Citations ranking for series: Finance and Stochastics / Springer

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Last updated February, 3 2014 581.217 documents processed, 14.657.417 references and 5.549.674 citations

Finance and Stochastics / Springer

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

	IF	AIF	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	%SC	CiY	II	AII
1990		0.08		0	0		0	0		0			0.04
1991		0.08		0	0		0	0		0			0.04
1992		0.08		0	0		0	0		0			0.04
1993		0.09		0	0		0	0		0			0.05
1994		0.1		0	0		0	0		0			0.04
1995		0.19		0	1		0	0		0			0.07
1996		0.23	4	4	4	1	42	0		0			0.09
1997		0.29	16	20	9	0.45	288	4		0	9	0.56	0.1
1998	0.45	0.29	21	41	11	0.27	177	20	9	0	2	0.1	0.11
1999	0.57	0.33	25	66	31	0.47	236	37	21	0	3	0.12	0.14
2000	0.35	0.42	17	83	43	0.52	138	46	16	0	4	0.24	0.16
2001	0.5	0.44	29	112	58	0.52	290	42	21	0	4	0.14	0.17
2002	0.35	0.44	38	150	59	0.39	345	46	16	0	5	0.13	0.19
2003	0.49	0.46		150	93	0.62	0	67	33	0			0.2
2004	0.71	0.53	29	179	109	0.61	207	38	27	0	4	0.14	0.22
2005	0.28	0.56	32	211	144	0.68	242	29	8	0	7	0.22	0.23
2006	0.62	0.53	28	239	150	0.63	139	61	38	7.9	2	0.07	0.22
2007	0.62	0.46	27	266	172	0.65	127	60	37	16.2	4	0.15	0.19
2008	0.42	0.49	23	289	213	0.74	99	55	23	17.4	7	0.3	0.21
2009	0.64	0.5	23	312	222	0.71	81	50	32	3.1	8	0.35	0.2
2010	0.63	0.46	24	336	249	0.74	63	46	29	20.7	3	0.13	0.16
2011	0.66	0.57	29	365	264	0.72	64	47	31	12.9	9	0.31	0.22
2012	0.64	0.66	30	395	348	0.88	34	53	34	17.6	8	0.27	0.26

IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

Most cited documents in this series:

Year	Title	Cited
2002	Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447. Full description at Econpapers \|\| Download paper	106
1997	*LIBOR and swap market models and measures ()*. (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330*. Full description at Econpapers \|\| Download paper	105
1997	*From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets ()*. (1997). Olsen, Richard ; Dacorogna, Michel ; Guillaume, Dominique M. ; Muller, Ulrich A. ; Dave, Rakhal R. ; Pictet, Olivier V.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129*. Full description at Econpapers \|\| Download paper	74
1999	Hedging and liquidation under transaction costs in currency markets. (1999). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248. Full description at Econpapers \|\| Download paper	63
2002	Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61. Full description at Econpapers \|\| Download paper	52
2004	Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Protter, Philip ; etin, Umut . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341. Full description at Econpapers \|\| Download paper	41
2005	Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561. Full description at Econpapers \|\| Download paper	39
1999	Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273. Full description at Econpapers \|\| Download paper	37
2005	Inf-convolution of risk measures and optimal risk transfer. (2005). El Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298. Full description at Econpapers \|\| Download paper	36
2006	Generalized deviations in risk analysis. (2006). ZABARANKIN, MICHAEL ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74. Full description at Econpapers \|\| Download paper	35
2001	Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272. Full description at Econpapers \|\| Download paper	34
2001	The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341. Full description at Econpapers \|\| Download paper	33
1999	Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers \|\| Download paper	33
1996	*Irreversible investment and industry equilibrium ()*. (1996). Baldursson, Fridrik ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89*. Full description at Econpapers \|\| Download paper	29
1997	Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68. Full description at Econpapers \|\| Download paper	28
1998	Optimization of consumption with labor income. (1998). Jeanblanc-Picque, Monique ; El Karoui, Nicole . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440. Full description at Econpapers \|\| Download paper	26
1998	Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347. Full description at Econpapers \|\| Download paper	25
2001	Coherent risk measures and good-deal bounds. (2001). Jaschke, Stefan ; Kuchler, Uwe . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200. Full description at Econpapers \|\| Download paper	25
1999	On dynamic measures of risk. (1999). Cvitanic, Jaksa ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:451-482. Full description at Econpapers \|\| Download paper	24
2002	Optimal capital structure and endogenous default. (2002). Rogers, Leonard ; Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263. Full description at Econpapers \|\| Download paper	23
2001	Analytical value-at-risk with jumps and credit risk. (2001). Duffie, Darrell ; Pan, Jun . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:155-180. Full description at Econpapers \|\| Download paper	22
2001	The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154. Full description at Econpapers \|\| Download paper	22
2004	Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206. Full description at Econpapers \|\| Download paper	22
2001	A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82. Full description at Econpapers \|\| Download paper	22
2007	Optimal investments for risk- and ambiguity-averse preferences: a duality approach. (2007). Schied, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:107-129. Full description at Econpapers \|\| Download paper	22
2002	An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; Clement, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471. Full description at Econpapers \|\| Download paper	21
2002	Optimal stopping and perpetual options for LÃ©vy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493. Full description at Econpapers \|\| Download paper	20
1998	Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Shiryaev, A. N. ; Jacod, J.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273. Full description at Econpapers \|\| Download paper	20
2000	Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146. Full description at Econpapers \|\| Download paper	20
1997	*Continuous-time term structure models: Forward measure approach ()*. (1997). Musiela, Marek ; RUTKOWSKI, MAREK . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291*. Full description at Econpapers \|\| Download paper	20
2002	In the insurance business risky investments are dangerous. (2002). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Frolova, Anna ; Kabanov, Yuri ; Pergamenshchikov, Serguei . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:227-235. Full description at Econpapers \|\| Download paper	19
2007	Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50. Full description at Econpapers \|\| Download paper	19
1997	*On the range of options prices ()*. (1997). Eberlein, Ernst ; Jacod, Jean . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140*. Full description at Econpapers \|\| Download paper	19
2000	Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463. Full description at Econpapers \|\| Download paper	19
2005	Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. (2005). Brigo, Damiano ; Alfonsi, Aurelien . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:29-42. Full description at Econpapers \|\| Download paper	19
1998	Asymptotic arbitrage in large financial markets. (1998). Kramkov, Dmitry ; ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172. Full description at Econpapers \|\| Download paper	18
2001	Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model. (2001). Chiarella, Carl ; Oh Kang Kwon, . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:237-257. Full description at Econpapers \|\| Download paper	18
2005	Pricing options on realized variance. (2005). Madan, Dilip ; Carr, Peter ; Yor, Marc ; Geman, Helyette . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:453-475. Full description at Econpapers \|\| Download paper	18
2004	An example of indifference prices under exponential preferences. (2004). Musiela, Marek ; Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239. Full description at Econpapers \|\| Download paper	17
1999	Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences. (1999). Constantinides, George ; Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:345-369. Full description at Econpapers \|\| Download paper	17
2004	Vector-valued coherent risk measures. (2004). Jouini, ElyÃ¨s ; Meddeb, Moncef ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552. Full description at Econpapers \|\| Download paper	17
2002	A multicurrency extension of the lognormal interest rate Market Models. (2002). Schlogl, Erik. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:173-196. Full description at Econpapers \|\| Download paper	17
1998	Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; SONER, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397. Full description at Econpapers \|\| Download paper	17
2001	Minimax and minimal distance martingale measures and their relationship to portfolio optimization. (2001). Ruschendorf, Ludger ; Goll, Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:4:p:557-581. Full description at Econpapers \|\| Download paper	16
2008	Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244. Full description at Econpapers \|\| Download paper	16
2005	Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492. Full description at Econpapers \|\| Download paper	16
2002	No-arbitrage criteria for financial markets with efficient friction. (2002). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Stricker, Christophe ; Kabanov, Yuri ; Rasonyi, Miklos . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:3:p:371-382. Full description at Econpapers \|\| Download paper	16
2006	A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim . In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330. Full description at Econpapers \|\| Download paper	15
2009	Risk aversion and the dynamics of optimal liquidation strategies inÂ illiquid markets. (2009). Schied, Alexander ; SchÃ¶neborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204. Full description at Econpapers \|\| Download paper	15
2000	Bond pricing in a hidden Markov model of the short rate. (2000). Landen, Camilla. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:371-389. Full description at Econpapers \|\| Download paper	15

Citing documents used to compute impact factor 34:

Year	Title	See
2012	Quasi-Monte Carlo methods for the Heston model. (2012). Baldeaux, Jan ; Roberts, Dale . In: Papers. RePEc:arx:papers:1202.3217. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Bessel bridges decomposition with varying dimension. Applications to finance.. (2012). Goutte, StÃ©phane ; Faraud, Gabriel . In: Working Papers. RePEc:hal:wpaper:hal-00694126. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Quasi-Monte Carol Methods for the Heston Model. (2012). Baldeaux, Jan ; Roberts, Dale . In: Research Paper Series. RePEc:uts:rpaper:307. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Multilevel Monte Carlo methods for applications in finance. (2012). Szpruch, Lukasz ; Giles, Mike . In: Papers. RePEc:arx:papers:1212.1377. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	When are path-dependent payoffs suboptimal?. (2012). Kassberger, Stefan ; Liebmann, Thomas . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:5:p:1304-1310. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Investment/consumption problem in illiquid markets with regime-switching. (2012). Gozzi, Fausto ; Pham, Huyen ; Gassiat, Paul . In: Papers. RePEc:arx:papers:1107.4210. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Income drawdown option with minimum guarantee. (2012). Gozzi, Fausto ; Vigna, Elena ; Federico, Salvatore ; Di Giacinto, Marina . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:272. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Impact of time illiquidity in a mixed market without full observation. (2012). Gozzi, Fausto ; Federico, Salvatore ; Gassiat, Paul . In: Papers. RePEc:arx:papers:1211.1285. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Fair demographic risk sharing in defined contribution pension systems. (2012). Gabay, Daniel ; Grasselli, Martino . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:4:p:657-669. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Ethics and Finance: the role of mathematics. (2012). TimothyC. Johnson, . In: Papers. RePEc:arx:papers:1210.5390. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Continuous-time trading and the emergence of probability. (2012). Vovk, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:561-609. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Optimal multiple stopping with random waiting times. (2012). Irle, Albrecht ; Jurgens, Stephan ; Christensen, Soren . In: Papers. RePEc:arx:papers:1205.1966. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A pure martingale dual for multiple stopping. (2012). Schoenmakers, John . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:2:p:319-334. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Large deviations for the extended Heston model: the large-time case. (2012). Jacquier, Antoine ; Mijatovic, Aleksandar . In: Papers. RePEc:arx:papers:1203.5020. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Asymptotic and non asymptotic approximations for option valuation. (2012). Gobet, Emmanuel ; Bompis, Romain . In: Post-Print. RePEc:hal:journl:hal-00720650. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources. (2012). Riedel, Frank ; Chiarolla, Maria B. ; Ferrari, Giorgio . In: Working Papers. RePEc:bie:wpaper:463. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Irreversible investment in oligopoly. (2012). Steg, Jan-Henrik. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:2:p:207-224. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On an Integral Equation for the Free Boundary of Stochastic, Irreversible Investment Problems. (2012). Ferrari, Giorgio . In: Working Papers. RePEc:bie:wpaper:471. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces. (2012). Cohen, Samuel N.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:4:p:1601-1626. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles. (2012). Acciaio, Beatrice ; Penner, Irina ; Follmer, Hans . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:669-709. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Central limit theorems for realized volatility under hitting times of an irregular grid. (2012). Fukasawa, Masaaki ; Rosenbaum, Mathieu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:12:p:3901-3920. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Pricing and hedging of credit derivatives viaÂ theÂ innovations approach to nonlinear filtering. (2012). Frey, Rudiger ; Schmidt, Thorsten . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:1:p:105-133. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On absolutely continuous compensators and nonlinear filtering equations in default risk models. (2012). etin, Umut . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:11:p:3619-3647. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Asymptotic and non asymptotic approximations for option valuation. (2012). Gobet, Emmanuel ; Bompis, Romain . In: Post-Print. RePEc:hal:journl:hal-00720650. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results. (2012). Lipton, Alexander ; Andersen, Leif . In: Papers. RePEc:arx:papers:1206.6787. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Efficient Discretization of Stochastic Integrals. (2012). Fukasawa, Masaaki . In: Papers. RePEc:arx:papers:1204.0637. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Approximate hedging problem with transaction costs in stochastic volatility markets. (2012). Nguyen, Huu Thai ; Pergamenchtchikov, Serguei . In: Working Papers. RePEc:hal:wpaper:hal-00747689. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Approximate hedging problem with transaction costs in stochastic volatility markets. (2012). Nguyen, Huu Thai ; Pergamenchtchikov, Serguei . In: Working Papers. RePEc:hal:wpaper:hal-00808608. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Tangent LÃ©vy market models. (2012). Carmona, Rene ; Nadtochiy, Sergey . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:1:p:63-104. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Time-Consistent and Market-Consistent Evaluations (Revised version of CentER DP 2011-063). (2012). Pelsser, Antoon ; Stadje, M. A.. In: Discussion Paper. RePEc:dgr:kubcen:2012086. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets. (2012). German, David ; Schellhorn, Henry . In: Papers. RePEc:arx:papers:1206.4804. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Hedging through a Limit Order Book with Varying Liquidity. (2012). Gencay, Ramazan ; Genay, Ramazan ; Agliardi, Rossella . In: Working Paper Series. RePEc:rim:rimwps:12_12. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Estimation of Quarticity with High Frequency Data. (2012). Mancino, Maria Elvira ; Sanfelici, Simona . In: DiMaD Working Papers. RePEc:flo:wpaper:2011-06. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	. Full description at Econpapers \|\| Download paper	[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2012

Year	Title	See
2012	A note on super-hedging for investor-producers. (2012). Huu, Adrien Nguyen . In: Papers. RePEc:arx:papers:1112.4740. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A Note on A Family of Maximum Entropy Densities Matching Call Option Prices. (2012). Neri, Cassio ; Schneider, Lorenz . In: Papers. RePEc:arx:papers:1212.4279. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On an Integral Equation for the Free Boundary of Stochastic, Irreversible Investment Problems. (2012). Ferrari, Giorgio . In: Working Papers. RePEc:bie:wpaper:471. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Symmetric equilibrium strategies in game theoretic real option models. (2012). Thijssen, Jacco ; Kort, Peter ; Huisman, Kuno ; Huisman, Kuno J. M., ; Thijssen, Jacco J. J., . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:48:y:2012:i:4:p:219-225. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On absolutely continuous compensators and nonlinear filtering equations in default risk models. (2012). etin, Umut . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:11:p:3619-3647. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs. (2012). Paulsen, Jostein ; Bai, Lihua . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:12:p:4005-4027. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A note on super-hedging for investor-producers. (2012). Huu, Adrien Nguyen . In: Working Papers. RePEc:hal:wpaper:hal-00653982. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Model-independent hedging strategies for variance swaps. (2012). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:611-649. Full description at Econpapers \|\| Download paper	[Citation Analysis]

Recent citations received in: 2011

Year	Title	See
2011	Implied Volatility Surface: Construction Methodologies and Characteristics. (2011). Homescu, Cristian . In: Papers. RePEc:arx:papers:1107.1834. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models. (2011). Jacquier, Antoine ; Mijatovic, Aleksandar ; Keller-Ressel, Martin . In: Papers. RePEc:arx:papers:1108.3998. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi . In: Papers. RePEc:arx:papers:1109.6154. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Monte Carlo methods via a dual approach for some discrete time stochastic control problems. (2011). Hambly, Ben ; Gyurko, Lajos Gergely ; Witte, Jan Hendrik . In: Papers. RePEc:arx:papers:1112.4351. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	On efficiency of mean-variance based portfolio selection in DC pension schemes. (2011). Vigna, Elena . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:154. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Measure preserving derivatives and the pricing kernel puzzle. (2011). Beare, Brendan K.. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:47:y:2011:i:6:p:689-697. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Investment/consumption problem in illiquid markets with regimes switching. (2011). Gozzi, Fausto ; Pham, Huyen ; Gassiat, Paul . In: Working Papers. RePEc:hal:wpaper:hal-00610214. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	On the existence of shadow prices. (2011). Benedetti, Giuseppe ; Campi, Luciano ; Muhle-Karbe, Johannes ; Kallsen, Jan . In: Working Papers. RePEc:hal:wpaper:hal-00645980. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi . In: Research Paper Series. RePEc:uts:rpaper:297. Full description at Econpapers \|\| Download paper	[Citation Analysis]

Recent citations received in: 2010

Year	Title	See
2010	On the Martingale Property of Certain Local Martingales. (2010). Mijatovic, Aleksandar ; Urusov, Mikhail . In: Papers. RePEc:arx:papers:0905.3701. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2010	Realised quantile-based estimation of the integrated variance. (2010). Podolskij, Mark ; Christensen, Kim ; Oomen, Roel . In: Journal of Econometrics. RePEc:eee:econom:v:159:y:2010:i:1:p:74-98. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2010	Option data and modeling BSM implied volatility. (2010). Fengler, Matthias. In: University of St. Gallen Department of Economics working paper series 2010. RePEc:usg:dp2010:2010-32. Full description at Econpapers \|\| Download paper	[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. (2009). Gulisashvili, A.. In: Papers. RePEc:arx:papers:0906.0394. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	Mutual Fund Theorem for continuous time markets with random coefficients. (2009). Dokuchaev, Nikolai. In: Papers. RePEc:arx:papers:0911.3194. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	Asymptotic behavior of prices of path dependent options. (2009). Yasutomi, Kenji ; Hishida, Yuji . In: Papers. RePEc:arx:papers:0911.5579. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	Multiple defaults and contagion risks. (2009). Jiao, Ying . In: Papers. RePEc:arx:papers:0912.3132. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	Symmetric martingales and symmetric smiles. (2009). Tehranchi, Michael R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:10:p:3785-3797. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	Multiple defaults and contagion risks. (2009). Jiao, Ying . In: Working Papers. RePEc:hal:wpaper:hal-00441500. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	Numerical methods for LÃ©vy processes. (2009). Schwab, C. ; Reich, N. ; Hilber, N. ; Winter, C.. In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:4:p:471-500. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	A decomposition formula for option prices in the Heston model and applications to option pricing approximation. (2009). Alos, Elisa . In: Economics Working Papers. RePEc:upf:upfgen:1188. Full description at Econpapers \|\| Download paper	[Citation Analysis]

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