Applied 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 0.18 16 25 25 0 0.08 1997 0.23 0.21 14 13 30 7 85.7 0.08 1998 0.07 0.22 12 21 30 2 0 0.1 1999 0.04 0.28 15 6 26 1 100 0.13 2000 0.07 0.37 14 21 27 2 100 0.16 2001 0.07 0.37 13 8 29 2 50 1 0.08 0.16 2002 0.22 0.41 16 31 27 6 0 0.19 2003 0.42 16 29 29 0 0.2 2004 0.09 0.47 16 9 32 3 0 1 0.06 0.21 2005 0.28 0.5 15 46 32 9 0 7 0.47 0.23 2006 0.13 0.51 16 29 31 4 0 5 0.31 0.22 2007 0.35 0.4 23 7 31 11 0 1 0.04 0.18 2008 0.21 0.42 22 7 39 8 0 0.21 2009 0.11 0.43 24 3 45 5 0 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:taf:apmtfi:v:2:y:1995:i:2:p:73-88 Pricing and hedging derivative securities in markets with uncertain volatilities (1995).
Cited: 29 times.

(2) RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335 Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005).
Cited: 25 times.

(3) RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32 Volatility skews and extensions of the Libor market model (2000).
Cited: 18 times.

(4) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20 On modelling and pricing weather derivatives (2002).
Cited: 17 times.

(5) RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128 Stock market bubbles in the laboratory (1994).
Cited: 15 times.

(6) RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52 Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model (1996).
Cited: 10 times.

(7) RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52 The Dynamic Interaction of Speculation and Diversification (2005).
Cited: 10 times.

(8) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18 Optimal execution with nonlinear impact functions and trading-enhanced risk (2003).
Cited: 9 times.

(9) RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172 Statistical modelling of asymmetric risk in asset returns (1995).
Cited: 9 times.

(10) RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163 A framework for valuing corporate securities (1998).
Cited: 9 times.

(11) RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64 Calibrating volatility surfaces via relative-entropy minimization (1997).
Cited: 8 times.

(12) RePEc:taf:apmtfi:v:13:y:2006:i:1:p:39-59 A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models (2006).
Cited: 7 times.

(13) RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336 A note on arbitrage-free pricing of forward contracts in energy markets (2003).
Cited: 6 times.

(14) RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85 Bivariate option pricing with copulas (2002).
Cited: 6 times.

(15) RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129 Interpolation Methods for Curve Construction (2006).
Cited: 6 times.

(16) RePEc:taf:apmtfi:v:1:y:1994:i:2:p:165-194 Dynamic hedging portfolios for derivative securities in the presence of large transaction costs (1994).
Cited: 6 times.

(17) RePEc:taf:apmtfi:v:13:y:2006:i:1:p:1-18 A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model (2006).
Cited: 5 times.

(18) RePEc:taf:apmtfi:v:3:y:1996:i:3:p:167-190 The use and pricing of convertible bonds (1996).
Cited: 5 times.

(19) RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209 Two extensions to barrier option valuation (1995).
Cited: 5 times.

(20) RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152 On American Options Under the Variance Gamma Process (2007).
Cited: 4 times.

(21) RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121 Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (2008).
Cited: 4 times.

(22) RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85 Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005).
Cited: 4 times.

(23) RePEc:taf:apmtfi:v:3:y:1996:i:4:p:295-317 A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates (1996).
Cited: 3 times.

(24) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82 General Black-Scholes models accounting for increased market volatility from hedging strategies (1998).
Cited: 3 times.

(25) RePEc:taf:apmtfi:v:12:y:2005:i:2:p:147-185 Stochastic Volatility Model with Time-dependent Skew (2005).
Cited: 3 times.

(26) RePEc:taf:apmtfi:v:6:y:1999:i:2:p:87-106 A finite element approach to the pricing of discrete lookbacks with stochastic volatility (1999).
Cited: 3 times.

(27) RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38 On the Distributional Characterization of Daily Log-Returns of a World Stock Index (2006).
Cited: 3 times.

(28) RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324 On arbitrage-free pricing of weather derivatives based on fractional Brownian motion (2003).
Cited: 3 times.

(29) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:1-15 Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism (1998).
Cited: 3 times.

(30) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:49-74 A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach (2003).
Cited: 3 times.

(31) RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133 Uncertain volatility and the risk-free synthesis of derivatives (1995).
Cited: 3 times.

(32) RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47 Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory (2003).
Cited: 3 times.

(33) RePEc:taf:apmtfi:v:5:y:1998:i:2:p:107-116 Optimal exercise boundary for an American put option (1998).
Cited: 3 times.

(34) RePEc:taf:apmtfi:v:12:y:2005:i:2:p:187-199 Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis (2005).
Cited: 3 times.

(35) RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43 Energy futures prices: term structure models with Kalman filter estimation (2002).
Cited: 3 times.

(36) RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346 On the pricing and hedging of volatility derivatives (2004).
Cited: 3 times.

(37) RePEc:taf:apmtfi:v:5:y:1998:i:1:p:17-43 An explicit finite difference approach to the pricing of barrier options (1998).
Cited: 2 times.

(38) RePEc:taf:apmtfi:v:3:y:1996:i:1:p:1-20 Toward real-time pricing of complex financial derivatives (1996).
Cited: 2 times.

(39) RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48 Delta, gamma and bucket hedging of interest rate derivatives (1994).
Cited: 2 times.

(40) RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122 Modelling Electricity Prices with Forward Looking Capacity Constraints (2009).
Cited: 2 times.

(41) RePEc:taf:apmtfi:v:2:y:1995:i:4:p:273-284 Lookback options with discrete and partial monitoring of the underlying price (1995).
Cited: 2 times.

(42) RePEc:taf:apmtfi:v:11:y:2004:i:2:p:125-146 Modelling credit default swap spreads by means of normal mixtures and copulas (2004).
Cited: 2 times.

(43) RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489 Optimal Basket Liquidation for CARA Investors is Deterministic (2010).
Cited: 2 times.

(44) RePEc:taf:apmtfi:v:4:y:1997:i:4:p:181-199 Interest rate futures: estimation of volatility parameters in an arbitrage-free framework (1997).
Cited: 2 times.

(45) RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169 A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007).
Cited: 2 times.

(46) RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346 Binomial models for option valuation - examining and improving convergence (1996).
Cited: 2 times.

(47) RePEc:taf:apmtfi:v:9:y:2002:i:4:p:241-260 Utility based pricing of contingent claims in incomplete markets (2002).
Cited: 2 times.

(48) RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50 Multiple time scales in volatility and leverage correlations: a stochastic volatility model (2004).
Cited: 2 times.

(49) RePEc:taf:apmtfi:v:2:y:1995:i:1:p:61-72 A simple class of square-root interest-rate models (1995).
Cited: 2 times.

(50) RePEc:taf:apmtfi:v:13:y:2006:i:3:p:265-284 Efficient Pricing of Derivatives on Assets with Discrete Dividends (2006).
Cited: 2 times.

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

Recent citations received in: 2009

Recent citations received in: 2008

Recent citations received in: 2007

(1) RePEc:pra:mprapa:1952 A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes (2007). MPRA Paper

Recent citations received in: 2006

(1) RePEc:osk:wpaper:0626 Random Correlation Matrix and De-Noising (2006). Discussion Papers in Economics and Business

(2) RePEc:pra:mprapa:1423 TIPS Options in the Jarrow-Yildirim model (2006). MPRA Paper

(3) RePEc:pra:mprapa:2001 Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning (2006). MPRA Paper

(4) RePEc:pra:mprapa:2249 Bonds futures: Delta? No gamma! (2006). MPRA Paper

(5) RePEc:wai:econwp:06/16 A Yield Curve Perspective on Uncovered Interest Parity (2006). Working Papers in Economics

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