Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 citations

Mathematical Finance / Wiley Blackwell

[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
19900.09000000.04
19910.09171710.06198000.04
19920.09163310.0329217010.060.04
19930.060.1215440.071633325010.050.05
19940.110.11207470.09294374010.050.05
19950.170.21993200.22349417050.260.08
19960.590.2419112520.466033923010.050.1
19970.660.318130630.485003825020.110.11
19980.510.2920150680.453183719030.150.11
19990.610.34161661100.668903823080.50.15
20000.530.42281941800.932943619030.110.16
20010.50.44202141880.881614422020.10.17
20020.290.45242381710.722944814040.170.2
20030.390.47262642210.841134417020.080.2
20040.560.53302942880.981455028030.10.22
20050.380.56293232790.861505621070.240.23
20060.390.55323553020.851465923070.220.22
20070.480.47273823540.93976129030.110.19
20080.360.5294113880.9418659210100.340.21
20090.480.51224333810.881345627050.230.21
20100.570.474334140.960512900.17
20110.950.554334100.950222100.22
20120.674334951.140000.26
20130.924335941.370000.34
20140.684333990.920000.24
 
 
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:

YearTitleCited
1999Coherent Measures of Risk. (1999). Artzner, Philippe ; Heath, David ; Eber, Jean-Marc ; DELBAEN, Freddy . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

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699
1996A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

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342
1995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

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149
1997Backward Stochastic Differential Equations in Finance. (1997). Quenez, M. C. ; Peng, S. ; El Karoui, N. ; ElKaroui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

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117
1998Long memory in continuous-time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

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91
1997Bond Market Structure in the Presence of Marked Point Processes. (1997). Кабанов, Юрий ; Bjork, Tomas ; Kabanov, Yuri ; Runggaldier, Wolfgang . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239.

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73
1997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

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71
1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pagès, Henri ; Bensaid, Bernard ; LESNE, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86.

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71
1991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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68
1994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan . In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167.

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67
1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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62
1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

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61
1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165.

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58
2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

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57
1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE. (1995). Sankarasubramanian, L. ; Ritchken, Peter . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72.

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52
1998Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65.

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52
2000Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

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51
1999Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348.

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51
2002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

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50
1997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

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46
1995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, Elyès ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232.

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44
1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy. (1992). Jarrow, Robert ; Amin, Kaushik I.. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:4:p:217-237.

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43
1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL. (1996). Renault, Eric ; Touzi, Nizar . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302.

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43
2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26.

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42
2002A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298.

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41
1992Option Pricing Under Incompleteness and Stochastic Volatility. (1992). Platen, Eckhard ; Schweizer, Martin ; Hofmann, Norbert . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:3:p:153-187.

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40
1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford J. ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

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40
1999Term Structure Models Driven by General Lévy Processes. (1999). Eberlein, Ernst ; Raible, Sebastian. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53.

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39
1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375.

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38
1997Contingent Claims and Market Completeness in a Stochastic Volatility Model. (1997). Romano, Marc ; Touzi, Nizar . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412.

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38
2008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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34
2000Pricing Via Utility Maximization and Entropy. (2000). El Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

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34
1997The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:157-176.

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32
2003Stochastic Volatility for Lévy Processes. (2003). Carr, Peter ; Yor, Marc ; Madan, Dilip B. ; Geman, Helyette . In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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30
1997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Whalley, A. E. ; Wilmott, P.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324.

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30
1998On Feedback Effects from Hedging Derivatives. (1998). Platen, Eckhard ; Schweizer, Martin . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:67-84.

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29
1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS. (1994). Milne, Frank ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:3:p:223-245.

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29
2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373.

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29
2002MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY. (2002). Schenk-Hoppé, Klaus ; Evstigneev, Igor ; Hens, Thorsten ; Schenk-Hoppe, Klaus Reiner . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:329-339.

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28
1996CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS. (1996). Lapied, André ; Chateauneuf, Alain ; Kast, R.. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:323-330.

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28
1998Complete Models with Stochastic Volatility. (1998). Rogers, Leonard ; Hobson, David G. ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48.

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27
2003The Term Structure of Simple Forward Rates with Jump Risk. (2003). Glasserman, Paul ; Kou, S. G.. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:383-410.

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27
2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type. (2003). Nicolato, Elisa ; Venardos, Emmanouil . In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:4:p:445-466.

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27
2006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES. (2006). Scandolo, Giacomo ; Frittelli, Marco . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:4:p:589-612.

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27
2001Robust Hedging of Barrier Options. (2001). Rogers, Leonard ; L. C. G. Rogers, ; Hobson, David ; Brown, Haydyn . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:3:p:285-314.

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27
2002Portfolio Value-at-Risk with Heavy-Tailed Risk Factors. (2002). Glasserman, Paul ; Heidelberger, Philip ; Shahabuddin, Perwez . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:239-269.

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26
2001The Liquidity Discount. (2001). SUBRAMANIAN, AJAY ; Jarrow, Robert. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:4:p:447-474.

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26
1997A Continuity Correction for Discrete Barrier Options. (1997). Broadie, Mark ; Kou, Steven ; Glasserman, Paul . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349.

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26
1999Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example. (1999). Hojgaard, Bjarne ; Taksar, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:2:p:153-182.

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26
1991Option Pricing With V. G. Martingale Components. (1991). Milne, Frank ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:4:p:39-55.

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25

Citing documents used to compute impact factor 0:

YearTitleSee

Cites in year: CiY

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.