providing citation data for Economics since 2001
[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [
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| 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 |
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Most cited documents in this series:
| Year | Title | Cited |
|---|---|---|
| 1995 | Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers || Download paper | 49 |
| 2005 | Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, Ãlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers || Download paper | 48 |
| 2002 | On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers || Download paper | 40 |
| 2003 | Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers || Download paper | 27 |
| 1995 | Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers || Download paper | 26 |
| 1994 | Stock market bubbles in the laboratory. (1994). Smith, Vernon ; Porter, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers || Download paper | 24 |
| 2005 | The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers || Download paper | 22 |
| 2002 | Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers || Download paper | 21 |
| 1998 | A framework for valuing corporate securities. (1998). Ericsson, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers || Download paper | 18 |
| 2000 | Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32. Full description at Econpapers || Download paper | 17 |
| 1995 | Statistical modelling of asymmetric risk in asset returns. (1995). Tran, Kien ; Knight, J. L. ; Satchell, S. E.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172. Full description at Econpapers || Download paper | 14 |
| 2005 | Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers || Download paper | 13 |
| 1994 | Delta, gamma and bucket hedging of interest rate derivatives. (1994). Jarrow, Robert ; Turnbull, Stuart . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48. Full description at Econpapers || Download paper | 12 |
| 2010 | Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers || Download paper | 12 |
| 1996 | The use and pricing of convertible bonds. (1996). Nyborg, Kjell. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:3:p:167-190. Full description at Econpapers || Download paper | 12 |
| 2006 | A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models. (2006). Krippner, Leo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:39-59. Full description at Econpapers || Download paper | 11 |
| 1996 | Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. (1996). ParAS, Antonio ; Avellaneda, Marco . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52. Full description at Econpapers || Download paper | 11 |
| 1995 | Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers || Download paper | 11 |
| 2006 | Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers || Download paper | 10 |
| 2002 | Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers || Download paper | 9 |
| 2010 | Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers || Download paper | 9 |
| 2003 | A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers || Download paper | 8 |
| 2006 | On the Distributional Characterization of Daily Log-Returns of a World Stock Index. (2006). Platen, Eckhard ; Fergusson, Kevin. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38. Full description at Econpapers || Download paper | 8 |
| 1997 | Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64. Full description at Econpapers || Download paper | 8 |
| 1996 | Toward real-time pricing of complex financial derivatives. (1996). Ninomiya, S. ; Tezuka, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:1-20. Full description at Econpapers || Download paper | 8 |
| 2008 | Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers || Download paper | 7 |
| 2007 | A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers || Download paper | 7 |
| 2004 | Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). Perelló, Josep ; Masoliver, Jaume ; Bouchaud, Jean-Philippe . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50. Full description at Econpapers || Download paper | 7 |
| 1995 | A simple class of square-root interest-rate models. (1995). Jamshidian, F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:1:p:61-72. Full description at Econpapers || Download paper | 7 |
| 1996 | Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers || Download paper | 6 |
| 2003 | On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. (2003). Benth, Fred Espen . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324. Full description at Econpapers || Download paper | 6 |
| 2004 | On the pricing and hedging of volatility derivatives. (2004). Rafailidis, Avraam ; Howison, Sam ; Rasmussen, Henrik . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346. Full description at Econpapers || Download paper | 6 |
| 2005 | Sharp Upper and Lower Bounds for Basket Options. (2005). Laurence, Peter ; WANG, TAI-HO . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers || Download paper | 6 |
| 2008 | General Lower Bounds for Arithmetic Asian Option Prices. (2008). Albrecher, H. ; Schoutens, W. ; Mayer, P. A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:123-149. Full description at Econpapers || Download paper | 6 |
| 2006 | A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model. (2006). Henrard, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:1-18. Full description at Econpapers || Download paper | 5 |
| 1996 | The pricing of Asian options under stochastic interest rates. (1996). Sandmann, Klaus ; Nielsen, J. A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:3:p:209-236. Full description at Econpapers || Download paper | 5 |
| 2009 | Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, Ãlvaro ; Figueroa, Marcelo ; Geman, Helyette . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers || Download paper | 5 |
| 1999 | Phenomenology of the interest rate curve. (1999). Potters, Marc ; Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:209-232. Full description at Econpapers || Download paper | 5 |
| 2005 | Stochastic Volatility Model with Time-dependent Skew. (2005). Piterbarg, Vladimir . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:2:p:147-185. Full description at Econpapers || Download paper | 5 |
| 1996 | Default risk and derivative products. (1996). Cooper, Ian ; Martin, Marcel . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:53-70. Full description at Econpapers || Download paper | 5 |
| 1996 | A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates. (1996). Sommer, Daniel ; Frey, Rudiger . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:295-317. Full description at Econpapers || Download paper | 5 |
| 2011 | Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model. (2011). Jacquier, Antoine ; Forde, Martin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:6:p:517-535. Full description at Econpapers || Download paper | 5 |
| 1996 | Bond, futures and option evaluation in the quadratic interest rate model. (1996). Jamshidian, Farshid . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:2:p:93-115. Full description at Econpapers || Download paper | 5 |
| 2009 | On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers || Download paper | 5 |
| 2003 | Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory. (2003). Hamada, Mahmoud ; Sherris, Michael . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47. Full description at Econpapers || Download paper | 5 |
| 1994 | Dynamic hedging portfolios for derivative securities in the presence of large transaction costs. (1994). Marco, Avellaneda ; Antonio, ParaS . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:165-194. Full description at Econpapers || Download paper | 4 |
| 2005 | Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection. (2005). Ballestero, Enrique. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:1-15. Full description at Econpapers || Download paper | 4 |
| 1997 | Interest rate futures: estimation of volatility parameters in an arbitrage-free framework. (1997). Chiarella, Carl. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:4:p:181-199. Full description at Econpapers || Download paper | 4 |
| 2004 | Multi-asset portfolio optimization with transaction cost. (2004). Atkinson, C. ; Mokkhavesa, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:2:p:95-123. Full description at Econpapers || Download paper | 4 |
| 2008 | Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives. (2008). Nomikos, N. K. ; Soldatos, O.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:1:p:41-71. Full description at Econpapers || Download paper | 4 |
Citing documents used to compute impact factor 7:
| Year | Title | See |
|---|---|---|
| 2012 | Multi-period meanâvariance portfolio selection with regime switching and a stochastic cash flow. (2012). Wu, Huiling ; Li, Zhongfei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:50:y:2012:i:3:p:371-384. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | High-order short-time expansions for ATM option prices under the CGMY
model. (2012). Christian Houdr'e, ; Gong, Ruoting ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:1112.3111. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Price-Setting of Market Makers: A Filtering Problem with an Endogenous
Filtration. (2012). Kuhn, Christoph ; Riedel, Matthias . In: Papers. RePEc:arx:papers:1210.4000. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Optimal trade execution: A mean quadratic variation approach. (2012). Windcliff, H. ; Tse, S. T. ; Forsyth, P. A. ; Kennedy, J. S.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:12:p:1971-1991. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A Note on Allenâs Arc Elasticity with Arithmetic, Geometric and Harmonic Means. (2012). Loviscek, Anthony ; Hung, Ken ; Cheng, Hui ; Yang, Chin . In: Atlantic Economic Journal. RePEc:kap:atlecj:v:40:y:2012:i:2:p:161-171. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A tractable LIBOR model with default risk. (2012). Papapantoleon, Antonis ; GRBAC, ZORANA . In: Papers. RePEc:arx:papers:1202.0587. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing. (2012). McAleer, Michael ; Asai, Manabu. In: Documentos del Instituto Complutense de Análisis Económico. RePEc:ucm:doicae:1302. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
| Year | Title | See |
|---|---|---|
| 2012 | Pricing Multi-Asset Cross Currency Options. (2012). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf290. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | . Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
| Year | Title | See |
|---|---|---|
| 2011 | Comparison of Two Numerical Methods for Computation of American Type of
the Floating Strike Asian Option. (2011). Sevcovic, D. ; Kandilarov, J. D.. In: Papers. RePEc:arx:papers:1106.0020. Full description at Econpapers || Download paper | [Citation Analysis] |
| 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] |
Recent citations received in: 2010
| Year | Title | See |
|---|---|---|
| 2010 | Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien . In: Post-Print. RePEc:hal:journl:hal-00397652. Full description at Econpapers || Download paper | [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.