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  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

  
 

Mathematical Finance / Blackwell Publishers

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2010), 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
19900.090000.04
19910.091778000.05
19920.081613217010.060.04
19930.030.092147331010.050.05
19940.080.12010637300.05
19950.070.1219125413040.210.06
19960.230.161921639900.08
19970.180.2118211387020.110.08
19980.270.22201143710020.10.09
19990.340.28163483813070.440.13
20000.330.37281133612030.110.16
20010.340.380441500.16
20020.180.4114105285020.140.2
20030.360.43014500.2
20041.360.490141900.22
20050.520000.24
20060.50000.23
20070.42680010.170.19
20080.330.43296562060.210.21
20090.310.4322433511020.090.19
20100.350.360511800.15
 
 
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

 

Main indicators

Most cited documents in this series:
YearTitleCited
1999Coherent Measures of Risk
RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228 [Citation Analysis]		273
1996A YIELD-FACTOR MODEL OF INTEREST RATES
RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406 [Citation Analysis]		111

repec:bla:mathfi:v:7:y:1997:i:2:p:211-239 [Citation Analysis]		44
1998Long memory in continuous-time stochastic volatility models
RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323 [Citation Analysis]		44
1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106 [Citation Analysis]		37
2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52 [Citation Analysis]		34
1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72 [Citation Analysis]		33
1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS
RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86 [Citation Analysis]		32
1991Optimal Stopping and the American Put
RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14 [Citation Analysis]		31
1997Backward Stochastic Differential Equations in Finance
RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71 [Citation Analysis]		30
1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204 [Citation Analysis]		29
1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302 [Citation Analysis]		29
1994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167 [Citation Analysis]		29
1999Interest Rate Dynamics and Consistent Forward Rate Curves
RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348 [Citation Analysis]		28
2002Monte Carlo valuation of American options
RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286 [Citation Analysis]		28
1992Option Pricing Under Incompleteness and Stochastic Volatility
RePEc:bla:mathfi:v:2:y:1992:i:3:p:153-187 [Citation Analysis]		26
1995THE GARCH OPTION PRICING MODEL
RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32 [Citation Analysis]		26
1995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232 [Citation Analysis]		24
1997The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
RePEc:bla:mathfi:v:7:y:1997:i:2:p:157-176 [Citation Analysis]		22

RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26 [Citation Analysis]		21
1997The Market Model of Interest Rate Dynamics
RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155 [Citation Analysis]		21
1997Contingent Claims and Market Completeness in a Stochastic Volatility Model
RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412 [Citation Analysis]		20
1997Arbitrage with Fractional Brownian Motion
RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105 [Citation Analysis]		19
1998Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65 [Citation Analysis]		19
1998Complete Models with Stochastic Volatility
RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48 [Citation Analysis]		18
1999Term Structure Models Driven by General Lévy Processes
RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53 [Citation Analysis]		16
2002A DIFFUSION MODEL FOR ELECTRICITY PRICES
RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298 [Citation Analysis]		15
1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy
RePEc:bla:mathfi:v:2:y:1992:i:4:p:217-237 [Citation Analysis]		15

RePEc:bla:mathfi:v:11:y:2001:i:4:p:385-413 [Citation Analysis]		14

RePEc:bla:mathfi:v:11:y:2001:i:4:p:447-474 [Citation Analysis]		13

RePEc:bla:mathfi:v:16:y:2006:i:4:p:589-612 [Citation Analysis]		13
2008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292 [Citation Analysis]		13
2000On Models of Default Risk
RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195 [Citation Analysis]		13
2002MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
RePEc:bla:mathfi:v:12:y:2002:i:4:p:329-339 [Citation Analysis]		12
2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426 [Citation Analysis]		11
1997Market Volatility and Feedback Effects from Dynamic Hedging
RePEc:bla:mathfi:v:7:y:1997:i:4:p:351-374 [Citation Analysis]		11
1997A Continuity Correction for Discrete Barrier Options
RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349 [Citation Analysis]		11
1996MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
RePEc:bla:mathfi:v:6:y:1996:i:3:p:303-322 [Citation Analysis]		11
1997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324 [Citation Analysis]		11

RePEc:bla:mathfi:v:15:y:2005:i:2:p:203-212 [Citation Analysis]		11
2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373 [Citation Analysis]		11
1997The Valuation of American Options on Multiple Assets
RePEc:bla:mathfi:v:7:y:1997:i:3:p:241-286 [Citation Analysis]		11
2002Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
RePEc:bla:mathfi:v:12:y:2002:i:3:p:239-269 [Citation Analysis]		10
1991Option Pricing With V. G. Martingale Components
RePEc:bla:mathfi:v:1:y:1991:i:4:p:39-55 [Citation Analysis]		10
1994THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
RePEc:bla:mathfi:v:4:y:1994:i:3:p:247-258 [Citation Analysis]		10
1996EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL
RePEc:bla:mathfi:v:6:y:1996:i:2:p:215-236 [Citation Analysis]		10

RePEc:bla:mathfi:v:12:y:2002:i:2:p:125-134 [Citation Analysis]		10
1995DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
RePEc:bla:mathfi:v:5:y:1995:i:3:p:187-195 [Citation Analysis]		10
1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276 [Citation Analysis]		10
1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
RePEc:bla:mathfi:v:4:y:1994:i:3:p:223-245 [Citation Analysis]		10

Citing documents used to compute impact factor 18:
YearTitleSee
2010Two-sided estimates for stock price distribution densities in jump-diffusion models
RePEc:arx:papers:1005.1917		[Citation Analysis]
2010Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
RePEc:spr:finsto:v:14:y:2010:i:4:p:495-526		[Citation Analysis]
2010Analytical Solution for Expected Loss of a Collateralized Loan: A Square-root Intensity Process Negatively Correlated with Collateral Value
RePEc:ime:imedps:10-e-10		[Citation Analysis]
2010Illiquidity Effects in Optimal Consumption-Investment Problems
RePEc:arx:papers:1004.1489		[Citation Analysis]
2010Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
RePEc:igi:igierp:373		[Citation Analysis]
2010Rollover Risk and Credit Risk
RePEc:nbr:nberwo:15653		[Citation Analysis]
2010CAPM and APT-like models with risk measures.
RePEc:ner:carlos:info:hdl:10016/12945		[Citation Analysis]
2010On refined volatility smile expansion in the Heston model
RePEc:arx:papers:1001.3003		[Citation Analysis]
2010Exact and high order discretization schemes for Wishart processes and their affine extensions
RePEc:hal:wpaper:hal-00491371		[Citation Analysis]
2010Exact and high order discretization schemes for Wishart processes and their affine extensions
RePEc:arx:papers:1006.2281		[Citation Analysis]
2010Extending pricing rules with general risk functions.
RePEc:ner:carlos:info:hdl:10016/12956		[Citation Analysis]
2010Risk-neutral compatibility with option prices
RePEc:spr:finsto:v:14:y:2010:i:2:p:285-315		[Citation Analysis]
2010Convenience yields
RePEc:kap:revdev:v:13:y:2010:i:1:p:25-43		[Citation Analysis]
2010Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures.
RePEc:ner:dauphi:urn:hdl:123456789/2342		[Citation Analysis]
2010Illiquidity Effects in Optimal Consumption-Investment Problems
RePEc:arx:papers:1004.1489		[Citation Analysis]
2010Dual Representation of Quasiconvex Conditional Maps
RePEc:arx:papers:1001.3644		[Citation Analysis]
2010Dynamic risk measures
RePEc:arx:papers:1002.3794		[Citation Analysis]
2010Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
RePEc:arx:papers:1002.3627		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2009

YearTitleSee
2009Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
RePEc:arx:papers:0906.0394		[Citation Analysis]
2009Recent Advances in Credit Risk Modeling
RePEc:imf:imfwpa:09/162		[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008On Agents Agreement and Partial-Equilibrium Pricing in Incomplete Markets
RePEc:arx:papers:0803.2198		[Citation Analysis]
2008On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility
RePEc:cca:wpaper:79		[Citation Analysis]
2008Méthodes numériques pour la valorisation doptions swings et autres problèmes sur les matières premières.
RePEc:ner:dauphi:urn:hdl:123456789/116		[Citation Analysis]
2008Stochastic Local Volatility
RePEc:rdg:icmadp:icma-dp2008-02		[Citation Analysis]
2008Optimal capital and risk allocations for law- and cash-invariant convex functions
RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439		[Citation Analysis]
2008Arbitrage-free market models for option prices: the multi-strike case
RePEc:spr:finsto:v:12:y:2008:i:4:p:469-505		[Citation Analysis]

Recent citations received in: 2007

YearTitleSee
2007Long-term Risk: An Operator Approach
RePEc:cla:levrem:122247000000001669		[Citation Analysis]

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.
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