Citation analysis for Mathematical Finance / Wiley Blackwell

Mathematical Finance / Wiley Blackwell

0.56

Impact Factor

0.56

5-Years IF

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
1990		0.1			0				0		0		(%)			0.04
1991		0.09		17	17	1	0.06	287	0		0		2 (%)			0.04
1992		0.1		16	33	1	0.03	369	17		17		7 (1.9%)	1	0.06	0.04
1993	0.06	0.11	0.06	21	54	5	0.09	240	33	2	33	2	2 (%)	1	0.05	0.05
1994	0.11	0.12	0.09	20	74	7	0.09	400	37	4	54	5	2 (%)	1	0.05	0.05
1995	0.2	0.19	0.23	19	93	23	0.25	484	41	8	74	17	4 (%)	5	0.26	0.07
1996	0.64	0.22	0.53	19	112	58	0.52	807	39	25	93	49	5 (%)	2	0.11	0.09
1997	0.68	0.27	0.63	18	130	79	0.61	753	38	26	95	60	6 (%)	6	0.33	0.09
1998	0.57	0.27	0.52	20	150	79	0.53	443	37	21	97	50	4 (%)	5	0.25	0.1
1999	0.66	0.31	0.72	16	166	114	0.69	1290	38	25	96	69	(%)	7	0.44	0.13
2000	0.72	0.4	1.25	28	194	206	1.06	442	36	26	92	115	3 (%)	3	0.11	0.15
2001	0.55	0.4	1.06	20	214	205	0.96	278	44	24	101	107	6 (2.2%)	3	0.15	0.15
2002	0.35	0.42	0.8	24	238	196	0.82	424	48	17	102	82	2 (%)	4	0.17	0.18
2003	0.45	0.44	0.87	26	264	255	0.97	172	44	20	108	94	(%)	2	0.08	0.18
2004	0.7	0.49	1.15	30	294	351	1.19	300	50	35	114	131	1 (%)	5	0.17	0.2
2005	0.41	0.53	0.63	29	323	315	0.98	280	56	23	128	80	(%)	10	0.34	0.21
2006	0.42	0.51	0.59	32	355	352	0.99	273	59	25	129	76	2 (%)	8	0.25	0.2
2007	0.51	0.44	0.67	27	382	435	1.14	213	61	31	141	95	(%)	3	0.11	0.18
2008	0.46	0.47	0.53	29	411	452	1.1	329	59	27	144	77	1 (%)	11	0.38	0.2
2009	0.63	0.47	0.67	22	433	469	1.08	232	56	35	147	99	1 (%)	5	0.23	0.19
2010	0.63	0.44	0.64		433	510	1.18		51	32	139	89	(%)			0.16
2011	1.27	0.51	0.95		433	510	1.18		22	28	110	104	(%)			0.2
2012		0.56	1.09		433	537	1.24		0		78	85	(%)			0.21
2013		0.66	1.43		433	653	1.51		0		51	73	(%)			0.23
2014		0.67	2.23	16	449	724	1.61	54	0		22	49	(%)	4	0.25	0.22
2015	0.56	0.82	0.56	28	477	743	1.56	24	16	9	16	9	(%)	3	0.11	0.27

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:

#	Year	Title	Cited
1	1999	Coherent 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. Full description at Econpapers \|\| Download paper	1007
2	1996	A 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	477
3	1995	THE 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	217
4	1997	Backward 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	190
5	1997	The 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	161
6	1998	Long 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	132
7	1994	MODELING 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	90
8	1994	MAXIMUM 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	90
9	1991	Optimal 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	90
10	2000	Optimal 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	89
11	1992	ALTERNATIVE 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. Full description at Econpapers \|\| Download paper	88
12	1992	DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; PagÃÂ¨s, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86. Full description at Econpapers \|\| Download paper	86
13	1997	Bond Market Structure in the Presence of Marked Point Processes. (1997). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Bjork, Tomas ; Kabanov, Yuri ; Runggaldier, Wolfgang . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239. Full description at Econpapers \|\| Download paper	85
14	1996	HEDGING 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	81
15	1999	Interest 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	78
16	2000	The 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	74
17	2002	Monte 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. Full description at Econpapers \|\| Download paper	73
18	1993	BESSEL 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. Full description at Econpapers \|\| Download paper	71
19	2002	A 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	67
20	1995	VOLATILITY 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. Full description at Econpapers \|\| Download paper	67
21	1997	Arbitrage 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. Full description at Econpapers \|\| Download paper	61
22	1998	Consumption 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	60
23	2005	DEFAULT 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. Full description at Econpapers \|\| Download paper	59
24	1995	ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, ElyÃÂ¨s ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232. Full description at Econpapers \|\| Download paper	58
25	1999	Term Structure Models Driven by General LÃ©vy Processes. (1999). Eberlein, Ernst ; Raible, Sebastian. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53. Full description at Econpapers \|\| Download paper	57
26	1993	OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276. Full description at Econpapers \|\| Download paper	56
27	2000	Pricing 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. Full description at Econpapers \|\| Download paper	54
28	1996	OPTION 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. Full description at Econpapers \|\| Download paper	53
29	2002	VALUATION 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	52
30	1992	Pricing 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. Full description at Econpapers \|\| Download paper	50
31	2008	BEHAVIORAL 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	50
32	2001	A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets. (2001). Platen, Eckhard ; Heath, David ; Schweizer, Martin . In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:4:p:385-413. Full description at Econpapers \|\| Download paper	48
33	1999	Controlling 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. Full description at Econpapers \|\| Download paper	48
34	1998	On 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. Full description at Econpapers \|\| Download paper	47
35	1997	An 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	47
36	1992	Option 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. Full description at Econpapers \|\| Download paper	45
37	2003	Stochastic Volatility for LÃ©vy 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. Full description at Econpapers \|\| Download paper	44
38	1997	Contingent 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. Full description at Econpapers \|\| Download paper	43
39	1991	Option 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. Full description at Econpapers \|\| Download paper	43
40	2001	Robust Hedging of Barrier Options. (2001). Rogers, Leonard ; 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	42
41	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃÂ¨s ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292. Full description at Econpapers \|\| Download paper	42
42	2002	Exponential 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	41
43	1998	Robustness 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. Full description at Econpapers \|\| Download paper	41
44	2000	On Models of Default Risk. (2000). JEANBLANC, M. ; Elliott, R. J. ; Yor, M.. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195. Full description at Econpapers \|\| Download paper	40
45	2009	RISK 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	40
46	1991	Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case. (1991). He, Hua ; Pearson, Neil D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:3:p:1-10. Full description at Econpapers \|\| Download paper	39
47	1997	The 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. Full description at Econpapers \|\| Download paper	38
48	2003	The 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. Full description at Econpapers \|\| Download paper	38
49	1998	Complete 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. Full description at Econpapers \|\| Download paper	38
50	2004	THE 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. Full description at Econpapers \|\| Download paper	38

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	1999	Coherent 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. Full description at Econpapers \|\| Download paper	299
2	1996	A 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	101
3	1997	Backward 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	71
4	1995	THE 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
5	1998	Long 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	41
6	1997	The 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	36
7	2000	Optimal 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	33
8	2007	THE 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	28
9	1996	HEDGING 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	27
10	2008	BEHAVIORAL 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	27
11	2004	The 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	27
12	1994	MODELING 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	26
13	2008	GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Dai, Min ; Zong, Jianping ; Kwok, Yue Kuen . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611. Full description at Econpapers \|\| Download paper	26
14	2002	VALUATION 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	24
15	2006	MODEL 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	23
16	2004	THE 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. Full description at Econpapers \|\| Download paper	23
17	1991	Optimal 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	23
18	2009	RISK 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	22
19	2004	Blacks Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates. (2004). Gorovoy, Vyacheslav ; Gorovoi, Viatcheslav ; Linetsky, Vadim . In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:49-78. Full description at Econpapers \|\| Download paper	21
20	1997	An 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	21
21	2001	Robust Hedging of Barrier Options. (2001). Rogers, Leonard ; 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	21
22	1993	OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276. Full description at Econpapers \|\| Download paper	20
23	2002	A 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	18
24	1994	MAXIMUM 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	18
25	2005	OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÃR-LUNDBERG MODEL. (2005). Muler, Nora ; Azcue, Pablo . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:261-308. Full description at Econpapers \|\| Download paper	18
26	2005	AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437. Full description at Econpapers \|\| Download paper	18
27	2002	Exponential 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	17
28	2000	The 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	16
29	2002	Monte 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. Full description at Econpapers \|\| Download paper	16
30	1999	Controlling 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. Full description at Econpapers \|\| Download paper	16
31	1992	ALTERNATIVE 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. Full description at Econpapers \|\| Download paper	16
32	2000	Pricing 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. Full description at Econpapers \|\| Download paper	16
33	1999	Interest 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	15
34	2007	AN 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. Full description at Econpapers \|\| Download paper	15
35	2008	AN 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. Full description at Econpapers \|\| Download paper	15
36	1995	ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS. (1995). Jouini, ElyÃÂ¨s ; Kallal, Hedi . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:3:p:197-232. Full description at Econpapers \|\| Download paper	15
37	1993	BESSEL 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. Full description at Econpapers \|\| Download paper	15
38	1997	Arbitrage 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. Full description at Econpapers \|\| Download paper	14
39	2006	MULTIDIMENSIONAL 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	14
40	2000	On Models of Default Risk. (2000). JEANBLANC, M. ; Elliott, R. J. ; Yor, M.. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:179-195. Full description at Econpapers \|\| Download paper	14
41	2003	Stochastic Volatility for LÃ©vy 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. Full description at Econpapers \|\| Download paper	14
42	2009	REGULAR VARIATION AND SMILE ASYMPTOTICS. (2009). Friz, P. ; Benaim, S.. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:1:p:1-12. Full description at Econpapers \|\| Download paper	14
43	2005	CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION. (2005). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, ; Bielecki, Tomasz R. ; Pliska, Stanley R.. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:213-244. Full description at Econpapers \|\| Download paper	13
44	2007	DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE. (2007). SÃÂ¸rensen, Michael ; Larsen, Kristian Stegenborg . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:2:p:285-306. Full description at Econpapers \|\| Download paper	13
45	1998	A 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. Full description at Econpapers \|\| Download paper	13
46	2009	OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY-BASED PRICING. (2009). Gordan Žitković, ; Owen, Mark P.. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:1:p:129-159. Full description at Econpapers \|\| Download paper	12
47	1998	Robustness 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. Full description at Econpapers \|\| Download paper	12
48	2014	LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY. (2014). Bayraktar, Erhan ; Ludkovski, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:4:p:627-650. Full description at Econpapers \|\| Download paper	12
49	1991	Option 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. Full description at Econpapers \|\| Download paper	11
50	2005	DEFAULT 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. Full description at Econpapers \|\| Download paper	11

Citing documents used to compute impact factor 9:

Year	Title
2015	Optimum Liquidation Problem Associated with the Poisson Cluster Process. (2015). Sadoghi, A ; Vecer, J. In: Papers. RePEc:arx:papers:1507.06514. Full description at Econpapers \|\| Download paper
2015	Dynamics of Order Positions and Related Queues in a Limit Order Book. (2015). Guo, Xin ; Zhu, Lingjiong ; Ruan, Zhao . In: Papers. RePEc:arx:papers:1505.04810. Full description at Econpapers \|\| Download paper
2015	High frequency trading and asymptotics for small risk aversion in a Markov renewal model. (2015). Pham, Huyen ; Fodra, Pietro . In: Papers. RePEc:arx:papers:1310.1756. Full description at Econpapers \|\| Download paper
2015	Time-consistent investment strategy under partial information. (2015). Li, Yongwu ; Wang, Shouyang ; Qiao, Han . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:187-197. Full description at Econpapers \|\| Download paper
2015	Time-consistent reinsurance and investment strategies for meanâvariance insurer under partial information. (2015). Liang, Zongxia ; Song, Min . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:65:y:2015:i:c:p:66-76. Full description at Econpapers \|\| Download paper
2015	Discrete-time behavioral portfolio selection under cumulative prospect theory. (2015). Cui, Xiangyu ; Li, Duan ; Shi, Yun . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:61:y:2015:i:c:p:283-302. Full description at Econpapers \|\| Download paper
2015	Cold-season solar input and ambivalent thermal behavior brought by climber greenwalls. (2015). Jim, C Y. In: Energy. RePEc:eee:energy:v:90:y:2015:i:p1:p:926-938. Full description at Econpapers \|\| Download paper
2015	Martingale optimal transport in the Skorokhod space. (2015). Dolinsky, Yan ; Soner, Mete H. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:10:p:3893-3931. Full description at Econpapers \|\| Download paper
2015	Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps. (2015). Brigo, Damiano ; Petrelli, Andrea ; Pede, Nicola . In: Papers. RePEc:arx:papers:1512.07256. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218. Full description at Econpapers \|\| Download paper
2015	A risk analysis for a system stabilized by a central agent. (2015). Garnier, Josselin . In: Papers. RePEc:arx:papers:1507.08333. Full description at Econpapers \|\| Download paper
2015	Equilibrium pricing under relative performance concerns. (2015). Lionnet, Arnaud ; Reis, Gonalo Dos . In: Working Papers. RePEc:hal:wpaper:hal-01245812. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Optimal order placement in limit order markets. (2014). Kukanov, Arseniy ; Cont, Rama . In: Papers. RePEc:arx:papers:1210.1625. Full description at Econpapers \|\| Download paper
2014	Optimal execution and block trade pricing: a general framework. (2014). Olivier Gu'eant, . In: Papers. RePEc:arx:papers:1210.6372. Full description at Econpapers \|\| Download paper
2014	A convex duality method for optimal liquidation with participation constraints. (2014). Lasry, Jean-Michel ; Olivier Gu'eant, ; Pu, Jiang . In: Papers. RePEc:arx:papers:1407.4614. Full description at Econpapers \|\| Download paper
2014	Consumptionâinvestment strategies with non-exponential discounting and logarithmic utility. (2014). Wei, Jiaqin ; Zhao, Qian . In: European Journal of Operational Research. RePEc:eee:ejores:v:238:y:2014:i:3:p:824-835. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	333
2	Insurance: Mathematics and Economics / Elsevier	91
3	Finance and Stochastics / Springer	63
4	European Journal of Operational Research / Elsevier	36
5	Journal of Economic Dynamics and Control / Elsevier	32
6	Journal of Banking & Finance / Elsevier	30
7	Stochastic Processes and their Applications / Elsevier	22
8	NBER Working Papers / National Bureau of Economic Research, Inc	17
9	Mathematical Methods of Operations Research / Springer	16
10	Computational Statistics / Springer	14
11	Working Papers / HAL	13

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.