Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 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
19900.09000000.04
19910.09000000.04
19920.09000000.04
19930.1000000.05
19940.11000000.05
19950.2010000.08
19960.24444147000.1
19970.3162090.453164090.560.11
19980.450.292141110.27216209020.10.11
19990.620.342566340.522693723030.120.15
20000.390.421783460.551684618040.240.16
20010.50.4429112580.523494221040.140.17
20020.370.4538150660.443904617050.130.2
20030.510.471501020.680673400.2
20040.740.53291791190.662573828050.170.22
20050.340.56322111610.762872910070.220.23
20060.740.55282391710.7217461456.720.070.22
20070.650.47272661870.7159603915.460.220.19
20080.450.5232892320.811555251670.30.21
20090.70.51233122470.7910050352.980.350.21
20100.670.47243362870.8577463119.430.130.17
20110.680.55293652910.887473212.590.310.22
20120.70.67303953800.9650533716.280.270.26
20130.920.92314264951.162559547.470.230.34
20140.520.68164423350.76961329.490.560.24
 
 
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
2002Convex 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.

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129
1997LIBOR 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.

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115
1997From 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.

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82
1999Hedging and liquidation under transaction costs in currency markets. (1999). Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

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67
2002Fourier 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.

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58
2004Liquidity 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.

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51
1999Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

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44
2006Generalized 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.

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43
2005Conditional 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.

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42
2005Inf-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.

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40
1999Applications 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.

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40
2001Utility 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.

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37
2001The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341.

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37
1998Optimization 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.

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35
2001A 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.

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33
1996Irreversible 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.

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31
1998Robust 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.

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30
1997Processes 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.

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28
2007Moment 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.

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27
2004Asymptotic 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.

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27
2001Coherent 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.

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27
2001Analytical 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.

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26
1999On 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.

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26
2001The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154.

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26
2000Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463.

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26
2002Optimal stopping and perpetual options for Lévy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493.

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26
2007Optimal 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.

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25
2002Optimal 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.

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25
2005Pricing contingent claims with credit risk: Asymptotic expansion approach. (2005). Muroi, Yoshifumi. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:3:p:415-427.

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24
2002An 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.

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24
2005Local 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.

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24
1997Continuous-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.

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23
1998Local 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.

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23
2000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Hojgaard, Bjarne ; Asmussen, Soren ; Taksar, Michael . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

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23
2004Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Meddeb, Moncef ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

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22
1998Asymptotic arbitrage in large financial markets. (1998). Kramkov, Dmitry ; Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172.

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22
2000Efficient 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.

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22
1997On 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.

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22
2004An 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.

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21
2007The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

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21
2005Credit 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.

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21
2005Pricing 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.

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20
2002In the insurance business risky investments are dangerous. (2002). Кабанов, Юрий ; Frolova, Anna ; Kabanov, Yuri ; Pergamenshchikov, Serguei . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:227-235.

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19
2006A 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.

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19
2008Dynamic 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.

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19
1999Bounds 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.

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19
2001Forward 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.

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19
2011Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

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19
1998Option 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.

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19
2001Minimax 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.

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18

Citing documents used to compute impact factor 32:


YearTitleSee
2014Risk aggregation with dependence uncertainty. (2014). Bernard, Carole ; Wang, Ruodu ; Jiang, Xiao . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:93-108.

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[Citation Analysis]
2014Characterizing mutual exclusivity as the strongest negative multivariate dependence structure. (2014). Lo, Ambrose ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:180-190.

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[Citation Analysis]
2014Transaction costs, trading volume, and the liquidity premium. (2014). Muhle-Karbe, Johannes ; Schachermayer, Walter ; Guasoni, Paolo ; GERHOLD, STEFAN . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:1-37.

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[Citation Analysis]
2014Non-Arbitrage up to Random Horizon for Semimartingale Models. (2014). Choulli, Tahir ; Jeanblanc, Monique ; Deng, Jun ; Aksamit, Anna . In: Papers. RePEc:arx:papers:1310.1142.

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[Citation Analysis]
2014On the characterisation of honest times that avoid all stopping times. (2014). Kardaras, Constantinos . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:373-384.

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[Citation Analysis]
2014Discretisation-Invariant Swaps. (2014). Alexander, Carol ; Rauch, Johannes . In: Papers. RePEc:arx:papers:1404.1351.

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[Citation Analysis]
2014Asymptotic Glosten Milgrom equilibrium. (2014). Li, Cheng ; Xing, Hao . In: Papers. RePEc:arx:papers:1310.4994.

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[Citation Analysis]
2014A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities. (2014). Aktar, Yalccin ; Taflin, Erik . In: Papers. RePEc:arx:papers:1405.3566.

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[Citation Analysis]
2014Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure. (2014). Cui, Xiangyu ; Li, Xun . In: Papers. RePEc:arx:papers:1403.0718.

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[Citation Analysis]
2014Model-independent Superhedging under Portfolio Constraints. (2014). Fahim, Arash ; Huang, Yu-Jui . In: Papers. RePEc:arx:papers:1402.2599.

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[Citation Analysis]
2014Martingale Inequalities and Deterministic Counterparts. (2014). Beiglbock, Mathias ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1401.4698.

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[Citation Analysis]
2014On hedging American options under model uncertainty. (2014). Bayraktar, Erhan ; Zhou, Zhou ; Huang, Yu-Jui . In: Papers. RePEc:arx:papers:1309.2982.

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[Citation Analysis]
2014Martingale optimal transport in the Skorokhod space. (2014). Dolinsky, Y. ; Soner, H. M.. In: Papers. RePEc:arx:papers:1404.1516.

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[Citation Analysis]
2014Robust hedging with proportional transaction costs. (2014). Dolinsky, Yan ; Soner, H.. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:327-347.

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[Citation Analysis]
2014Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2014). Alexander M. G. Cox, ; Obloj, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1406.0551.

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[Citation Analysis]
2014[Citation Analysis]
2014Longevity risk, cost of capital and hedging for life insurers under Solvency II. (2014). Meyricke, Ramona ; Sherris, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:147-155.

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[Citation Analysis]
2014Partial information about contagion risk, self-exciting processes and portfolio optimization. (2014). Meinerding, Christoph ; Kraft, Holger ; Branger, Nicole . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:39:y:2014:i:c:p:18-36.

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[Citation Analysis]
2014BSDEs under partial information and financial applications. (2014). Cretarola, Alessandra ; Russo, Francesco ; Ceci, Claudia . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:8:p:2628-2653.

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[Citation Analysis]
2014[Citation Analysis]
2014Pricing average options under time-changed Lévy processes. (2014). Yamazaki, Akira . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:1:p:79-111.

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[Citation Analysis]
2014[Citation Analysis]
2014Representation of infinite dimensional forward price models in commodity markets. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1403.4111.

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[Citation Analysis]
2014Arbitrage of the first kind and filtration enlargements in semimartingale financial models. (2014). Acciaio, Beatrice ; Kardaras, Constantinos ; Fontana, Claudio . In: Papers. RePEc:arx:papers:1401.7198.

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[Citation Analysis]
2014[Citation Analysis]
2014Implicit transaction costs and the fundamental theorems of asset pricing. (2014). ALLAJ, ERINDI. In: Papers. RePEc:arx:papers:1310.1882.

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[Citation Analysis]
2014Infinitesimal generators of q-Meixner processes. (2014). Bryc, Wlodzimierz ; Wesoowski, Jacek . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:915-926.

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[Citation Analysis]
2014Martingale optimal transport in the Skorokhod space. (2014). Dolinsky, Y. ; Soner, H. M.. In: Papers. RePEc:arx:papers:1404.1516.

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[Citation Analysis]
2014[Citation Analysis]
2014A note on the condition of no unbounded profit with bounded risk. (2014). Takaoka, Koichiro ; Schweizer, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:393-405.

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[Citation Analysis]
2014A benchmark approach to risk-minimization under partial information. (2014). Cretarola, Alessandra ; Ceci, Claudia ; Colaneri, Katia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:129-146.

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[Citation Analysis]
2014No-arbitrage condition for $S^{\mathfrak{t}-}$ in a progressively enlarged filtration. (2014). Song, Shiqi . In: Papers. RePEc:arx:papers:1405.4474.

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[Citation Analysis]

Cites in year: CiY


Recent citations received in: 2014


YearTitleSee
2014Law-invariant risk measures: extension properties and qualitative robustness. (2014). Koch-Medina, Pablo ; Munari, Cosimo . In: Papers. RePEc:arx:papers:1401.3121.

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[Citation Analysis]
2014Capital adequacy tests and limited liability of financial institutions. (2014). Koch-Medina, Pablo ; Munari, Cosimo ; Moreno-Bromberg, Santiago . In: Papers. RePEc:arx:papers:1401.3133.

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[Citation Analysis]
2014Rebalancing with Linear and Quadratic Costs. (2014). Liu, Ren ; Weber, Marko ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1402.5306.

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[Citation Analysis]
2014Representation of infinite dimensional forward price models in commodity markets. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1403.4111.

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[Citation Analysis]
2014Distortion Risk Measures and Elicitability. (2014). Wang, Ruodu ; Ziegel, Johanna F.. In: Papers. RePEc:arx:papers:1405.3769.

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[Citation Analysis]
2014No-arbitrage condition for $S^{\mathfrak{t}-}$ in a progressively enlarged filtration. (2014). Song, Shiqi . In: Papers. RePEc:arx:papers:1405.4474.

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[Citation Analysis]
2014Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2014). Alexander M. G. Cox, ; Obloj, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1406.0551.

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[Citation Analysis]
2014[Citation Analysis]
2014Capital requirements with defaultable securities. (2014). Farkas, Walter ; Munari, Cosimo ; Koch-Medina, Pablo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:58-67.

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[Citation Analysis]

Recent citations received in: 2013


YearTitleSee
2013On arbitrages arising from honest times. (2013). Fontana, Claudio ; Song, Shiqi ; Jeanblanc, Monique . In: Papers. RePEc:arx:papers:1207.1759.

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[Citation Analysis]
2013A variation of the Canadisation algorithm for the pricing of American options driven by L\evy processes. (2013). Kleinert, Florian ; van Schaik, Kees . In: Papers. RePEc:arx:papers:1304.4534.

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[Citation Analysis]
2013Optimal robust bounds for variance options. (2013). Alexander M. G. Cox, ; Wang, Jiajie . In: Papers. RePEc:arx:papers:1308.4363.

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[Citation Analysis]
2013Pathwise stochastic integrals for model free finance. (2013). Perkowski, Nicolas ; Promel, David J.. In: Papers. RePEc:arx:papers:1311.6187.

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[Citation Analysis]
2013Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates. (2013). Puccetti, Giovanni ; Wang, Ruodu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:821-828.

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[Citation Analysis]
2013Model uncertainty and VaR aggregation. (2013). Puccetti, Giovanni ; Embrechts, Paul ; Ruschendorf, Ludger . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:8:p:2750-2764.

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2013On the game interpretation of a shadow price process in utility maximization problems under transaction costs. (2013). Rokhlin, Dmitry. In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:819-838.

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Recent citations received in: 2012


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2012A note on super-hedging for investor-producers. (2012). Huu, Adrien Nguyen . In: Papers. RePEc:arx:papers:1112.4740.

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2012A Note on A Family of Maximum Entropy Densities Matching Call Option Prices. (2012). Neri, Cassio ; Schneider, Lorenz . In: Papers. RePEc:arx:papers:1212.4279.

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2012On an Integral Equation for the Free Boundary of Stochastic, Irreversible Investment Problems. (2012). Ferrari, Giorgio . In: Working Papers. RePEc:bie:wpaper:471.

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2012Symmetric 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.

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2012On 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.

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2012On 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.

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2012A note on super-hedging for investor-producers. (2012). Huu, Adrien Nguyen . In: Working Papers. RePEc:hal:wpaper:hal-00653982.

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2012Model-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.

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[Citation Analysis]

Recent citations received in: 2011


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2011Implied Volatility Surface: Construction Methodologies and Characteristics. (2011). Homescu, Cristian . In: Papers. RePEc:arx:papers:1107.1834.

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2011Large 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.

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2011The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi . In: Papers. RePEc:arx:papers:1109.6154.

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2011Monte 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.

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2011On efficiency of mean-variance based portfolio selection in DC pension schemes. (2011). Vigna, Elena . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:154.

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2011Measure 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.

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2011Investment/consumption problem in illiquid markets with regimes switching. (2011). Gozzi, Fausto ; Pham, Huyen ; Gassiat, Paul . In: Working Papers. RePEc:hal:wpaper:hal-00610214.

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2011On the existence of shadow prices. (2011). Benedetti, Giuseppe ; Campi, Luciano ; Muhle-Karbe, Johannes ; Kallsen, Jan . In: Working Papers. RePEc:hal:wpaper:hal-00645980.

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2011The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi . In: Research Paper Series. RePEc:uts:rpaper:297.

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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.