Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

Applied Mathematical Finance / Taylor & Francis Journals

0.25

Impact Factor

0.37

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		11	11			68	0		0		3 (4.4%)			0.05
1995	0.09	0.19	0.09	14	25	1	0.04	144	11	1	11	1	17 (11.8%)			0.07
1996		0.22		16	41			96	25		25		8 (8.3%)			0.09
1997	0.33	0.27	0.32	14	55	14	0.25	34	30	10	41	13	(%)			0.09
1998	0.13	0.27	0.15	12	67	8	0.12	46	30	4	55	8	2 (4.3%)			0.1
1999	0.04	0.31	0.19	15	82	14	0.17	22	26	1	67	13	1 (4.5%)			0.13
2000	0.11	0.4	0.28	14	96	28	0.29	37	27	3	71	20	2 (5.4%)			0.15
2001	0.1	0.4	0.15	13	109	17	0.16	26	29	3	71	11	1 (3.8%)	1	0.08	0.15
2002	0.22	0.42	0.15	16	125	23	0.18	139	27	6	68	10	4 (2.9%)			0.18
2003	0.07	0.44	0.14	16	141	39	0.28	127	29	2	70	10	(%)			0.18
2004	0.16	0.49	0.19	16	157	35	0.22	48	32	5	74	14	2 (4.2%)	1	0.06	0.2
2005	0.31	0.53	0.36	15	172	53	0.31	198	32	10	75	27	1 (%)	7	0.47	0.21
2006	0.35	0.51	0.42	16	188	70	0.37	87	31	11	76	32	1 (1.1%)	5	0.31	0.2
2007	0.45	0.44	0.43	23	211	62	0.29	107	31	14	79	34	1 (%)	1	0.04	0.18
2008	0.41	0.47	0.52	22	233	80	0.34	60	39	16	86	45	2 (3.3%)			0.2
2009	0.29	0.47	0.36	24	257	79	0.31	79	45	13	92	33	(%)			0.19
2010	0.28	0.44	0.37	24	281	75	0.27	61	46	13	100	37	(%)	1	0.04	0.16
2011	0.17	0.51	0.28	23	304	96	0.32	48	48	8	109	30	1 (2.1%)	1	0.04	0.2
2012	0.13	0.56	0.33	21	325	124	0.38	24	47	6	116	38	(%)	3	0.14	0.21
2013	0.39	0.66	0.54	27	352	181	0.51	17	44	17	114	61	(%)	2	0.07	0.23
2014	0.15	0.67	0.38	21	373	162	0.43	21	48	7	119	45	(%)	1	0.05	0.22
2015	0.25	0.82	0.37	22	395	175	0.44	10	48	12	116	43	(%)	3	0.14	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	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	97
2	1995	Pricing 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. Full description at Econpapers \|\| Download paper	74
3	2003	Optimal 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. Full description at Econpapers \|\| Download paper	57
4	2002	On 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. Full description at Econpapers \|\| Download paper	57
5	1995	Uncertain 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. Full description at Econpapers \|\| Download paper	39
6	2005	The 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. Full description at Econpapers \|\| Download paper	38
7	2006	Interpolation 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. Full description at Econpapers \|\| Download paper	30
8	1994	Stock 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. Full description at Econpapers \|\| Download paper	30
9	2002	Energy 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. Full description at Econpapers \|\| Download paper	29
10	2002	Bivariate 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. Full description at Econpapers \|\| Download paper	27
11	2000	Volatility 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. Full description at Econpapers \|\| Download paper	25
12	2007	A 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. Full description at Econpapers \|\| Download paper	24
13	1998	A 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. Full description at Econpapers \|\| Download paper	23
14	2010	Optimal 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. Full description at Econpapers \|\| Download paper	22
15	2005	Stochastic 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. Full description at Econpapers \|\| Download paper	21
16	2010	Analysis 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. Full description at Econpapers \|\| Download paper	20
17	2006	On 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. Full description at Econpapers \|\| Download paper	19
18	1994	Delta, 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. Full description at Econpapers \|\| Download paper	18
19	2003	A 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. Full description at Econpapers \|\| Download paper	18
20	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	17
21	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, ÃÂlvaro ; Figueroa, Marcelo ; Geman, Helyette . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers \|\| Download paper	17
22	2007	Pricing 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. Full description at Econpapers \|\| Download paper	17
23	1996	Managing 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. Full description at Econpapers \|\| Download paper	16
24	1995	Statistical modelling of asymmetric risk in asset returns. (1995). Tran, Kien ; Knight, John ; Satchell, S. E.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:155-172. Full description at Econpapers \|\| Download paper	15
25	1996	Binomial 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. Full description at Econpapers \|\| Download paper	15
26	1997	Calibrating 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. Full description at Econpapers \|\| Download paper	15
27	2009	On 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. Full description at Econpapers \|\| Download paper	14
28	1996	The 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. Full description at Econpapers \|\| Download paper	14
29	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). Belanger, A. C. ; Forsyth, P. A. ; Labahn, G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	14
30	2008	Weak 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. Full description at Econpapers \|\| Download paper	13
31	2005	Sharp 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. Full description at Econpapers \|\| Download paper	13
32	2003	On 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. Full description at Econpapers \|\| Download paper	12
33	2006	A 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. Full description at Econpapers \|\| Download paper	11
34	2002	Basics 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. Full description at Econpapers \|\| Download paper	11
35	1996	Toward 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. Full description at Econpapers \|\| Download paper	11
36	2011	Markowitzs 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. Full description at Econpapers \|\| Download paper	10
37	2004	On 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. Full description at Econpapers \|\| Download paper	10
38	1995	A 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. Full description at Econpapers \|\| Download paper	10
39	2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). PerellÃÂ³, Josep ; Masoliver, Jaume ; Bouchaud, Jean-Philippe . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50. Full description at Econpapers \|\| Download paper	10
40	2007	On 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. Full description at Econpapers \|\| Download paper	10
41	1996	Bond, 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. Full description at Econpapers \|\| Download paper	9
42	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	9
43	1999	Phenomenology of the interest rate curve. (1999). Potters, Marc ; Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:209-232. Full description at Econpapers \|\| Download paper	9
44	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	9
45	2013	Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes. (2013). Siu, Tak Kuen ; Elliott, Robert J.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:1:p:1-25. Full description at Econpapers \|\| Download paper	9
46	2005	Calibration of the SABR Model in Illiquid Markets. (2005). West, Graeme . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:371-385. Full description at Econpapers \|\| Download paper	9
47	2008	General 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. Full description at Econpapers \|\| Download paper	9
48	1994	Dynamic 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. Full description at Econpapers \|\| Download paper	9
49	2004	Multi-asset portfolio optimization with transaction cost. (2004). Atkinson, C. ; Mokkhavesa, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:2:p:95-123. Full description at Econpapers \|\| Download paper	8
50	1996	The pricing of Asian options under stochastic interest rates. (1996). Sandmann, Klaus ; Nielsen, J. A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:3:p:209-236. Full description at Econpapers \|\| Download paper	8

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

#	Year	Title	Cited
1	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	33
2	2003	Optimal 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. Full description at Econpapers \|\| Download paper	31
3	1995	Pricing 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. Full description at Econpapers \|\| Download paper	21
4	2006	Interpolation 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. Full description at Econpapers \|\| Download paper	17
5	2010	Optimal 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. Full description at Econpapers \|\| Download paper	17
6	1995	Uncertain 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. Full description at Econpapers \|\| Download paper	13
7	2007	A 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. Full description at Econpapers \|\| Download paper	13
8	2010	Analysis 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. Full description at Econpapers \|\| Download paper	13
9	2007	Pricing 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. Full description at Econpapers \|\| Download paper	11
10	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). Belanger, A. C. ; Forsyth, P. A. ; Labahn, G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	10
11	2002	On 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. Full description at Econpapers \|\| Download paper	10
12	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	9
13	2013	Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes. (2013). Siu, Tak Kuen ; Elliott, Robert J.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:1:p:1-25. Full description at Econpapers \|\| Download paper	8
14	2005	The 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. Full description at Econpapers \|\| Download paper	7
15	2002	Energy 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. Full description at Econpapers \|\| Download paper	7
16	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	6
17	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, ÃÂlvaro ; Figueroa, Marcelo ; Geman, Helyette . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers \|\| Download paper	6
18	2003	A 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. Full description at Econpapers \|\| Download paper	6
19	2005	Sharp 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. Full description at Econpapers \|\| Download paper	6
20	1994	Delta, 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. Full description at Econpapers \|\| Download paper	5
21	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Bernard, Carole ; Cui, Zhenyu . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	5
22	2007	Approximate Formulas for Zero-coupon Bonds. (2007). Tourrucoo, Fabricio ; Hagan, Patrick S. ; Schleiniger, Gilberto F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:3:p:207-226. Full description at Econpapers \|\| Download paper	5
23	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	5
24	2011	Mean--Variance Optimal Adaptive Execution. (2011). Lorenz, Julian ; Almgren, Robert . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:5:p:395-422. Full description at Econpapers \|\| Download paper	5
25	2011	Small-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. Full description at Econpapers \|\| Download paper	5
26	2008	Weak 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. Full description at Econpapers \|\| Download paper	5
27	2002	Bivariate 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. Full description at Econpapers \|\| Download paper	5
28	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Badran, Alexander ; Baldeaux, Jan . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	5
29	2004	Multi-asset portfolio optimization with transaction cost. (2004). Atkinson, C. ; Mokkhavesa, S.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:2:p:95-123. Full description at Econpapers \|\| Download paper	5
30	2007	Level-Slope-Curvature - Fact or Artefact?. (2007). Pelsser, Antoon ; Lord, Roger. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:105-130. Full description at Econpapers \|\| Download paper	4
31	2009	On 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. Full description at Econpapers \|\| Download paper	4
32	2007	On 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. Full description at Econpapers \|\| Download paper	4
33	2014	Variational Solutions of the Pricing PIDEs for European Options in LÃ©vy Models. (2014). Eberlein, Ernst ; Glau, Kathrin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:5:p:417-450. Full description at Econpapers \|\| Download paper	4
34	2011	Markowitzs 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. Full description at Econpapers \|\| Download paper	4
35	2002	Basics 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. Full description at Econpapers \|\| Download paper	4
36	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	4
37	2015	Implied Volatility of Leveraged ETF Options. (2015). Leung, Tim ; Sircar, Ronnie . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:2:p:162-188. Full description at Econpapers \|\| Download paper	3
38	2011	Closed 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. Full description at Econpapers \|\| Download paper	3
39	1996	Binomial 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. Full description at Econpapers \|\| Download paper	3
40	1998	A 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. Full description at Econpapers \|\| Download paper	3
41	2005	Calibration of the SABR Model in Illiquid Markets. (2005). West, Graeme . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:371-385. Full description at Econpapers \|\| Download paper	3
42	2008	General 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. Full description at Econpapers \|\| Download paper	3
43	1996	Arbitrage pricing with incomplete markets. (1996). Neuberger, Anthony ; Britten-Jones, Mark ; Britten -Jones, Mark. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:347-363. Full description at Econpapers \|\| Download paper	3
44	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Pages, Gilles ; Bouthemy, Sandrine ; Bardou, Olivier . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	3
45	2011	Calibration of Stock Betas from Skews of Implied Volatilities. (2011). Kollman, Eli ; Fouque, Jean-Pierre . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:2:p:119-137. Full description at Econpapers \|\| Download paper	3
46	2007	Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage. (2007). Dokuchaev, Nikolai. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:319-337. Full description at Econpapers \|\| Download paper	3
47	2007	Indifference Pricing and Hedging for Volatility Derivatives. (2007). Grasselli, M. R. ; Hurd, T. R.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:303-317. Full description at Econpapers \|\| Download paper	3
48	1997	Some applications of L2-hedging with a non-negative wealth process. (1997). Korn, Ralf . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:65-79. Full description at Econpapers \|\| Download paper	3
49	2012	On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates. (2012). Grzelak, Lech ; OOSTERLEE, CORNELIS W.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:1:p:1-35. Full description at Econpapers \|\| Download paper	3
50	2009	A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries. (2009). Konstandatos, Otto ; Buchen, Peter . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:497-515. Full description at Econpapers \|\| Download paper	3

Citing documents used to compute impact factor 12:

Year	Title
2015	Feynman-Kac formula for L\evy processes with discontinuous killing rate. (2015). Glau, Kathrin . In: Papers. RePEc:arx:papers:1502.07531. Full description at Econpapers \|\| Download paper
2015	Optimal investment in multidimensional Markov-modulated affine models. (2015). Neykova, Daniela ; Zagst, Rudi ; ESCOBAR, MARCOS . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:503-530. Full description at Econpapers \|\| Download paper
2015	Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. (2015). Zeng, Pingping ; Zheng, Wendong . In: Papers. RePEc:arx:papers:1504.08136. Full description at Econpapers \|\| Download paper
2015	Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model. (2015). Lin, Wei ; Chern, Shane ; Luo, Xingguo . In: Papers. RePEc:arx:papers:1510.01172. Full description at Econpapers \|\| Download paper
2015	Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2015). Goutte, StÃÂ©phane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018. Full description at Econpapers \|\| Download paper
2015	Joint pricing of VIX and SPX options with stochastic volatility and jump models. (2015). Stisen, Martin ; Kokholm, Thomas . In: Journal of Risk Finance. RePEc:eme:jrfpps:v:16:y:2015:i:1:p:27-48. Full description at Econpapers \|\| Download paper
2015	Solar radiation based benefit and cost evaluation for solar water heater expansion in Malaysia. (2015). Jing, Ong Li ; Kao, Jehng-Jung ; Bashir, Mohammed J. K., . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:48:y:2015:i:c:p:328-335. Full description at Econpapers \|\| Download paper
2015	LSV models with stochastic interest rates and correlated jumps. (2015). Itkin, Andrey . In: Papers. RePEc:arx:papers:1511.01460. Full description at Econpapers \|\| Download paper
2015	Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics. (2015). Serrano, Rafael . In: Papers. RePEc:arx:papers:1411.1103. Full description at Econpapers \|\| Download paper
2015	Multi-criteria Classification for Pricing European Options. (2015). Gradojevic, Nikola. In: Working Paper Series. RePEc:rim:rimwps:15-13. Full description at Econpapers \|\| Download paper
2015	Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment. (2015). Siu, Tak Kuen ; Elliott, Robert . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:22:y:2015:i:2:p:133-149. Full description at Econpapers \|\| Download paper
2015	Pricing annuity guarantees under a double regime-switching model. (2015). Siu, Tak Kuen ; Fan, Kun ; Wang, Rongming . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:62:y:2015:i:c:p:62-78. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	Leveraged {ETF} implied volatilities from {ETF} dynamics. (2015). Pascucci, Andrea ; Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.6792. Full description at Econpapers \|\| Download paper
2015	The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs. (2015). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1501.02276. Full description at Econpapers \|\| Download paper
2015	Optimal Static Quadratic Hedging. (2015). Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1506.02074. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Volatility swaps and volatility options on discretely sampled realized variance. (2014). Chiarella, Carl ; Lian, Guanghua ; Kalev, Petko S.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:47:y:2014:i:c:p:239-262. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching LÃ©vy model. (2013). Siu, Tak Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:757-768. Full description at Econpapers \|\| Download paper
2013	Drift dependence of optimal trade execution strategies under transient price impact. (2013). Schied, Alexander ; Lorenz, Christopher . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770. Full description at Econpapers \|\| Download paper

Recent citations received in 2012

Year	Citing document
2012	Pricing Multi-Asset Cross Currency Options. (2012). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf290. Full description at Econpapers \|\| Download paper
2012	Pricing Multi-Asset Cross Currency Optionss. (2012). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2012cf844. Full description at Econpapers \|\| Download paper
2012	. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	103
2	Insurance: Mathematics and Economics / Elsevier	21
3	MPRA Paper / University Library of Munich, Germany	19
4	Energy Economics / Elsevier	17
5	Finance and Stochastics / Springer	10
6	European Journal of Operational Research / Elsevier	10
7	Journal of Economic Dynamics and Control / Elsevier	9
8	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	8
9	Stochastic Processes and their Applications / Elsevier	7
10	Mathematical Methods of Operations Research / Springer	6
11	Journal of Banking & Finance / Elsevier	6

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.