CitEc
[home]     [Citation data for:  series | authors | papers]      [Maintainers]      [Submit references]      [warning | faq | about]
  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

  
 

Finance and Stochastics / Springer Economics Journals

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.

Create citation feed for this series

Missing citations? Add them with our user input service
Incorrect content? Let us know

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII
19900.090000.04
19910.090000.05
19920.080000.04
19930.090000.05
19940.10000.05
19950.120000.06
19960.16415000.08
19970.21161994070.440.08
19980.250.222196205020.10.09
19990.460.28251183717010.040.13
20000.30.3717754614030.180.16
20010.210.3829146429040.140.16
20020.260.41381664612020.050.2
20030.270.430671800.2
20040.450.49291133817030.10.22
20050.210.5232113296070.220.24
20060.490.5285861301020.070.23
20070.380.422755602326.120.070.19
20080.220.432346551233.370.30.21
20090.30.43233950156.770.30.19
20100.390.361713461816.710.060.15
 
 
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:
Year  ↓Title  ↓Cited  ↓
1997LIBOR and swap market models and measures (*)
RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330 [Citation Analysis]		65
1997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)
RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129 [Citation Analysis]		60
2002Convex measures of risk and trading constraints
RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447 [Citation Analysis]		42
1999Hedging and liquidation under transaction costs in currency markets
RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248 [Citation Analysis]		37
1997Processes of normal inverse Gaussian type
RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68 [Citation Analysis]		26
2002Fourier series method for measurement of multivariate volatilities
RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61 [Citation Analysis]		25
2001Utility maximization in incomplete markets with random endowment
RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272 [Citation Analysis]		25
2001The numeraire portfolio for unbounded semimartingales
RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341 [Citation Analysis]		22
2004Liquidity risk and arbitrage pricing theory
RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341 [Citation Analysis]		21
1997Continuous-time term structure models: Forward measure approach (*)
RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291 [Citation Analysis]		16
2005Conditional and dynamic convex risk measures
RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561 [Citation Analysis]		16
1998Optimization of consumption with labor income
RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440 [Citation Analysis]		16
2007Optimal investments for risk- and ambiguity-averse preferences: a duality approach
RePEc:spr:finsto:v:11:y:2007:i:1:p:107-129 [Citation Analysis]		14
1999On dynamic measures of risk
RePEc:spr:finsto:v:3:y:1999:i:4:p:451-482 [Citation Analysis]		14
2001A solution approach to valuation with unhedgeable risks
RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82 [Citation Analysis]		13
1997On the range of options prices (*)
RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140 [Citation Analysis]		13
1996Irreversible investment and industry equilibrium (*)
RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89 [Citation Analysis]		13
1999Applications of Malliavin calculus to Monte Carlo methods in finance
RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412 [Citation Analysis]		13
2002Optimal stopping and perpetual options for Lévy processes
RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493 [Citation Analysis]		13
2004An example of indifference prices under exponential preferences
RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239 [Citation Analysis]		12
2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization
RePEc:spr:finsto:v:5:y:2001:i:4:p:557-581 [Citation Analysis]		12
2005Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
RePEc:spr:finsto:v:9:y:2005:i:1:p:29-42 [Citation Analysis]		12
2002No-arbitrage criteria for financial markets with efficient friction
RePEc:spr:finsto:v:6:y:2002:i:3:p:371-382 [Citation Analysis]		12
2002An analysis of a least squares regression method for American option pricing
RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471 [Citation Analysis]		12
2006Generalized deviations in risk analysis
RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74 [Citation Analysis]		11
1998Optimal time to invest when the price processes are geometric Brownian motions
RePEc:spr:finsto:v:2:y:1998:i:3:p:295-310 [Citation Analysis]		11
2005Pricing options on realized variance
RePEc:spr:finsto:v:9:y:2005:i:4:p:453-475 [Citation Analysis]		11
1998Asymptotic arbitrage in large financial markets
RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172 [Citation Analysis]		11
2001Coherent risk measures and good-deal bounds
RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200 [Citation Analysis]		11
2001Existence and structure of stochastic equilibria with intertemporal substitution
RePEc:spr:finsto:v:5:y:2001:i:4:p:487-509 [Citation Analysis]		11
2005Inf-convolution of risk measures and optimal risk transfer
RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298 [Citation Analysis]		11
2004Vector-valued coherent risk measures
RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552 [Citation Analysis]		11
2001Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
RePEc:spr:finsto:v:5:y:2001:i:2:p:237-257 [Citation Analysis]		10
1999Quantile hedging
RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273 [Citation Analysis]		10
1998Local martingales and the fundamental asset pricing theorems in the discrete-time case
RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273 [Citation Analysis]		10
2002Optimal capital structure and endogenous default
RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263 [Citation Analysis]		10
2000Bond pricing in a hidden Markov model of the short rate
RePEc:spr:finsto:v:4:y:2000:i:4:p:371-389 [Citation Analysis]		10
2000Efficient hedging: Cost versus shortfall risk
RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146 [Citation Analysis]		10
2001The relaxed investor and parameter uncertainty
RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154 [Citation Analysis]		10
1998A closed-form solution to the problem of super-replication under transaction costs
RePEc:spr:finsto:v:3:y:1999:i:1:p:35-54 [Citation Analysis]		9
2002Exponential growth of fixed-mix strategies in stationary asset markets
RePEc:spr:finsto:v:7:y:2003:i:2:p:263-276 [Citation Analysis]		9
2000Markov-functional interest rate models
RePEc:spr:finsto:v:4:y:2000:i:4:p:391-408 [Citation Analysis]		9
1997An application of hidden Markov models to asset allocation problems (*)
RePEc:spr:finsto:v:1:y:1997:i:3:p:229-238 [Citation Analysis]		9
2002A multicurrency extension of the lognormal interest rate Market Models
RePEc:spr:finsto:v:6:y:2002:i:2:p:173-196 [Citation Analysis]		9
2000Incompleteness of markets driven by a mixed diffusion
RePEc:spr:finsto:v:4:y:2000:i:2:p:209-222 [Citation Analysis]		8
1998Option pricing with transaction costs and a nonlinear Black-Scholes equation
RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397 [Citation Analysis]		8
2004Convergence of utility functions and convergence of optimal strategies
RePEc:spr:finsto:v:8:y:2004:i:1:p:133-144 [Citation Analysis]		8
2001A general characterization of one factor affine term structure models
RePEc:spr:finsto:v:5:y:2001:i:3:p:389-412 [Citation Analysis]		8
2007Moment explosions in stochastic volatility models
RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50 [Citation Analysis]		8
2009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204 [Citation Analysis]		8

Citing documents used to compute impact factor 18:
Year  ↓Title  ↓See  ↓
2010Exchange option pricing under stochastic volatility: a correlation expansion
RePEc:kap:revdev:v:13:y:2010:i:1:p:45-73		[Citation Analysis]
2010Optimal trade execution and absence of price manipulations in limit order book models
RePEc:hal:journl:hal-00397652		[Citation Analysis]
2010Numerical methods for an optimal order execution problem
RePEc:arx:papers:1006.0768		[Citation Analysis]
2010Risk-neutral compatibility with option prices
RePEc:spr:finsto:v:14:y:2010:i:2:p:285-315		[Citation Analysis]
2010Computing optimal recovery policies for financial markets
RePEc:aeg:wpaper:2010-20		[Citation Analysis]
2010Market models for CDOs driven by time-inhomogeneous Levy processes
RePEc:arx:papers:1006.2012		[Citation Analysis]
2010No-arbitrage of second kind in countable markets with proportional transaction costs
RePEc:arx:papers:1008.3276		[Citation Analysis]
2010On the Existence of Consistent Price Systems
RePEc:arx:papers:0911.3789		[Citation Analysis]
2010Fractional processes as models in stochastic finance
RePEc:arx:papers:1004.3106		[Citation Analysis]
2010From implied to spot volatilities
RePEc:spr:finsto:v:14:y:2010:i:2:p:157-177		[Citation Analysis]
2010Risk-neutral compatibility with option prices
RePEc:spr:finsto:v:14:y:2010:i:2:p:285-315		[Citation Analysis]
2010Complete Closed-form Solution to a Stochastic Growth Model and Corresponding Speed of Economic Recovery preliminary
RePEc:deg:conpap:c015_041		[Citation Analysis]
2010From the decompositions of a stopping time to risk premium decompositions
RePEc:arx:papers:0912.4312		[Citation Analysis]
2010Exotic derivatives under stochastic volatility models with jumps
RePEc:arx:papers:0912.2595		[Citation Analysis]
2010Dynamic risk measures
RePEc:arx:papers:1002.3794		[Citation Analysis]
2010Upper and lower bounds on dynamic risk indifference prices in incomplete markets
RePEc:arx:papers:0909.3219		[Citation Analysis]
2010Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
RePEc:arx:papers:1002.3627		[Citation Analysis]
2010Analyticity of the Wiener-Hopf factors and valuation of exotic options in Levy models
RePEc:arx:papers:0911.0373		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

Year  ↓Title  ↓See  ↓
2010Option data and modeling BSM implied volatility
RePEc:usg:dp2010:2010-32		[Citation Analysis]

Recent citations received in: 2009

Year  ↓Title  ↓See  ↓
2009Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
RePEc:arx:papers:0906.0394		[Citation Analysis]
2009Mutual Fund Theorem for continuous time markets with random coefficients
RePEc:arx:papers:0911.3194		[Citation Analysis]
2009Asymptotic behavior of prices of path dependent options
RePEc:arx:papers:0911.5579		[Citation Analysis]
2009Multiple defaults and contagion risks
RePEc:arx:papers:0912.3132		[Citation Analysis]
2009Multiple defaults and contagion risks
RePEc:hal:wpaper:hal-00441500		[Citation Analysis]
2009Numerical methods for Lévy processes
RePEc:spr:finsto:v:13:y:2009:i:4:p:471-500		[Citation Analysis]
2009A decomposition formula for option prices in the Heston model and applications to option pricing approximation
RePEc:upf:upfgen:1188		[Citation Analysis]

Recent citations received in: 2008

Year  ↓Title  ↓See  ↓
2008Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
RePEc:arx:papers:0802.1823		[Citation Analysis]
2008Consistent price systems and face-lifting pricing under transaction costs
RePEc:arx:papers:0803.4416		[Citation Analysis]
2008An introduction to L{e}vy processes with applications in finance
RePEc:arx:papers:0804.0482		[Citation Analysis]
2008q-Optimal Martingale Measures for Discrete Time Models
RePEc:kap:apfinm:v:15:y:2008:i:3:p:155-173		[Citation Analysis]
2008Importance sampling for backward SDEs
RePEc:knz:cofedp:0811		[Citation Analysis]
2008Long run forward rates and long yields of bonds and options in heterogeneous equilibria
RePEc:spr:finsto:v:12:y:2008:i:2:p:245-264		[Citation Analysis]
2008Universal bounds for asset prices in heterogeneous economies
RePEc:spr:finsto:v:12:y:2008:i:3:p:411-422		[Citation Analysis]

Recent citations received in: 2007

Year  ↓Title  ↓See  ↓
2007Robust Optimal Control for a Consumption-investment Problem
RePEc:hum:wpaper:sfb649dp2007-026		[Citation Analysis]
2007An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
RePEc:spr:finsto:v:11:y:2007:i:3:p:323-355		[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.
Hosted by Valencian Economic Research Institute ©2012 Jose Manuel Barrueco | mail: barrueco@uv.es