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.

Create citation feed for this series

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 4 11 0 0 0.08 1997 0.21 16 191 4 0 7 0.44 0.08 1998 0.25 0.22 21 85 20 5 0 2 0.1 0.1 1999 0.46 0.28 25 111 37 17 0 1 0.04 0.13 2000 0.28 0.37 17 71 46 13 0 3 0.18 0.16 2001 0.21 0.37 29 137 42 9 0 4 0.14 0.16 2002 0.22 0.41 38 158 46 10 0 2 0.05 0.19 2003 0.27 0.42 0 67 18 0 0.2 2004 0.45 0.47 29 100 38 17 0 1 0.03 0.21 2005 0.21 0.5 32 99 29 6 0 6 0.19 0.23 2006 0.48 0.51 28 44 61 29 10.3 2 0.07 0.22 2007 0.37 0.4 27 46 60 22 27.3 2 0.07 0.18 2008 0.22 0.42 23 37 55 12 33.3 7 0.3 0.21 2009 0.3 0.43 23 30 50 15 6.7 7 0.3 0.19
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: 59 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: 59 times.

(3) RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447 Convex measures of risk and trading constraints (2002).
Cited: 39 times.

(4) RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248 Hedging and liquidation under transaction costs in currency markets (1999).
Cited: 33 times.

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

(6) RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61 Fourier series method for measurement of multivariate volatilities (2002).
Cited: 25 times.

(7) RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272 Utility maximization in incomplete markets with random endowment (2001).
Cited: 22 times.

(8) RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341 The numeraire portfolio for unbounded semimartingales (2001).
Cited: 22 times.

(9) RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341 Liquidity risk and arbitrage pricing theory (2004).
Cited: 18 times.

(10) RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440 Optimization of consumption with labor income (1998).
Cited: 14 times.

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

(12) RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140 On the range of options prices (*) (1997).
Cited: 13 times.

(13) 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.

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

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

(16) 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: 12 times.

(17) 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: 12 times.

(18) 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: 11 times.

(19) 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: 11 times.

(20) RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561 Conditional and dynamic convex risk measures (2005).
Cited: 11 times.

(21) RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493 Optimal stopping and perpetual options for Lévy processes (2002).
Cited: 11 times.

(22) RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298 Inf-convolution of risk measures and optimal risk transfer (2005).
Cited: 11 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: 11 times.

(24) RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200 Coherent risk measures and good-deal bounds (2001).
Cited: 10 times.

(25) RePEc:spr:finsto:v:6:y:2002:i:3:p:371-382 No-arbitrage criteria for financial markets with efficient friction (2002).
Cited: 10 times.

(26) RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74 Generalized deviations in risk analysis (2006).
Cited: 10 times.

(27) RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146 Efficient hedging: Cost versus shortfall risk (2000).
Cited: 10 times.

(28) RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154 The relaxed investor and parameter uncertainty (2001).
Cited: 10 times.

(29) RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239 An example of indifference prices under exponential preferences (2004).
Cited: 10 times.

(30) 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: 10 times.

(31) RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273 Quantile hedging (1999).
Cited: 9 times.

(32) RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172 Asymptotic arbitrage in large financial markets (1998).
Cited: 9 times.

(33) RePEc:spr:finsto:v:7:y:2003:i:2:p:263-276 Exponential growth of fixed-mix strategies in stationary asset markets (2002).
Cited: 9 times.

(34) 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: 9 times.

(35) RePEc:spr:finsto:v:4:y:2000:i:4:p:391-408 Markov-functional interest rate models (2000).
Cited: 9 times.

(36) RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263 Optimal capital structure and endogenous default (2002).
Cited: 9 times.

(37) RePEc:spr:finsto:v:1:y:1997:i:3:p:229-238 An application of hidden Markov models to asset allocation problems (*) (1997).
Cited: 9 times.

(38) RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89 Irreversible investment and industry equilibrium (*) (1996).
Cited: 9 times.

(39) 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.

(40) 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.

(41) RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552 Vector-valued coherent risk measures (2004).
Cited: 9 times.

(42) 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.

(43) RePEc:spr:finsto:v:5:y:2001:i:3:p:389-412 A general characterization of one factor affine term structure models (2001).
Cited: 8 times.

(44) 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: 8 times.

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

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

(47) 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: 7 times.

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

(49) RePEc:spr:finsto:v:13:y:2009:i:1:p:121-150 Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (2009).
Cited: 7 times.

(50) RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463 Game options (2000).
Cited: 7 times.

Recent citations received in: | 2009 | 2008 | 2007 | 2006

Recent citations received in: 2009

(1) RePEc:arx:papers:0906.0394 Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes (2009). Quantitative Finance Papers

(2) RePEc:arx:papers:0911.3194 Mutual Fund Theorem for continuous time markets with random coefficients (2009). Quantitative Finance Papers

(3) RePEc:arx:papers:0911.5579 Asymptotic behavior of prices of path dependent options (2009). Quantitative Finance Papers

(4) RePEc:arx:papers:0912.3132 Multiple defaults and contagion risks (2009). Quantitative Finance Papers

(5) RePEc:hal:wpaper:hal-00441500 Multiple defaults and contagion risks (2009). Working Papers

(6) RePEc:spr:finsto:v:13:y:2009:i:4:p:471-500 Numerical methods for Lévy processes (2009). Finance and Stochastics

(7) RePEc:upf:upfgen:1188 A decomposition formula for option prices in the Heston model and applications to option pricing approximation (2009). Economics Working Papers

Recent citations received in: 2008

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

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

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

(4) 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

(5) RePEc:knz:cofedp:0811 Importance sampling for backward SDEs (2008). CoFE Discussion Paper

(6) 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

(7) 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). 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). 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

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.