded semimartingales (2001).
Cited: 21 times.

(7) RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248 Hedging and liquidation under transaction costs in currency markets (1999).
Cited: 18 times.

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

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

(10) RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412 Applications of Malliavin calculus to Monte Carlo methods in finance (1999).
Cited: 12 times.

(11) RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341 Liquidity risk and arbitrage pricing theory (2004).
Cited: 12 times.

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

(13) RePEc:spr:finsto:v:3:y:1999:i:4:p:451-482 On dynamic measures of risk (1999).
Cited: 12 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: 11 times.

(15) RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140 On the range of options prices (*) (1997).
Cited: 11 times.

(16) 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.

(17) RePEc:spr:finsto:v:9:y:2005:i:1:p:29-42 Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (2005).
Cited: 10 times.

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

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

(20) 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.

(21) 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.

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

(23) 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.

(24) 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.

(25) RePEc:spr:finsto:v:5:y:2001:i:3:p:389-412 A general characterization of one factor affine term structure models (2001).
Cited: 9 times.

(26) 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.

(27) RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561 Conditional and dynamic convex risk measures (2005).
Cited: 8 times.

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

(29) 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.

(30) RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154 The relaxed investor and parameter uncertainty (2001).
Cited: 8 times.

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

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

(33) RePEc:spr:finsto:v:5:y:2001:i:4:p:487-509 Existence and structure of stochastic equilibria with intertemporal substitution (2001).
Cited: 8 times.

(34) RePEc:spr:finsto:v:9:y:2005:i:4:p:453-475 Pricing options on realized variance (2005).
Cited: 8 times.

(35) RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89 Irreversible investment and industry equilibrium (*) (1996).
Cited: 7 times.

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

(37) 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.

(38) RePEc:spr:finsto:v:3:y:1999:i:3:p:295-322 Exercise regions of American options on several assets (1999).
Cited: 7 times.

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

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

(41) RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493 Optimal stopping and perpetual options for Lévy processes (2002).
Cited: 7 times.

(42) RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298 Inf-convolution of risk measures and optimal risk transfer (2005).
Cited: 7 times.

(43) RePEc:spr:finsto:v:9:y:2005:i:2:p:197-209 A note on Wick products and the fractional Black-Scholes model (2005).
Cited: 6 times.

(44) RePEc:spr:finsto:v:2:y:1998:i:2:p:173-198 Mean-variance hedging for continuous processes: New proofs and examples (1998).
Cited: 6 times.

(45) RePEc:spr:finsto:v:11:y:2007:i:1:p:107-129 Optimal investments for risk- and ambiguity-averse preferences: a duality approach (2007).
Cited: 6 times.

(46) RePEc:spr:finsto:v:9:y:2005:i:2:p:151-176 Robust utility maximization for complete and incomplete market models (2005).
Cited: 6 times.

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

(48) 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.

(49) 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.

(50) RePEc:spr:finsto:v:7:y:2003:i:1:p:1-27 Numerical solution of jump-diffusion LIBOR market models (2002).
Cited: 6 times.

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

Recent citations received in: 2008

(1) RePEc:arx:papers:0802.1823 Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models (2008). arXiv.org / Quantitative Finance Papers

(2) RePEc:arx:papers:0803.4416 Consistent price systems and face-lifting pricing under transaction costs (2008). arXiv.org / Quantitative Finance Papers

(3) RePEc:arx:papers:0804.0482 An introduction to L{e}vy processes with applications in finance (2008). arXiv.org / Quantitative Finance Papers

(4) RePEc:arx:papers:0812.4978 Optimal dividend distribution under Markov-regime switching (2008). arXiv.org / Quantitative Finance Papers

(5) RePEc:kap:apfinm:v:15:y:2008:i:3:p:155-173 q-Optimal Martingale Measures for Discrete Time Models (2008). Asia-Pacific Financial Markets

(6) RePEc:knz:cofedp:0811 Importance sampling for backward SDEs (2008). Center of Finance and Econometrics, University of Konstanz / CoFE Discussion Paper

(7) RePEc:spr:finsto:v:12:y:2008:i:2:p:245-264 Long run forward rates and long yields of bonds and options in heterogeneous equilibria (2008). Finance and Stochastics

(8) RePEc:spr:finsto:v:12:y:2008:i:3:p:411-422 Universal bounds for asset prices in heterogeneous economies (2008). Finance and Stochastics

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:ner:leuven:urn:hdl:123456789/122216 Risk measurement with the equivalent utility principles. (2005). Katholieke Universiteit Leuven / Open Access publications from Katholieke Universiteit Leuven

(5) 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

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