Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

Applied Mathematical Finance / Taylor & Francis Journals

0.41

Impact Factor

0.45

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		0.1			0				0		0		(%)			0.04
1992		0.09			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12		11	11	1	0.09	83	0		0		6 (7.2%)	1	0.09	0.04
1995	0.27	0.19	0.27	14	25	3	0.12	182	11	3	11	3	17 (9.3%)			0.07
1996		0.23		16	41			129	25		25		10 (7.8%)			0.09
1997	0.33	0.26	0.32	14	55	14	0.25	43	30	10	41	13	(%)			0.09
1998	0.17	0.28	0.18	12	67	10	0.15	47	30	5	55	10	2 (4.3%)			0.1
1999	0.04	0.32	0.16	15	82	12	0.15	24	26	1	67	11	1 (4.2%)			0.13
2000	0.11	0.39	0.3	14	96	29	0.3	41	27	3	71	21	2 (4.9%)			0.15
2001	0.07	0.39	0.15	13	109	18	0.17	30	29	2	71	11	2 (6.7%)	1	0.08	0.14
2002	0.19	0.4	0.15	16	125	25	0.2	187	27	5	68	10	6 (3.2%)			0.17
2003	0.1	0.43	0.17	16	141	43	0.3	181	29	3	70	12	1 (%)			0.18
2004	0.16	0.48	0.2	16	157	36	0.23	70	32	5	74	15	5 (7.1%)	1	0.06	0.19
2005	0.38	0.52	0.4	15	172	57	0.33	261	32	12	75	30	4 (1.5%)	7	0.47	0.2
2006	0.39	0.51	0.47	16	188	73	0.39	107	31	12	76	36	2 (1.9%)	5	0.31	0.2
2007	0.48	0.45	0.49	23	211	76	0.36	169	31	15	79	39	5 (3%)	3	0.13	0.18
2008	0.49	0.48	0.62	22	233	101	0.43	98	39	19	86	53	3 (3.1%)	1	0.05	0.2
2009	0.31	0.49	0.41	24	257	90	0.35	116	45	14	92	38	(%)			0.19
2010	0.35	0.46	0.47	24	281	97	0.35	101	46	16	100	47	(%)	1	0.04	0.17
2011	0.21	0.49	0.33	23	304	115	0.38	76	48	10	109	36	1 (1.3%)	1	0.04	0.19
2012	0.15	0.52	0.39	21	325	144	0.44	53	47	7	116	45	(%)	4	0.19	0.19
2013	0.43	0.58	0.56	27	352	200	0.57	35	44	19	114	64	(%)	2	0.07	0.2
2014	0.17	0.6	0.42	21	373	182	0.49	43	48	8	119	50	2 (4.7%)	1	0.05	0.2
2015	0.25	0.61	0.44	22	395	207	0.52	38	48	12	116	51	1 (2.6%)	5	0.23	0.19
2016	0.53	0.68	0.49	19	414	221	0.53	7	43	23	114	56	(%)			0.2
2017	0.41	0.73	0.45	18	432	222	0.51	3	41	17	110	49	(%)			0.22

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	135
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	100
3	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	85
4	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	83
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	58
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	41
7	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	39
8	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	38
9	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	38
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	36
11	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	35
12	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	35
13	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	35
14	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	33
15	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	25
16	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	25
17	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	25
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	24
19	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	23
20	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	23
21	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	22
22	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	22
23	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	19
24	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	19
25	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	18
26	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	17
27	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	17
28	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	17
29	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	17
30	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	17
31	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	16
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	16
33	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	16
34	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	16
35	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	16
36	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	16
37	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
38	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	15
39	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
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	14
41	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	13
42	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	13
43	2002	Basics of electricity derivative pricing in competitive markets. (2002). VehvilÃÂ¤inen, Iivo ; Vehvilainen, Iivo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:45-60. Full description at Econpapers \|\| Download paper	13
44	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	12
45	2003	Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory. (2003). Hamada, Mahmoud ; Sherris, Michael. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:19-47. Full description at Econpapers \|\| Download paper	12
46	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	11
47	2007	A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options. (2007). Steinberg, Mario ; Howison, Sam . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:63-89. Full description at Econpapers \|\| Download paper	11
48	2006	Efficient Pricing of Derivatives on Assets with Discrete Dividends. (2006). Nieuwenhuis, J. W. ; Vellekoop, M. H.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:3:p:265-284. Full description at Econpapers \|\| Download paper	11
49	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	11
50	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	11

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	39
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	32
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	31
4	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	25
5	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	18
6	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	16
7	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	16
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	15
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	12
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	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	10
12	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	9
13	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	9
14	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	9
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	8
16	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	8
17	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	7
18	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	7
19	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	7
20	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	7
21	2013	Robust Strategies for Optimal Order Execution in the Almgren--Chriss Framework. (2013). Schied, Alexander. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:3:p:264-286. Full description at Econpapers \|\| Download paper	7
22	2015	Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process. (2015). Pages, Gilles ; Sagna, Abass . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:5:p:463-498. Full description at Econpapers \|\| Download paper	6
23	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	6
24	1995	Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants. (1995). Bensoussan, A. ; Crouhy, M. ; Galai, D.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:1:p:43-60. Full description at Econpapers \|\| Download paper	6
25	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	6
26	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	6
27	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	5
28	2015	Semi-Markov Model for Market Microstructure. (2015). Fodra, Pietro ; Pham, Huyen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:261-295. Full description at Econpapers \|\| Download paper	5
29	2004	Pricing American currency options in an exponential Levy model. (2004). JEANBLANC, M. ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:3:p:207-225. Full description at Econpapers \|\| Download paper	5
30	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	5
31	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	5
32	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	5
33	2006	Efficient Pricing of Derivatives on Assets with Discrete Dividends. (2006). Nieuwenhuis, J. W. ; Vellekoop, M. H.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:3:p:265-284. Full description at Econpapers \|\| Download paper	5
34	2014	Option Pricing with Transaction Costs and Stochastic Interest Rate. (2014). Sengupta, Indranil. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:5:p:399-416. Full description at Econpapers \|\| Download paper	4
35	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	4
36	2007	A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options. (2007). Steinberg, Mario ; Howison, Sam . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:63-89. 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	4
38	2004	Stochastic volatility Gaussian Heath-Jarrow-Morton models. (2004). VALCHEV, STOYAN. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:347-368. Full description at Econpapers \|\| Download paper	4
39	2013	Modelling Asset Prices for Algorithmic and High-Frequency Trading. (2013). Cartea, ÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:6:p:512-547. Full description at Econpapers \|\| Download paper	4
40	2007	Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Benth, Fred Espen ; Kufakunesu, Rodwell ; GROTH, MARTIN. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363. Full description at Econpapers \|\| Download paper	4
41	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	4
42	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	4
43	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	4
44	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	4
45	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	4
46	2005	Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection. (2005). Ballestero, Enrique . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:1-15. Full description at Econpapers \|\| Download paper	4
47	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	4
48	2008	Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models. (2008). Hikspoors, Samuel ; Jaimungal, Sebastian. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:449-477. Full description at Econpapers \|\| Download paper	4
49	2015	ADI Schemes for Pricing American Options under the Heston Model. (2015). Haentjens, Tinne ; In, Karel J. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:207-237. Full description at Econpapers \|\| Download paper	4
50	2010	Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility. (2010). Jacquier, Antoine ; Forde, Martin . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:241-259. Full description at Econpapers \|\| Download paper	4

Citing documents used to compute impact factor 17:

Year	Title
2017	INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS. (2017). Cui, Zhenyu ; Nguyen, Duy ; Lian, Guanghua ; Kirkby, Lars J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500558. Full description at Econpapers \|\| Download paper
2017	Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1705.10454. Full description at Econpapers \|\| Download paper
2017	LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH. (2017). Leung, Tim ; Park, Hyungbin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500376. Full description at Econpapers \|\| Download paper
2017	THE BRITISH ASSET-OR-NOTHING PUT OPTION. (2017). Gao, Min. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500303. Full description at Econpapers \|\| Download paper
2017	Performance of Tail Hedged Portfolio with Third Moment Variation Swap. (2017). Lee, Kyungsub ; Ki, Byoung. In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9593-0. Full description at Econpapers \|\| Download paper
2017	Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Pablo, Olivares ; Enrique, Villamor. In: Papers. RePEc:arx:papers:1711.10013. Full description at Econpapers \|\| Download paper
2017	Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model. (2017). Baviera, Roberto. In: Papers. RePEc:arx:papers:1712.06466. Full description at Econpapers \|\| Download paper
2017	Algorithmic trading in a microstructural limit order book model. (2017). , ; Pham, Huyen ; Hur, Come . In: Papers. RePEc:arx:papers:1705.01446. Full description at Econpapers \|\| Download paper
2017	Optimal liquidation in a Level-I limit order book for large tick stocks. (2017). Jacquier, Antoine ; Liu, Hao. In: Papers. RePEc:arx:papers:1701.01327. Full description at Econpapers \|\| Download paper
2017	Marked Hawkes process modeling of price dynamics and volatility estimation. (2017). Ki, Byoung ; Lee, Kyungsub. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:174-200. Full description at Econpapers \|\| Download paper
2017	Algorithmic trading in a microstructural limit order book model. (2017). Abergel, Frederic ; Pham, Huyen ; Hure, Come . In: Working Papers. RePEc:hal:wpaper:hal-01514987. Full description at Econpapers \|\| Download paper
2017	Recursive Marginal Quantization of Higher-Order Schemes. (2017). Platen, Eckhard ; McWalter, Thomas ; Rudd, R ; Kienitz, J. In: Papers. RePEc:arx:papers:1701.02681. Full description at Econpapers \|\| Download paper
2017	Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1704.06388. Full description at Econpapers \|\| Download paper
2017	Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Jorg ; Rudd, Ralph. In: Research Paper Series. RePEc:uts:rpaper:382. Full description at Econpapers \|\| Download paper
2017	Quantization goes Polynomial. (2017). Callegaro, Giorgia ; Pallavicini, Andrea ; Fiorin, Lucio. In: Papers. RePEc:arx:papers:1710.11435. Full description at Econpapers \|\| Download paper
2017	Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change. (2017). Tong, Zhigang ; Liu, Allen. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500281. Full description at Econpapers \|\| Download paper
2017	EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS. (2017). Fergusson, K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:02:n:s2010495217500105. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document

Recent citations received in 2016

Year	Citing document

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
2015	Option pricing and hedging with execution costs and market impact. (2015). Gueant, Olivier ; Pu, Jiang. In: Post-Print. RePEc:hal:journl:hal-01393124. Full description at Econpapers \|\| Download paper
2015	VALUATION OF OPTIONS ON OIL FUTURES UNDER THE 3/4 OIL PRICE MODEL. (2015). Aba, Mohammed A ; Goard, Joanna . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:08:n:s0219024915500508. 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

10 most frequent citing series

#	Series	Cites
1	Papers / arXiv.org	117
2	Insurance: Mathematics and Economics / Elsevier	27
3	Quantitative Finance / Taylor & Francis Journals	18
4	Energy Economics / Elsevier	14
5	European Journal of Operational Research / Elsevier	11
6	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	11
7	Stochastic Processes and their Applications / Elsevier	10
8	Review of Derivatives Research / Springer	8
9	Post-Print / HAL	8
10	MPRA Paper / University Library of Munich, Germany	7
11	Journal of Economic Dynamics and Control / Elsevier	7

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.