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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Mathematical Finance / Wiley Blackwell

null

Impact Factor

2.23

5-Years IF

37

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.09000 (%)0.03
19910.09171710.06238001 (%)0.04
19920.09163310.0332517177 (2.2%)10.060.04
19930.060.10.06215450.091993323322 (1%)10.050.05
19940.110.110.09207470.09327374545 (%)10.050.05
19950.20.190.221993220.2440841874162 (%)50.260.07
19960.620.230.5119112550.49708392493471 (%)20.110.09
19970.660.270.5918130680.52609382595564 (%)20.110.09
19980.540.270.4620150730.49389372097454 (1%)50.250.1
19990.630.310.7161661120.67106338249667 (%)70.440.13
20000.530.391.04281941720.89361361992963 (%)30.110.15
20010.50.411202141870.8722644221011015 (2.2%)30.150.16
20020.310.430.73242381830.77361481510274 (%)40.170.19
20030.430.450.81262642310.88136441910888 (%)20.080.19
20040.580.511.03302943051.0422650291141171 (%)40.130.21
20050.380.540.59293232940.91213562112876 (%)80.280.22
20060.410.520.54323553240.912205924129701 (%)80.250.21
20070.480.450.61273824011.05150612914186 (%)30.110.18
20080.410.480.492941141012625924144711 (%)110.380.2
20090.520.480.59224334150.961895629147861 (%)50.230.19
20100.590.440.554334581.06513013977 (%)0.16
20111.140.530.824334581.06222511090 (%)0.21
20120.581.054335081.1707882 (%)0.22
20130.711.434336061.405173 (%)0.25
20140.812.23164496861.5302249 (%)0.28
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
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
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%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

 

50 most cited documents in this series:

[Click on heading to sort table]

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

Full description at Econpapers || Download paper

831
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.

Full description at Econpapers || Download paper

411
1995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

Full description at Econpapers || Download paper

181
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.

Full description at Econpapers || Download paper

160
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.

Full description at Econpapers || Download paper

113
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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92
1997Bond Market Structure in the Presence of Marked Point Processes. (1997). 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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80
1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Bensaid, Bernard ; Scheinkman, Jose ; LESNE, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86.

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79
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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75
1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Carr, Peter ; Jarrow, Robert ; Myneni, Ravi . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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72
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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70
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.

Full description at Econpapers || Download paper

69
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.

Full description at Econpapers || Download paper

69
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.

Full description at Econpapers || Download paper

68
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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66
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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64
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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60
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.

Full description at Econpapers || Download paper

57
1997Arbitrage with Fractional Brownian Motion. (1997). L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

Full description at Econpapers || Download paper

56
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.

Full description at Econpapers || Download paper

54
2002Monte Carlo valuation of American options. (2002). L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

Full description at Econpapers || Download paper

52
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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50
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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50
2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Yu, Fan . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26.

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50
1995ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, Elyegs ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232.

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48
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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47
2001A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets. (2001). Heath, David ; Schweizer, Martin . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:4:p:385-413.

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46
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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46
1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy. (1992). Amin, Kaushik I. ; Jarrow, Robert A.. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:4:p:217-237.

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45
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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45
1992Option Pricing Under Incompleteness and Stochastic Volatility. (1992). Schweizer, Martin ; Hofmann, Norbert . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:3:p:153-187.

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45
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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44
1998On Feedback Effects from Hedging Derivatives. (1998). Schweizer, Martin . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:67-84.

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43
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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41
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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39
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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38
2008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, E. ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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38
2003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette . In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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36
1997The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates. (1997). L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:157-176.

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35
1991Option Pricing With V. G. Martingale Components. (1991). Madan, Dilip B. ; Milne, Frank . In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:4:p:39-55.

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34
1998Complete Models with Stochastic Volatility. (1998). 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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34
2001Robust Hedging of Barrier Options. (2001). Hobson, David ; L. C. G. Rogers, ; Brown, Haydyn . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:3:p:285-314.

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34
2002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; SAMPERI, DOMINICK . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

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34
2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

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34
1996CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS. (1996). Chateauneuf, A. ; Kast, R. ; Lapied, A.. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:323-330.

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33
1998Robustness of the Black and Scholes Formula. (1998). Jeanblanc-Picque, Monique ; Shreve, Steven E. ; El Karoui, Nicole . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126.

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31
2006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES. (2006). Frittelli, Marco . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:4:p:589-612.

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31
2002MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY. (2002). Evstigneev, Igor V. ; 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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31
1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS. (1994). Madan, Dilip B. ; Milne, Frank . In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:3:p:223-245.

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30
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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30

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

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

Full description at Econpapers || Download paper

273
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.

Full description at Econpapers || Download paper

109
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.

Full description at Econpapers || Download paper

59
1995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

Full description at Econpapers || Download paper

51
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.

Full description at Econpapers || Download paper

32
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.

Full description at Econpapers || Download paper

30
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.

Full description at Econpapers || Download paper

27
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.

Full description at Econpapers || Download paper

26
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.

Full description at Econpapers || Download paper

24
2001Robust Hedging of Barrier Options. (2001). Hobson, David ; L. C. G. Rogers, ; Brown, Haydyn . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:3:p:285-314.

Full description at Econpapers || Download paper

24
2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480.

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23
2009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

Full description at Econpapers || Download paper

21
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.

Full description at Econpapers || Download paper

20
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.

Full description at Econpapers || Download paper

19
2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Zong, Jianping ; Kwok, YueKuen ; Dai, Min . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611.

Full description at Econpapers || Download paper

19
2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

Full description at Econpapers || Download paper

19
2004The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. (2004). Schachermayer, Walter . In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:19-48.

Full description at Econpapers || Download paper

19
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.

Full description at Econpapers || Download paper

19
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.

Full description at Econpapers || Download paper

18
2004Blacks Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates. (2004). Linetsky, Vadim ; Gorovoi, Viatcheslav . In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:49-78.

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18
2007THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14.

Full description at Econpapers || Download paper

17
1997Arbitrage with Fractional Brownian Motion. (1997). L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

Full description at Econpapers || Download paper

16
2008AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS. (2008). Eraker, Bjorn ; Shaliastovich, Ivan . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:519-543.

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16
2009REGULAR VARIATION AND SMILE ASYMPTOTICS. (2009). Friz, P. ; Benaim, S.. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:1:p:1-12.

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15
2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS. (2008). Touzi, Nizar ; Carmona, Rene . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:239-268.

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15
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.

Full description at Econpapers || Download paper

14
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.

Full description at Econpapers || Download paper

14
2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

Full description at Econpapers || Download paper

14
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.

Full description at Econpapers || Download paper

14
2002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; SAMPERI, DOMINICK . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

Full description at Econpapers || Download paper

14
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.

Full description at Econpapers || Download paper

14
2002Monte Carlo valuation of American options. (2002). L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

Full description at Econpapers || Download paper

13
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.

Full description at Econpapers || Download paper

13
2006MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS. (2006). Muthuraman, Kumar ; Kumar, Sunil . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:301-335.

Full description at Econpapers || Download paper

13
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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12
1998A Simple Counterexample to Several Problems in the Theory of Asset Pricing. (1998). Delbaen, Freddy ; Schachermayer, Walter . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:1-11.

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

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2005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

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2009ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS. (2009). Sircar, Ronnie ; Leung, Tim . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:1:p:99-128.

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

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

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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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2008VALUATIONS AND DYNAMIC CONVEX RISK MEASURES. (2008). Jobert, A. ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:1:p:1-22.

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2007AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476.

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2009EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING. (2009). Cadenillas, Abel ; Sotomayor, Luz Rocio . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:251-279.

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2005OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL. (2005). Muler, Nora ; Azcue, Pablo . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:261-308.

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2006DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY. (2006). Weber, Stefan . In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441.

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

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2005COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS. (2005). Roorda, Berend . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:4:p:589-612.

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