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

Applied Mathematical Finance / Taylor & Francis Journals

[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
19940.111111053000.05
19950.090.2142510.0410311100.08
19960.2416410742500.1
19970.330.31455120.22293010600.11
19980.10.29126770.14330300.11
19990.040.341582140.17172611000.15
20000.110.421496250.263327366.70.16
20010.10.4413109160.151929333.310.080.17
20020.220.4516125210.179827600.2
20030.030.4716141360.267729100.2
20040.130.5316157330.2133324010.060.22
20050.280.5615172510.3124329070.470.23
20060.190.5516188590.3156316050.310.22
20070.350.4723211520.25503111010.040.19
20080.310.522233700.340391200.21
20090.240.5124257650.253545119.10.21
20100.280.4723280650.23324613010.040.17
20110.040.5524304690.2324472020.080.22
20120.130.67213251180.367476030.140.26
20130.360.92273521630.4634516020.070.34
20140.020.68352800.23048100.24
 
 
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
2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, Álvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335.

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56
1995Pricing 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.

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50
2002On 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.

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43
2003Optimal 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.

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33
1995Uncertain 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.

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27
2000Volatility 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.

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25
2005The 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.

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25
1994Stock 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.

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25
2002Bivariate 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.

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23
1998A 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.

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20
2005Stochastic 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.

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16
1997Calibrating 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.

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16
2006Interpolation 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.

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16
1995Statistical 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.

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14
1996Managing 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.

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14
2002Energy 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.

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14
1994Delta, 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.

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13
2010Optimal 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.

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13
1996The 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.

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12
2006A 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.

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11
1996Binomial 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.

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11
2010Analysis 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.

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11
1995Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209.

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11
2003A 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.

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10
2008Weak 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.

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9
2007A 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.

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9
2006On 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.

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9
2009On 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.

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9
2004Multiple 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.

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9
2009Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, Álvaro ; Figueroa, Marcelo ; Geman, Helyette . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122.

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9
2004On 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.

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8
2003On 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.

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8
1994Dynamic 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.

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8
1998General Black-Scholes models accounting for increased market volatility from hedging strategies. (1998). K. Ronnie Sircar, George Papanicolaou, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82.

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8
1996Bond, 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.

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8
1996Toward 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.

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8
1995A 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.

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7
2005Sharp 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.

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7
2008General 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.

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7
1999Multigrid for American option pricing with stochastic volatility. (1999). Nigel Clarke, Kevin Parrott, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195.

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7
1998Optimal exercise boundary for an American put option. (1998). Rachel A. Kuske, Joseph B. Keller, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:2:p:107-116.

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6
2007Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62.

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6
2002Basics of electricity derivative pricing in competitive markets. (2002). Vehvilainen, Iivo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60.

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6
2003Contingent 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.

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6
2011Small-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.

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6
2005Stochastic 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.

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6
2011Closed Form Approximations for Spread Options. (2011). Alexander, Carol ; Venkatramanan, Aanand . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:5:p:447-472.

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5
2007On American Options Under the Variance Gamma Process. (2007). Oosterlee, Cornelis ; Almendral, Ariel . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:131-152.

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5
2007Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Benth, Fred Espen ; KUFAKUNESU, RODWELL ; GROTH, MARTIN. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363.

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5
2011Markowitzs Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model. (2011). Yang, Hailiang ; Chen, Ping . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:29-50.

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5

Citing documents used to compute impact factor 1:

YearTitleSee
2014Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models. (2014). Lopez, Oscar ; Serrano, Rafael . In: Papers. RePEc:arx:papers:1406.3112.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2013

YearTitleSee
2013Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model. (2013). Shen, Yang ; Siu, Tak Kuen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:757-768.

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[Citation Analysis]
2013Drift dependence of optimal trade execution strategies under transient price impact. (2013). Lorenz, Christopher ; Schied, Alexander . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770.

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[Citation Analysis]

Recent citations received in: 2012

YearTitleSee
2012.

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[Citation Analysis]
2012.

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[Citation Analysis]
2012.

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[Citation Analysis]

Recent citations received in: 2011

YearTitleSee
2011Comparison 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.

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

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[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.