Citation Profile: Finance and Stochastics / Springer Economics Journals

Most cited documents in this series:

Year Title Cited
1997 LIBOR and swap market models and measures (*)
RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330 [Citation Analysis] 81
2002 Convex measures of risk and trading constraints
RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447 [Citation Analysis] 73
1997 From 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] 72
1999 Hedging and liquidation under transaction costs in currency markets
RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248 [Citation Analysis] 48
2002 Fourier series method for measurement of multivariate volatilities
RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61 [Citation Analysis] 43
2004 Liquidity risk and arbitrage pricing theory
RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341 [Citation Analysis] 31
1997 Processes of normal inverse Gaussian type
RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68 [Citation Analysis] 30
2001 The numeraire portfolio for unbounded semimartingales
RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341 [Citation Analysis] 28
2001 Utility maximization in incomplete markets with random endowment
RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272 [Citation Analysis] 27
2005 Conditional and dynamic convex risk measures
RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561 [Citation Analysis] 27
1996 Irreversible investment and industry equilibrium (*)
RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89 [Citation Analysis] 26
2006 Generalized deviations in risk analysis
RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74 [Citation Analysis] 26
1999 Quantile hedging
RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273 [Citation Analysis] 23
2005 Inf-convolution of risk measures and optimal risk transfer
RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298 [Citation Analysis] 23
1998 Optimization of consumption with labor income
RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440 [Citation Analysis] 22
1999 Applications of Malliavin calculus to Monte Carlo methods in finance
RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412 [Citation Analysis] 22
1999 On dynamic measures of risk
RePEc:spr:finsto:v:3:y:1999:i:4:p:451-482 [Citation Analysis] 22
2001 Coherent risk measures and good-deal bounds
RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200 [Citation Analysis] 20
2007 Optimal investments for risk- and ambiguity-averse preferences: a duality approach
RePEc:spr:finsto:v:11:y:2007:i:1:p:107-129 [Citation Analysis] 19
2002 No-arbitrage criteria for financial markets with efficient friction
RePEc:spr:finsto:v:6:y:2002:i:3:p:371-382 [Citation Analysis] 18
2002 Optimal capital structure and endogenous default
RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263 [Citation Analysis] 18
1997 Continuous-time term structure models: Forward measure approach (*)
RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291 [Citation Analysis] 18
2001 A solution approach to valuation with unhedgeable risks
RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82 [Citation Analysis] 18
2002 An 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] 17
1998 Local 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] 17
1997 On the range of options prices (*)
RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140 [Citation Analysis] 16
2001 The relaxed investor and parameter uncertainty
RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154 [Citation Analysis] 16
2005 Credit 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] 16
1998 Asymptotic arbitrage in large financial markets
RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172 [Citation Analysis] 16
2001 Analytical value-at-risk with jumps and credit risk
RePEc:spr:finsto:v:5:y:2001:i:2:p:155-180 [Citation Analysis] 15
2002 In the insurance business risky investments are dangerous
RePEc:spr:finsto:v:6:y:2002:i:2:p:227-235 [Citation Analysis] 15
2000 Efficient hedging: Cost versus shortfall risk
RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146 [Citation Analysis] 15
1999 Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
RePEc:spr:finsto:v:3:y:1999:i:3:p:345-369 [Citation Analysis] 15
2005 Pricing options on realized variance
RePEc:spr:finsto:v:9:y:2005:i:4:p:453-475 [Citation Analysis] 14
2000 Game options
RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463 [Citation Analysis] 14
2001 Minimax 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] 13
2002 Optimal stopping and perpetual options for Lévy processes
RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493 [Citation Analysis] 13
1998 Optimal 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] 13
2001 Existence and structure of stochastic equilibria with intertemporal substitution
RePEc:spr:finsto:v:5:y:2001:i:4:p:487-509 [Citation Analysis] 13
2004 Vector-valued coherent risk measures
RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552 [Citation Analysis] 13
1998 Hedging American contingent claims with constrained portfolios
RePEc:spr:finsto:v:2:y:1998:i:3:p:215-258 [Citation Analysis] 12
2004 An example of indifference prices under exponential preferences
RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239 [Citation Analysis] 12
1998 A 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] 12
1997 An application of hidden Markov models to asset allocation problems (*)
RePEc:spr:finsto:v:1:y:1997:i:3:p:229-238 [Citation Analysis] 11
2000 Bond pricing in a hidden Markov model of the short rate
RePEc:spr:finsto:v:4:y:2000:i:4:p:371-389 [Citation Analysis] 11
2001 Forward 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] 11
1998 Option pricing with transaction costs and a nonlinear Black-Scholes equation
RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397 [Citation Analysis] 11
2004 Asymptotic analysis for optimal investment and consumption with transaction costs
RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206 [Citation Analysis] 11
2007 Moment explosions in stochastic volatility models
RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50 [Citation Analysis] 10
2008 Dynamic risk measures: Time consistency and risk measures from BMO martingales
RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244 [Citation Analysis] 10

Citing documents used to compute impact factor 26:

Year Title See
2011 Covariance measurement in the presence of non-synchronous trading and market microstructure noise
RePEc:eee:econom:v:160:y:2011:i:1:p:58-68 [Citation Analysis]
2011 Data-based ranking of realised volatility estimators
RePEc:eee:econom:v:161:y:2011:i:2:p:284-303 [Citation Analysis]
2011 A model-free no-arbitrage price bound for variance options
RePEc:hal:wpaper:inria-00634387 [Citation Analysis]
2011 The Small and Large Time Implied Volatilities in the Minimal Market Model
RePEc:arx:papers:1109.6154 [Citation Analysis]
2011 The Small and Large Time Implied Volatilities in the Minimal Market Model
RePEc:uts:rpaper:297 [Citation Analysis]
2011 Valuation equations for stochastic volatility models
RePEc:arx:papers:1004.3299 [Citation Analysis]
2011 Implied Volatility Surface: Construction Methodologies and Characteristics
RePEc:arx:papers:1107.1834 [Citation Analysis]
2011 Robust pricing and hedging of double no-touch options
RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605 [Citation Analysis]
2011 Foreign currency bubbles
RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83 [Citation Analysis]
2011 On the calibration of local jump-diffusion asset price models
RePEc:spr:finsto:v:15:y:2011:i:4:p:685-724 [Citation Analysis]
2011 Estimation of a multivariate stochastic volatility density by kernel deconvolution
RePEc:eee:jmvana:v:102:y:2011:i:3:p:683-697 [Citation Analysis]
2011 Analytical approximation of the transition density in a local volatility model
RePEc:pra:mprapa:31107 [Citation Analysis]
2011 Implied Volatility Surface: Construction Methodologies and Characteristics
RePEc:arx:papers:1107.1834 [Citation Analysis]
2011 Adjoint expansions in local LÃ©vy models
RePEc:pra:mprapa:34571 [Citation Analysis]
2011 Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model
RePEc:kap:apfinm:v:18:y:2011:i:1:p:33-54 [Citation Analysis]
2011 On the calibration of local jump-diffusion asset price models
RePEc:spr:finsto:v:15:y:2011:i:4:p:685-724 [Citation Analysis]
2011 Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management
RePEc:arx:papers:1005.4417 [Citation Analysis]
2011 The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
RePEc:arx:papers:1107.0190 [Citation Analysis]
2011 Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization.
RePEc:ner:dauphi:urn:hdl:123456789/7101 [Citation Analysis]
2011 Time-Inconsistent Stochastic Linear--Quadratic Control
RePEc:arx:papers:1111.0818 [Citation Analysis]
2011 Conditional jumps in volatility and their economic determinants
RePEc:pad:wpaper:0138 [Citation Analysis]
2011 Subsampling high frequency data
RePEc:eee:econom:v:161:y:2011:i:2:p:262-283 [Citation Analysis]
2011 The economic value of range-based covariance between stock and bond returns with dynamic copulas
RePEc:eee:empfin:v:18:y:2011:i:4:p:711-727 [Citation Analysis]
2011 Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
RePEc:arx:papers:1107.1831 [Citation Analysis]
2011 Market equilibrium with heterogeneous behavioural and classical investors preferences
RePEc:flo:wpaper:2011-09 [Citation Analysis]
2011 A model for a large investor trading at market indifference prices. I: single-period case
RePEc:arx:papers:1110.3224 [Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

Year	Title	See
2011	Implied Volatility Surface: Construction Methodologies and Characteristics RePEc:arx:papers:1107.1834	[Citation Analysis]
2011	Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models RePEc:arx:papers:1108.3998	[Citation Analysis]
2011	The Small and Large Time Implied Volatilities in the Minimal Market Model RePEc:arx:papers:1109.6154	[Citation Analysis]
2011	Monte Carlo methods via a dual approach for some discrete time stochastic control problems RePEc:arx:papers:1112.4351	[Citation Analysis]
2011	On efficiency of mean-variance based portfolio selection in DC pension schemes RePEc:cca:wpaper:154	[Citation Analysis]
2011	Measure preserving derivatives and the pricing kernel puzzle RePEc:eee:mateco:v:47:y:2011:i:6:p:689-697	[Citation Analysis]
2011	Investment/consumption problem in illiquid markets with regimes switching RePEc:hal:wpaper:hal-00610214	[Citation Analysis]
2011	On the existence of shadow prices RePEc:hal:wpaper:hal-00645980	[Citation Analysis]
2011	The Small and Large Time Implied Volatilities in the Minimal Market Model RePEc:uts:rpaper:297	[Citation Analysis]

Recent citations received in: 2010

Year	Title	See
2010	Quasi-maximum likelihood estimation of volatility with high frequency data RePEc:eee:econom:v:159:y:2010:i:1:p:235-250	[Citation Analysis]
2010	Realised quantile-based estimation of the integrated variance RePEc:eee:econom:v:159:y:2010:i:1:p:74-98	[Citation Analysis]
2010	Option data and modeling BSM implied volatility RePEc:usg:dp2010:2010-32	[Citation Analysis]

Recent citations received in: 2009

Year	Title	See
2009	Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes RePEc:arx:papers:0906.0394	[Citation Analysis]
2009	Mutual Fund Theorem for continuous time markets with random coefficients RePEc:arx:papers:0911.3194	[Citation Analysis]
2009	Asymptotic behavior of prices of path dependent options RePEc:arx:papers:0911.5579	[Citation Analysis]
2009	Multiple defaults and contagion risks RePEc:arx:papers:0912.3132	[Citation Analysis]
2009	Multiple defaults and contagion risks RePEc:hal:wpaper:hal-00441500	[Citation Analysis]
2009	Numerical methods for Lévy processes RePEc:spr:finsto:v:13:y:2009:i:4:p:471-500	[Citation Analysis]
2009	A 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
2008	Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models RePEc:arx:papers:0802.1823	[Citation Analysis]
2008	Consistent price systems and face-lifting pricing under transaction costs RePEc:arx:papers:0803.4416	[Citation Analysis]
2008	An introduction to L\{e}vy processes with applications in finance RePEc:arx:papers:0804.0482	[Citation Analysis]
2008	q-Optimal Martingale Measures for Discrete Time Models RePEc:kap:apfinm:v:15:y:2008:i:3:p:155-173	[Citation Analysis]
2008	Importance sampling for backward SDEs RePEc:knz:cofedp:0811	[Citation Analysis]
2008	Long 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]
2008	Universal bounds for asset prices in heterogeneous economies RePEc:spr:finsto:v:12:y:2008:i:3:p:411-422	[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.