Citation analysis for Mathematical Finance / Wiley Blackwell

Mathematical Finance / Wiley Blackwell

0.89

Impact Factor

0.89

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	313	0		0		2 (%)			0.04
1992		0.09		16	33	1	0.03	407	17		17		9 (2.2%)	1	0.06	0.04
1993	0.06	0.1	0.06	21	54	5	0.09	266	33	2	33	2	4 (1.5%)	1	0.05	0.05
1994	0.14	0.11	0.11	20	74	9	0.12	439	37	5	54	6	2 (%)	1	0.05	0.05
1995	0.22	0.2	0.24	19	93	26	0.28	516	41	9	74	18	4 (%)	6	0.32	0.07
1996	0.64	0.23	0.53	19	112	59	0.53	869	39	25	93	49	5 (%)	3	0.16	0.09
1997	0.74	0.27	0.66	18	130	85	0.65	842	38	28	95	63	7 (%)	6	0.33	0.09
1998	0.62	0.29	0.55	20	150	85	0.57	496	37	23	97	53	4 (%)	5	0.25	0.1
1999	0.61	0.32	0.71	16	166	115	0.69	1451	38	23	96	68	1 (%)	7	0.44	0.13
2000	0.81	0.4	1.36	28	194	225	1.16	499	36	29	92	125	4 (%)	2	0.07	0.15
2001	0.55	0.4	1.07	20	214	210	0.98	310	44	24	101	108	6 (1.9%)	3	0.15	0.15
2002	0.44	0.42	0.91	24	238	214	0.9	473	48	21	102	93	2 (%)	4	0.17	0.18
2003	0.45	0.44	0.89	26	264	267	1.01	200	44	20	108	96	(%)	3	0.12	0.19
2004	0.74	0.49	1.18	30	294	364	1.24	334	50	37	114	135	2 (%)	5	0.17	0.2
2005	0.5	0.53	0.7	29	323	334	1.03	338	56	28	128	90	(%)	10	0.34	0.21
2006	0.59	0.51	0.71	32	355	396	1.12	330	59	35	129	91	3 (%)	8	0.25	0.2
2007	0.57	0.45	0.72	27	382	463	1.21	256	61	35	141	102	(%)	6	0.22	0.18
2008	0.53	0.48	0.6	29	411	466	1.13	385	59	31	144	86	1 (%)	10	0.34	0.2
2009	0.68	0.47	0.75	22	433	507	1.17	264	56	38	147	110	1 (%)	7	0.32	0.19
2010	0.63	0.45	0.65		433	529	1.22		51	32	139	91	(%)			0.16
2011	1.27	0.52	0.96		433	526	1.21		22	28	110	106	(%)			0.2
2012		0.55	1.17		433	559	1.29		0		78	91	(%)			0.2
2013		0.62	1.51		433	666	1.54		0		51	77	(%)			0.22
2014		0.64	2.14	16	449	749	1.67	74	0		22	47	(%)	5	0.31	0.21
2015	0.63	0.69	0.63	28	477	768	1.61	50	16	10	16	10	(%)	3	0.11	0.22
2016	0.89	0.85	0.89	33	510	924	1.81	63	44	39	44	39	(%)	15	0.45	0.26

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	1145
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	511
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	241
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	230
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	154
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	147
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	104
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	99
9	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	99
10	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	98
11	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	96
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	90
13	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	89
14	1997	Bond Market Structure in the Presence of Marked Point Processes. (1997). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Yuri ; Runggaldier, Wolfgang ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239. Full description at Econpapers \|\| Download paper	87
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	86
16	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	84
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	83
18	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	82
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	74
20	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	74
21	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	68
22	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	65
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	64
24	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	63
25	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	63
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	62
27	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	57
28	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	56
29	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	55
30	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	55
31	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	55
32	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	55
33	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	54
34	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	53
35	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	53
36	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	53
37	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	51
38	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	50
39	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	50
40	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	49
41	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	49
42	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	49
43	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	48
44	1997	A Continuity Correction for Discrete Barrier Options. (1997). Broadie, Mark ; Kou, Steven ; Glasserman, Paul . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349. Full description at Econpapers \|\| Download paper	46
45	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	45
46	1991	Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29. Full description at Econpapers \|\| Download paper	45
47	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	45
48	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	45
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	44
50	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	43

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	304
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	89
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	67
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	44
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	39
6	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	34
7	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	32
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	29
9	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	27
10	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
11	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	25
12	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	24
13	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	24
14	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	23
15	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	23
16	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	22
17	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	21
18	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	21
19	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	21
20	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	20
21	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	20
22	2016	A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Beiglbock, M ; Schachermayer, W ; Penkner, F ; Acciaio, B. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:233-251. Full description at Econpapers \|\| Download paper	20
23	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	20
24	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	19
25	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	19
26	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	19
27	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	19
28	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
29	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	18
30	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	18
31	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	18
32	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	18
33	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	17
34	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	17
35	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	17
36	1991	Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29. Full description at Econpapers \|\| Download paper	17
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	16
38	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	15
39	1997	Market Volatility and Feedback Effects from Dynamic Hedging. (1997). Stremme, Alexander ; Frey, Rudiger . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:351-374. Full description at Econpapers \|\| Download paper	15
40	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	15
41	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
42	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
43	2007	DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES. (2007). Schweizer, Martin ; Kloppel, Susanne . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:4:p:599-627. Full description at Econpapers \|\| Download paper	14
44	2014	MEANâVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Bjork, Tomas ; Yu, Xun ; Murgoci, Agatha . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers \|\| Download paper	13
45	1997	A Continuity Correction for Discrete Barrier Options. (1997). Broadie, Mark ; Kou, Steven ; Glasserman, Paul . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349. Full description at Econpapers \|\| Download paper	13
46	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	13
47	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	13
48	2006	A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151. Full description at Econpapers \|\| Download paper	13
49	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	13
50	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	12

Citing documents used to compute impact factor 39:

Year	Title
2016	Convex duality in optimal investment and contingent claim valuation in illiquid markets. (2016). Pennanen, Teemu ; Perkkio, Ari-Pekka . In: Papers. RePEc:arx:papers:1603.02867. Full description at Econpapers \|\| Download paper
2016	Hedging with Small Uncertainty Aversion. (2016). Herrmann, Sebastian ; Seifried, Frank Thomas ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1605.06429. Full description at Econpapers \|\| Download paper
2016	Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer. (2016). Amarante, Massimiliano ; Ghossoub, Mario . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:1:p:8:d:66161. Full description at Econpapers \|\| Download paper
2016	The role of a representative reinsurer in optimal reinsurance. (2016). Zhuang, Sheng Chao ; Boonen, Tim J ; Tan, Ken Seng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:196-204. Full description at Econpapers \|\| Download paper
2016	Contracting theory with competitive interacting agents. (2016). Elie, Romuald ; Possamai, Dylan . In: Papers. RePEc:arx:papers:1605.08099. Full description at Econpapers \|\| Download paper
2016	Robust non-zero-sum stochastic differential reinsurance game. (2016). Pun, Chi Seng ; Wong, Hoi Ying . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:169-177. Full description at Econpapers \|\| Download paper
2016	Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration. (2016). Kwok, Kai Yin ; Wong, Hoi Ying ; Chiu, Mei Choi . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:353-366. Full description at Econpapers \|\| Download paper
2016	Limit order trading with a mean reverting reference price. (2016). Ahuja, Saran ; Ren, Weiluo ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1607.00454. Full description at Econpapers \|\| Download paper
2016	The loss given default of a low-default portfolio with weak contagion. (2016). Yuan, Zhongyi ; Wei, LI. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:113-123. Full description at Econpapers \|\| Download paper
2016	Hedging with regret. (2016). Rieger, Marc Oliver ; Korn, Olaf . In: CFR Working Papers. RePEc:zbw:cfrwps:1606. Full description at Econpapers \|\| Download paper
2016	Covers universal portfolio, stochastic portfolio theory and the numeraire portfolio. (2016). Schachermayer, Walter ; Cuchiero, Christa ; Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1611.09631. Full description at Econpapers \|\| Download paper
2016	Convergence of BSÎEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver. (2016). Madan, Dilip ; Stadje, Mitja ; Pistorius, Martijn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:5:p:1553-1584. Full description at Econpapers \|\| Download paper
2016	Stability of utility maximization in nonequivalent markets. (2016). Weston, Kim . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0289-z. Full description at Econpapers \|\| Download paper
2016	Robust equilibrium reinsurance-investment strategy for a meanâvariance insurer in a model with jumps. (2016). Zeng, Yan ; Gu, Ailing ; Li, Danping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:138-152. Full description at Econpapers \|\| Download paper
2016	Dynamic portfolio selection without risk-free assets. (2016). Yin, Guosheng ; Xu, Yuhong ; Lam, Chi Kin . In: Papers. RePEc:arx:papers:1602.04975. Full description at Econpapers \|\| Download paper
2016	Precommitment and equilibrium investment strategies for defined contribution pension plans under a jumpâdiffusion model. (2016). Sun, Jingyun ; Zeng, Yan ; Li, Zhongfei . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:158-172. Full description at Econpapers \|\| Download paper
2016	Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows. (2016). Zhou, Zhongbao ; Lin, Ling ; Zeng, Ximei ; Yin, Jialing ; Xiao, Helu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:187-202. Full description at Econpapers \|\| Download paper
2016	A characterization of equilibrium strategies in continuous-time meanâvariance problems for insurers. (2016). Alia, Ishak ; SOHAIL, AYESHA ; Chighoub, Farid . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:212-223. Full description at Econpapers \|\| Download paper
2016	On pre-commitment aspects of a time-consistent strategy for a mean-variance investor. (2016). Cong, F ; Oosterlee, C W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:178-193. Full description at Econpapers \|\| Download paper
2016	Optimal meanâvariance efficiency of a family with life insurance under inflation risk. (2016). Zhao, Xiaoyang ; Liang, Zongxia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:164-178. Full description at Econpapers \|\| Download paper
2016	Equilibrium asset pricing under the LÃ©vy process with stochastic volatility and moment risk premiums. (2016). Ruan, Xinfeng ; Zhang, Jin E ; Huang, Jiexiang ; Zhu, Wenli . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:326-338. Full description at Econpapers \|\| Download paper
2016	Valuation of asset and volatility derivatives using decoupled time-changed LÃ©vy processes. (2016). Torricelli, Lorenzo . In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:1:d:10.1007_s11147-015-9113-8. Full description at Econpapers \|\| Download paper
2016	Catastrophe equity put options with target variance. (2016). Wang, Xingchun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:79-86. Full description at Econpapers \|\| Download paper
2016	A PDE View of Games Options. (2016). Meyer, Gunter H. In: Research Paper Series. RePEc:uts:rpaper:369. Full description at Econpapers \|\| Download paper
2016	Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:1-50. Full description at Econpapers \|\| Download paper
2016	Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0283-x. Full description at Econpapers \|\| Download paper
2016	Model-free portfolio theory and its functional master formula. (2016). Schied, Alexander ; Speiser, Leo ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1606.03325. Full description at Econpapers \|\| Download paper
2016	Robust Trading of Implied Skew. (2016). Obloj, Jan ; Nadtochiy, Sergey . In: Papers. RePEc:arx:papers:1611.05518. Full description at Econpapers \|\| Download paper
2016	Pointwise Arbitrage Pricing Theory in Discrete Time. (2016). Burzoni, Matteo ; Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco. In: Papers. RePEc:arx:papers:1612.07618. Full description at Econpapers \|\| Download paper
2016	A Note on Realistic Dividends in Actuarial Surplus Models. (2016). Avanzi, Benjamin ; Wong, Bernard ; Tu, Vincent . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:37-:d:80958. Full description at Econpapers \|\| Download paper
2016	Pricing derivatives with counterparty risk and collateralization: A fixed point approach. (2016). Leung, Tim ; Kim, Jinbeom . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:525-539. Full description at Econpapers \|\| Download paper
2016	Arbitrage-Free XVA. (2016). Bichuch, Maxim ; Sturm, Stephan ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1608.02690. Full description at Econpapers \|\| Download paper
2016	Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment. (2016). Brigo, Damiano. In: Papers. RePEc:arx:papers:1611.02877. Full description at Econpapers \|\| Download paper
2016	Time-consistent actuarial valuations. (2016). Pelsser, Antoon ; Ghalehjooghi, Ahmad Salahnejhad . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:97-112. Full description at Econpapers \|\| Download paper
2016	Convergence of BSÎEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver. (2016). Madan, Dilip ; Stadje, Mitja ; Pistorius, Martijn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:5:p:1553-1584. Full description at Econpapers \|\| Download paper
2016	On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation. (2016). Pistorius, Martijn ; Stadje, Mitja . In: Papers. RePEc:arx:papers:1604.08037. Full description at Econpapers \|\| Download paper
2016	Hydrodynamic limit of order book dynamics. (2016). Dieker, A. B. ; Gao, Xuefeng ; Deng, S. J. ; Dai, J. G.. In: Papers. RePEc:arx:papers:1411.7502. Full description at Econpapers \|\| Download paper
2016	Limit order trading with a mean reverting reference price. (2016). Ahuja, Saran ; Ren, Weiluo ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1607.00454. Full description at Econpapers \|\| Download paper
2016	Optimal execution in high-frequency trading with Bayesian learning. (2016). Zhu, Hongliang ; Du, Bian ; Zhao, Jingdong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:461:y:2016:i:c:p:767-777. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2016

Year	Citing document
2016	Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1507.00671. Full description at Econpapers \|\| Download paper
2016	Asymptotics for rough stochastic volatility models. (2016). Forde, Martin ; Zhang, Hongzhong . In: Papers. RePEc:arx:papers:1610.08878. Full description at Econpapers \|\| Download paper
2016	Robust Utility Maximization in Discrete-Time Markets with Friction. (2016). Neufeld, Ariel ; Sikic, Mario . In: Papers. RePEc:arx:papers:1610.09230. Full description at Econpapers \|\| Download paper
2016	Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David . In: Papers. RePEc:arx:papers:1610.09875. Full description at Econpapers \|\| Download paper
2016	Liquidity induced asset bubbles via flows of ELMMs. (2016). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca . In: Papers. RePEc:arx:papers:1611.01440. Full description at Econpapers \|\| Download paper
2016	Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851. Full description at Econpapers \|\| Download paper
2016	Robust Trading of Implied Skew. (2016). Obloj, Jan ; Nadtochiy, Sergey . In: Papers. RePEc:arx:papers:1611.05518. Full description at Econpapers \|\| Download paper
2016	Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1612.06133. Full description at Econpapers \|\| Download paper
2016	Pointwise Arbitrage Pricing Theory in Discrete Time. (2016). Burzoni, Matteo ; Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco. In: Papers. RePEc:arx:papers:1612.07618. Full description at Econpapers \|\| Download paper
2016	A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2016). Nutz, Marcel ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1612.09152. Full description at Econpapers \|\| Download paper
2016	Multinomial var backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander ; Lok, Yen . In: Working Papers. RePEc:hal:wpaper:hal-01424279. Full description at Econpapers \|\| Download paper
2016	Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2016). Alexander, ; Oboj, Jan ; Hou, Zhaoxu . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0293-3. Full description at Econpapers \|\| Download paper
2016	An explicit martingale version of the one-dimensional Brenier theorem. (2016). Henry-Labordere, Pierre ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0299-x. Full description at Econpapers \|\| Download paper
2016	Short-term asymptotics for the implied volatility skew under a stochastic volatility model with LÃ©vy jumps. (2016). Figueroa-Lopez, Jose E ; Olafsson, Sveinn . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0313-3. Full description at Econpapers \|\| Download paper
2016	Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David . In: Research Paper Series. RePEc:uts:rpaper:379. Full description at Econpapers \|\| Download paper

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 ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1507.08333. Full description at Econpapers \|\| Download paper
2015	Equilibrium pricing under relative performance concerns. (2015). Bielagk, Jana ; Reis, Gonalo Dos ; Lionnet, Arnaud . 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	Central clearing of OTC derivatives: Bilateral vs multilateral netting. (2014). Rama, Cont ; Thomas, Kokholm . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:31:y:2014:i:1:p:20:n:1. Full description at Econpapers \|\| Download paper
2014	Consumptionâinvestment strategies with non-exponential discounting and logarithmic utility. (2014). Wei, Jiaqin ; Shen, Yang ; 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	313
2	Insurance: Mathematics and Economics / Elsevier	73
3	Finance and Stochastics / Springer	61
4	Journal of Economic Dynamics and Control / Elsevier	29
5	European Journal of Operational Research / Elsevier	26
6	Journal of Banking & Finance / Elsevier	19
7	Stochastic Processes and their Applications / Elsevier	16
8	Statistics & Risk Modeling / De Gruyter	14
9	NBER Working Papers / National Bureau of Economic Research, Inc	14
10	Post-Print / HAL	13
11	Mathematical Methods of Operations Research / Springer	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.