Most cited documents in this series:

Year	Title	Cited
1995	Pricing and hedging derivative securities in markets with uncertain volatilities RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88 [Citation Analysis]	30
2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335 [Citation Analysis]	26
2002	On modelling and pricing weather derivatives RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20 [Citation Analysis]	19
2000	Volatility skews and extensions of the Libor market model RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32 [Citation Analysis]	18
1994	Stock market bubbles in the laboratory RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128 [Citation Analysis]	15
2003	Optimal execution with nonlinear impact functions and trading-enhanced risk RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18 [Citation Analysis]	14
1995	Uncertain volatility and the risk-free synthesis of derivatives RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133 [Citation Analysis]	14
2005	The Dynamic Interaction of Speculation and Diversification RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52 [Citation Analysis]	13
1998	A framework for valuing corporate securities RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163 [Citation Analysis]	11
1996	Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52 [Citation Analysis]	10
1995	Statistical modelling of asymmetric risk in asset returns RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172 [Citation Analysis]	10
1997	Calibrating volatility surfaces via relative-entropy minimization RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64 [Citation Analysis]	9
2002	Bivariate option pricing with copulas RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85 [Citation Analysis]	7
2003	A note on arbitrage-free pricing of forward contracts in energy markets RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336 [Citation Analysis]	7
2006	A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models RePEc:taf:apmtfi:v:13:y:2006:i:1:p:39-59 [Citation Analysis]	7
2006	Interpolation Methods for Curve Construction RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129 [Citation Analysis]	6
1994	Dynamic hedging portfolios for derivative securities in the presence of large transaction costs RePEc:taf:apmtfi:v:1:y:1994:i:2:p:165-194 [Citation Analysis]	6
2006	A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model RePEc:taf:apmtfi:v:13:y:2006:i:1:p:1-18 [Citation Analysis]	5
1996	The use and pricing of convertible bonds RePEc:taf:apmtfi:v:3:y:1996:i:3:p:167-190 [Citation Analysis]	5
1995	Two extensions to barrier option valuation RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209 [Citation Analysis]	5
2006	On the Distributional Characterization of Daily Log-Returns of a World Stock Index RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38 [Citation Analysis]	4
2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121 [Citation Analysis]	4
2005	Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85 [Citation Analysis]	4
2007	On American Options Under the Variance Gamma Process RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152 [Citation Analysis]	4
2003	A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach RePEc:taf:apmtfi:v:10:y:2003:i:1:p:49-74 [Citation Analysis]	3
1999	A finite element approach to the pricing of discrete lookbacks with stochastic volatility RePEc:taf:apmtfi:v:6:y:1999:i:2:p:87-106 [Citation Analysis]	3
2005	Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis RePEc:taf:apmtfi:v:12:y:2005:i:2:p:187-199 [Citation Analysis]	3
2004	On the pricing and hedging of volatility derivatives RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346 [Citation Analysis]	3
2003	Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47 [Citation Analysis]	3
2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50 [Citation Analysis]	3
1994	Delta, gamma and bucket hedging of interest rate derivatives RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48 [Citation Analysis]	3
2005	Stochastic Volatility Model with Time-dependent Skew RePEc:taf:apmtfi:v:12:y:2005:i:2:p:147-185 [Citation Analysis]	3
1998	Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism RePEc:taf:apmtfi:v:5:y:1998:i:1:p:1-15 [Citation Analysis]	3
2010	Optimal Basket Liquidation for CARA Investors is Deterministic RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489 [Citation Analysis]	3
2003	On arbitrage-free pricing of weather derivatives based on fractional Brownian motion RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324 [Citation Analysis]	3
1998	Optimal exercise boundary for an American put option RePEc:taf:apmtfi:v:5:y:1998:i:2:p:107-116 [Citation Analysis]	3
2002	Energy futures prices: term structure models with Kalman filter estimation RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43 [Citation Analysis]	3
1999	Multigrid for American option pricing with stochastic volatility RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195 [Citation Analysis]	3
1996	A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates RePEc:taf:apmtfi:v:3:y:1996:i:4:p:295-317 [Citation Analysis]	3
1998	General Black-Scholes models accounting for increased market volatility from hedging strategies RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82 [Citation Analysis]	3
2004	Modelling credit default swap spreads by means of normal mixtures and copulas RePEc:taf:apmtfi:v:11:y:2004:i:2:p:125-146 [Citation Analysis]	2
1998	An explicit finite difference approach to the pricing of barrier options RePEc:taf:apmtfi:v:5:y:1998:i:1:p:17-43 [Citation Analysis]	2
1996	Toward real-time pricing of complex financial derivatives RePEc:taf:apmtfi:v:3:y:1996:i:1:p:1-20 [Citation Analysis]	2
2006	Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes RePEc:taf:apmtfi:v:13:y:2006:i:4:p:333-352 [Citation Analysis]	2
1996	The pricing of Asian options under stochastic interest rates RePEc:taf:apmtfi:v:3:y:1996:i:3:p:209-236 [Citation Analysis]	2
1995	Lookback options with discrete and partial monitoring of the underlying price RePEc:taf:apmtfi:v:2:y:1995:i:4:p:273-284 [Citation Analysis]	2
2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169 [Citation Analysis]	2
1997	Interest rate futures: estimation of volatility parameters in an arbitrage-free framework RePEc:taf:apmtfi:v:4:y:1997:i:4:p:181-199 [Citation Analysis]	2
2006	Efficient Pricing of Derivatives on Assets with Discrete Dividends RePEc:taf:apmtfi:v:13:y:2006:i:3:p:265-284 [Citation Analysis]	2
1996	Binomial models for option valuation - examining and improving convergence RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346 [Citation Analysis]	2

Citing documents used to compute impact factor 6:

Year	Title	See
2010	An empirical comparison of alternate regime-switching models for electricity spot prices RePEc:pra:mprapa:20546	[Citation Analysis]
2010	Multi-Factor Bottom-Up Model for Pricing Credit Derivatives RePEc:pra:mprapa:23090	[Citation Analysis]
2010	Exact and high order discretization schemes for Wishart processes and their affine extensions RePEc:hal:wpaper:hal-00491371	[Citation Analysis]
2010	Exact and high order discretization schemes for Wishart processes and their affine extensions RePEc:arx:papers:1006.2281	[Citation Analysis]
2010	Stochastic Switching Games and Duopolistic Competition in Emissions Markets RePEc:arx:papers:1001.3455	[Citation Analysis]
2010	Evaluation of hydropower upgrade projects - a real options approach RePEc:pra:mprapa:23005	[Citation Analysis]

Cites in year: CiY