Citation analysis for Monte Carlo Methods and Applications / De Gruyter

Monte Carlo Methods and Applications / De Gruyter

0.12

Impact Factor

0.07

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			0				0		0		(%)			0.04
1992		0.1			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12			0				0		0		(%)			0.05
1995		0.19		17	17				0		0		(%)			0.07
1996		0.22		18	35			18	17		17		(%)			0.09
1997		0.27		17	52			1	35		35		(%)			0.09
1998		0.27		19	71				35		52		(%)			0.1
1999		0.31		16	87	1	0.01	3	36		71		(%)	1	0.06	0.13
2000		0.4	0.01	19	106	1	0.01	1	35		87	1	(%)			0.15
2001		0.4		39	145			2	35		89		(%)			0.15
2002		0.42		23	168	1	0.01	18	58		110		1 (5.6%)			0.18
2003	0.03	0.44	0.02	22	190	6	0.03	8	62	2	116	2	(%)	1	0.05	0.18
2004	0.02	0.49	0.02	41	231	6	0.03	11	45	1	119	2	(%)			0.2
2005	0.02	0.53	0.01	15	246	2	0.01	25	63	1	144	2	(%)			0.21
2006	0.04	0.51	0.04	23	269	9	0.03	12	56	2	140	6	(%)	1	0.04	0.2
2007	0.11	0.44	0.07	17	286	10	0.03	2	38	4	124	9	(%)			0.18
2008	0.03	0.47	0.01	23	309	4	0.01	3	40	1	118	1	(%)			0.2
2009		0.47	0.05	18	327	10	0.03	6	40		119	6	(%)			0.19
2010	0.02	0.44	0.02	21	348	8	0.02	3	41	1	96	2	(%)			0.16
2011	0.03	0.51	0.02	17	365	6	0.02	1	39	1	102	2	(%)			0.2
2012	0.05	0.56	0.05	15	380	18	0.05	5	38	2	96	5	(%)			0.21
2013	0.06	0.66	0.03	15	395	18	0.05	1	32	2	94	3	(%)			0.23
2014	0.07	0.67	0.03	19	414	9	0.02	4	30	2	86	3	(%)			0.22
2015	0.12	0.82	0.07	23	437	13	0.03	2	34	4	87	6	(%)	1	0.04	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	2005	On the discretization schemes for the CIR (and Bessel squared) processes. (2005). Aurelien, Alfonsi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:355-384:n:5. Full description at Econpapers \|\| Download paper	18
2	1996	The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density. (1996). Vlad, Bally ; Denis, TALAY . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:2:p:93-128:n:7. Full description at Econpapers \|\| Download paper	10
3	1996	On the use of low discrepancy sequences in Monte Carlo methods. (1996). Bruno, Tuffin . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:4:p:295-320:n:4. Full description at Econpapers \|\| Download paper	8
4	2006	Balanced Milstein Methods for Ordinary SDEs. (2006). Kahl, Christian ; Christian, Kahl ; Henri, Schurz . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:143-170:n:2. Full description at Econpapers \|\| Download paper	8
5	2002	Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps. (2002). Platen, Eckhard ; Eckhard, Platen ; Kestutis, Kubilius . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:1:p:83-96:n:6. Full description at Econpapers \|\| Download paper	7
6	2004	Adaptative Monte Carlo Method, A Variance Reduction Technique. (2004). Bouhari, Arouna . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:1:p:1-24:n:1. Full description at Econpapers \|\| Download paper	6
7	2003	Optimal quadratic quantization for numerics: the Gaussian case. (2003). Gilles, Pages ; Jacques, PRINTEMS . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:2:p:135-165:n:2. Full description at Econpapers \|\| Download paper	6
8	2012	The identification of price jumps. (2012). KoÄenda, EvÅ¾en ; Hanousek, Jan ; Even, Koenda . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:53-77:n:2. Full description at Econpapers \|\| Download paper	5
9	2005	Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. (2005). Huyen, Pham ; Afef, Sellami ; Wolfgang, Runggaldier . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:1:p:57-81:n:5. Full description at Econpapers \|\| Download paper	4
10	2004	Upper Bounds for Bermudan Style Derivatives. (2004). Kolodko A., ; Schoenmakers J., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:331-343:n:15. Full description at Econpapers \|\| Download paper	4
11	2002	Simulation of ruin probabilities for risk processes of Markovian type. (2002). Hansjorg, Albrecher ; Josef, Kantor . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:2:p:111-128:n:1. Full description at Econpapers \|\| Download paper	4
12	1999	Applications of the balanced method to stochastic differential equations in filtering. (1999). Platen, Eckhard ; Eckhard, Platen ; Paul, Fischer . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:1:p:19-38:n:3. Full description at Econpapers \|\| Download paper	3
13	2005	Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. (2005). Vlad, Bally ; Antonino, Zanette ; Lucia, Caramellino . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:2:p:97-133:n:1. Full description at Econpapers \|\| Download paper	3
14	2002	Minimal Entropy Approximations and Optimal Algorithms. (2002). Dan, Crisan ; Terry, Lyons . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:4:p:343-356:n:2. Full description at Econpapers \|\| Download paper	3
15	2006	Stratified sampling and quasi-Monte Carlo simulation of LÃ©vy processes. (2006). Leobacher G., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:231-238:n:2. Full description at Econpapers \|\| Download paper	2
16	2006	First Order Strong Approximations of Jump Diffusions. (2006). Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina ; Nicola, Bruti-Liberati ; Eckhard, Platen ; Christina, Nikitopoulos-Sklibosios . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:191-209:n:6. Full description at Econpapers \|\| Download paper	2
17	2009	A central limit theorem for the functional estimation of the spot volatility. (2009). Hoang-Long, Ngo ; Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:353-380:n:4. Full description at Econpapers \|\| Download paper	2
18	2008	Quasi-Monte Carlo methods for the Kou model. (2008). Jan, Baldeaux . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:14:y:2008:i:4:p:281-302:n:1. Full description at Econpapers \|\| Download paper	2
19	2006	An importance sampling method based on the density transformation of LÃ©vy processes. (2006). Reiichiro, Kawai . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:171-186:n:1. Full description at Econpapers \|\| Download paper	2
20	2002	Edgeworth type expansions for Euler schemes for stochastic differential equations.. (2002). Valentin, Konakov ; Enno, Mammen . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:3:p:271-286:n:3. Full description at Econpapers \|\| Download paper	2
21	2009	Multiple stochastic volatility extension of the Libor market model and its implementation. (2009). Denis, Belomestny ; John, Schoenmakers ; Stanley, Mathew . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:285-310:n:1. Full description at Econpapers \|\| Download paper	2
22	2010	Exact simulation of Bessel diffusions. (2010). Makarov Roman N., ; Devin, Glew . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:3-4:p:283-306:n:3. Full description at Econpapers \|\| Download paper	2
23	2014	A benchmark study of the Wigner Monte Carlo method. (2014). Michel, Sellier Jean ; Siegfried, Selberherr ; Mihail, Nedjalkov ; Ivan, Dimov . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:1:p:43-51:n:4. Full description at Econpapers \|\| Download paper	1
24	2002	Jointly Distributed Mean and Mixing Coefficients for Bayesian Source Separation using MCMC and ICM. (2002). Rowe Daniel B., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:4:p:395-404:n:5. Full description at Econpapers \|\| Download paper	1
25	2010	Adaptive weak approximation of reflected and stopped diffusions. (2010). Christian, Bayer ; Raul, Tempone ; Anders, Szepessy . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:1:p:1-67:n:1. Full description at Econpapers \|\| Download paper	1
26	2015	A new numerical scheme for the CIR process. (2015). Nikolaos, Halidias . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:21:y:2015:i:3:p:245-253:n:1. Full description at Econpapers \|\| Download paper	1
27	2008	Real-time scheme for the volatility estimation in the presence of microstructure noise. (2008). Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:14:y:2008:i:4:p:331-342:n:4. Full description at Econpapers \|\| Download paper	1
28	2013	Preliminary control variates to improve empirical regression methods. (2013). Tarik, Ben Zineb ; Emmanuel, Gobet . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:19:y:2013:i:4:p:331-354:n:4. Full description at Econpapers \|\| Download paper	1
29	1997	COMPARISON OF A STOCHASTIC PARTICLE METHOD AND A FINITE VOLUME DETERMINISTIC METHOD APPLIED TO BURGERS EQUATION. (1997). Mireille, BOSSY ; Serge, PIPERNO ; Loula, FEZOUI . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:2:p:113-140:n:1. Full description at Econpapers \|\| Download paper	1
30	2014	Multilevel Monte Carlo for Asian options and limit theorems. (2014). Mohamed, Ben Alaya ; Ahmed, Kebaier . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:3:p:181-194:n:2. Full description at Econpapers \|\| Download paper	1
31	2001	On a class of SPDEs called Brownian particle equation â Model for nonlinear diffusions. (2001). Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:7:y:2001:i:3-4:p:321-328:n:10. Full description at Econpapers \|\| Download paper	1
32	2003	Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model. (2003). Mantalos, Panagiotis. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:257-269:n:6. Full description at Econpapers \|\| Download paper	1
33	2014	Quasi-Monte Carlo: A high-dimensional experiment. (2014). Sobol Ilya M., ; Boris, Shukhman . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:3:p:167-171:n:1. Full description at Econpapers \|\| Download paper	1
34	2004	On the Scrambled Halton Sequence. (2004). Michael, Mascagni ; Hongmei, Chi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:435-442:n:25. Full description at Econpapers \|\| Download paper	1
35	2001	A stochastic quantization method for nonlinear problems. (2001). Vlad, Bally ; Jacques, PRINTEMS ; Gilles, Pages . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:7:y:2001:i:1-2:p:21-34:n:14. Full description at Econpapers \|\| Download paper	1
36	2007	Mixed initial-boundary value problem in particle modeling of microelectronic devices. (2007). Nedjalkov M., ; Arsov G., ; Dimov I., ; Vasileska D., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:13:y:2007:i:4:p:299-331:n:4. Full description at Econpapers \|\| Download paper	1
37	2003	Arithmetic average options in the hyperbolic model. (2003). Gerhard, Larcher ; Tichy Robert F., ; Martin, Predota . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:227-239:n:4. Full description at Econpapers \|\| Download paper	1
38	2011	Diffusion approximation of LÃ©vy processes with a view towards finance. (2011). Jonas, Kiessling ; Raul, Tempone . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:1:p:11-45:n:3. Full description at Econpapers \|\| Download paper	1
39	2002	A Monte Carlo method without grid for a fractured porous domain model. (2002). Fabien, Campillo ; Antoine, Lejay . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:2:p:129-148:n:2. Full description at Econpapers \|\| Download paper	1
40	2009	Sparsified Randomization Algorithms for large systems of linear equations and a new version of the Random Walk on Boundary method. (2009). Sabelfeld K., ; Mozartova N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:257-284:n:5. Full description at Econpapers \|\| Download paper	1
41	2014	A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. (2014). Idris, Kharroubi ; Huyen, Pham ; Nicolas, Langrene . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:2:p:145-165:n:5. Full description at Econpapers \|\| Download paper	1
42	2000	Factorization of Separable and Patterned Covariance Matrices for Gibbs Sampling. (2000). Rowe Daniel B., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:6:y:2000:i:3:p:205-210:n:4. Full description at Econpapers \|\| Download paper	1
43	2007	Exact retrospective Monte Carlo computation of arithmetic average Asian options. (2007). Benjamin, JOURDAIN ; Mohamed, Sbai . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:13:y:2007:i:2:p:135-171:n:3. Full description at Econpapers \|\| Download paper	1
44	2015	Constructing positivity preserving numerical schemes for the two-factor CIR model. (2015). Nikolaos, Halidias . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:21:y:2015:i:4:p:313-323:n:4. Full description at Econpapers \|\| Download paper	1
45	2009	Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. (2009). Bardou O., ; Pages G., ; Frikha N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:173-210:n:1. Full description at Econpapers \|\| Download paper	1

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

#	Year	Title	Cited
1	2005	On the discretization schemes for the CIR (and Bessel squared) processes. (2005). Aurelien, Alfonsi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:355-384:n:5. Full description at Econpapers \|\| Download paper	4
2	2012	The identification of price jumps. (2012). KoÄenda, EvÅ¾en ; Hanousek, Jan ; Even, Koenda . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:53-77:n:2. Full description at Econpapers \|\| Download paper	3
3	2006	Balanced Milstein Methods for Ordinary SDEs. (2006). Kahl, Christian ; Christian, Kahl ; Henri, Schurz . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:143-170:n:2. Full description at Econpapers \|\| Download paper	3
4	2009	A central limit theorem for the functional estimation of the spot volatility. (2009). Hoang-Long, Ngo ; Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:353-380:n:4. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor 4:

Year	Title
2015	Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis. (2015). Bianchetti, Marco ; Kucherenko, Sergei ; Scoleri, Stefano . In: Papers. RePEc:arx:papers:1504.02896. Full description at Econpapers \|\| Download paper
2015	Reflected BSDEs with nonpositive jumps, and controller-and-stopper games. (2015). Cosso, Andrea ; Choukroun, Sebastien ; Pham, Huyen . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:2:p:597-633. Full description at Econpapers \|\| Download paper
2015	A comparison of approaches for the solution of the Wigner equation. (2015). Dimov, I. ; Selberherr, S. ; Nedjalkov, M. ; Sellier, J. M.. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:107:y:2015:i:c:p:108-119. Full description at Econpapers \|\| Download paper
2015	An Introduction to Multilevel Monte Carlo for Option Valuation. (2015). Higham, Desmond J.. In: Papers. RePEc:arx:papers:1505.00965. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	Approximating explicitly the mean reverting CEV process. (2015). Stamatiou, Ioannis ; Halidias, Nikolaos . In: Papers. RePEc:arx:papers:1502.03018. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document

Recent citations received in 2012

Year	Citing document

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	8
2	Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	3
3	Mathematics and Computers in Simulation (MATCOM) / Elsevier	2
4	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	2
5	Finance and Stochastics / Springer	2
6	Computational Optimization and Applications / Springer	1
7	Computational Economics / Springer	1
8	Physica A: Statistical Mechanics and its Applications / Elsevier	1
9	Statistics & Probability Letters / Elsevier	1
10	Post-Print / HAL	1
11	European Journal of Operational Research / Elsevier	1

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.