Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

1.29

5 Years IF

1.34

Data available in this report

[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	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1991	0	0.08	0.12	0	17	17	404	1	2	0		0		1	100	1	0.06	0.04
1992	0	0.08	0.03	0	16	33	488	1	3	17		17			0	1	0.06	0.04
1993	0.06	0.1	0.09	0.06	21	54	325	5	8	33	2	33	2	3	60	1	0.05	0.05
1994	0.08	0.11	0.11	0.06	20	74	521	8	16	37	3	54	3	2	25	1	0.05	0.05
1995	0.24	0.19	0.33	0.3	19	93	607	31	47	41	10	74	22		0	6	0.32	0.08
1996	0.56	0.22	0.48	0.39	19	112	1026	52	101	39	22	93	36		0	3	0.16	0.1
1997	0.68	0.22	0.62	0.51	18	130	1091	80	182	38	26	95	48	3	3.8	10	0.56	0.09
1998	0.59	0.26	0.57	0.46	20	150	615	86	268	37	22	97	45	4	4.7	5	0.25	0.12
1999	0.58	0.28	0.7	0.61	16	166	1909	115	385	38	22	96	59	5	4.3	7	0.44	0.14
2000	0.97	0.33	1.23	1.14	28	194	645	234	624	36	35	92	105	1	0.4	5	0.18	0.15
2001	0.61	0.36	1.1	0.96	20	214	392	232	859	44	27	101	97		0	2	0.1	0.15
2002	0.52	0.39	1	0.97	24	238	603	233	1096	48	25	102	99		0	4	0.17	0.21
2003	0.5	0.4	1.14	0.9	26	264	284	298	1398	44	22	108	97	9	3	4	0.15	0.2
2004	0.8	0.45	1.39	1.15	30	294	456	404	1807	50	40	114	131	12	3	6	0.2	0.2
2005	0.54	0.46	1.15	0.7	29	323	472	371	2179	56	30	128	89	8	2.2	11	0.38	0.22
2006	0.64	0.46	1.23	0.73	32	355	488	433	2614	59	38	129	94	11	2.5	8	0.25	0.21
2007	0.57	0.42	1.35	0.7	27	382	385	508	3128	61	35	141	98	8	1.6	6	0.22	0.18
2008	0.63	0.44	1.31	0.67	29	411	500	535	3668	59	37	144	96	26	4.9	12	0.41	0.21
2009	0.68	0.44	1.42	0.76	22	433	356	615	4283	56	38	147	112	39	6.3	10	0.45	0.21
2010	0.63	0.43	1.4	0.71	0	433	0	607	4890	51	32	139	99		0		0	0.18
2011	1.27	0.46	1.37	0.94	0	433	0	592	5485	22	28	110	103		0		0	0.21
2012	0	0.47	1.4	1.13	0	433	0	602	6090	0		78	88		0		0	0.19
2013	0	0.53	1.73	1.63	0	433	0	741	6841	0		51	83		0		0	0.22
2014	0	0.55	1.86	2.45	16	449	163	834	7676	0		22	54	19	2.3	5	0.31	0.22
2015	0.75	0.56	1.83	0.75	28	477	146	871	8548	16	12	16	12		0	4	0.14	0.21
2016	1.07	0.58	2.17	1.07	33	510	178	1104	9653	44	47	44	47	8	0.7	19	0.58	0.2
2017	1.13	0.6	1.73	1.21	35	545	81	944	10598	61	69	77	93	1	0.1	3	0.09	0.22
2018	1.29	0.76	1.71	1.34	37	582	17	993	11591	68	88	112	150	15	1.5	6	0.16	0.31

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until 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:	selft citations in y to articles published in y-1 plus y-2
%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	1529
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	609
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	304
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	274
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	188
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	176
7	2000	Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers \|\| Download paper	154
8	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	122
9	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	118
10	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	114
11	1992	ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106. Full description at Econpapers \|\| Download paper	111
12	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	109
13	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	109
14	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	105
15	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	102
16	1997	Bond Market Structure in the Presence of Marked Point Processes. (1997). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Bjork, Tomas ; Kabanov, Yuri ; Runggaldier, Wolfgang . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239. Full description at Econpapers \|\| Download paper	101
17	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	101
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	99
19	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	97
20	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	88
21	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	86
22	1993	OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276. Full description at Econpapers \|\| Download paper	85
23	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	82
24	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	77
25	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	76
26	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	76
27	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	76
28	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	74
29	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	73
30	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	71
31	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	71
32	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	71
33	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	70
34	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	69
35	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	68
36	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	68
37	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	67
38	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	66
39	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	66
40	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	65
41	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	65
42	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	65
43	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	63
44	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	63
45	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	62
46	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	62
47	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	61
48	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	61
49	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	60
50	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	60

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	337
2	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	73
3	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	72
4	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	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	37
6	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	33
7	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	30
8	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	29
9	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	28
10	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
11	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	26
12	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	25
13	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	25
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	24
15	2004	THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480. Full description at Econpapers \|\| Download paper	23
16	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
17	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	22
18	1997	An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Whalley, A. E. ; Wilmott, P.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324. Full description at Econpapers \|\| Download paper	21
19	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	21
20	2016	COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918. Full description at Econpapers \|\| Download paper	21
21	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
22	2016	RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Amini, Hamed ; Minca, Andreea ; Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365. Full description at Econpapers \|\| Download paper	20
23	2006	DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY. (2006). Weber, Stefan. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441. Full description at Econpapers \|\| Download paper	20
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27	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	19
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Citing documents used to compute impact factor: 88

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2018	Perfect hedging under endogenous permanent market impacts. (2018). Fukasawa, Masaaki ; Stadje, Mitja. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-017-0352-4. Full description at Econpapers \|\| Download paper
2018	Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917. Full description at Econpapers \|\| Download paper
2018	Steinâs lemma for truncated elliptical random vectors. (2018). Shushi, Tomer. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:297-303. Full description at Econpapers \|\| Download paper
2018	Large deviations for risk measures in finite mixture models. (2018). Petrella, Lea ; Macci, Claudio ; Bignozzi, Valeria. In: Papers. RePEc:arx:papers:1710.03252. Full description at Econpapers \|\| Download paper
2018	A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112. Full description at Econpapers \|\| Download paper
2018	On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249. Full description at Econpapers \|\| Download paper
2018	Large deviations for risk measures in finite mixture models. (2018). Bignozzi, Valeria ; Petrella, Lea ; Macci, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:84-92. Full description at Econpapers \|\| Download paper
2018	Unbiased estimation of risk. (2018). Pitera, Marcin ; Schmidt, Thorsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:133-145. Full description at Econpapers \|\| Download paper
2018	Tail expectile process and risk assessment. (2018). STUPFLER, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:32890. Full description at Econpapers \|\| Download paper
2018	Conditional expectiles, time consistency and mixture convexity properties. (2018). Bellini, Fabio ; Puccetti, Giovanni ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:117-123. Full description at Econpapers \|\| Download paper
2018	Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747. Full description at Econpapers \|\| Download paper
2018	Quantile optimization under derivative constraint. (2018). Xu, Zuo Quan. In: Papers. RePEc:arx:papers:1803.02546. Full description at Econpapers \|\| Download paper
2018	Stochastic distortion and its transformed copula. (2018). Lin, Feng ; Yang, Jingping ; Xie, Jiehua ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166. Full description at Econpapers \|\| Download paper
2018	Portfolio Choice with Market-Credit Risk Dependencies. (2018). Capponi, Agostino ; Bo, Lijun. In: Papers. RePEc:arx:papers:1806.07175. Full description at Econpapers \|\| Download paper
2018	Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching. (2018). Wang, Yongjin ; Liao, Huafu ; Bo, Lijun. In: Papers. RePEc:arx:papers:1807.05513. Full description at Econpapers \|\| Download paper
2018	An SPDE Model for Systemic Risk with Endogenous Contagion. (2018). Sojmark, Andreas ; Hambly, Ben. In: Papers. RePEc:arx:papers:1801.10088. Full description at Econpapers \|\| Download paper
2018	Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139. Full description at Econpapers \|\| Download paper
2018	Reconstruction methods for networks: the case of economic and financial systems. (2018). Garlaschelli, Diego ; Gabrielli, Andrea ; Cimini, Giulio ; Caldarelli, Guido ; Squartini, Tiziano. In: Papers. RePEc:arx:papers:1806.06941. Full description at Econpapers \|\| Download paper
2018	Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372. Full description at Econpapers \|\| Download paper
2018	Reconstructing and stress testing credit networks. (2018). Fricke, Daniel ; Caccioli, Fabio ; Ramadiah, Amanah. In: ESRB Working Paper Series. RePEc:srk:srkwps:201884. Full description at Econpapers \|\| Download paper
2018	Measuring the propagation of financial distress with Granger-causality tail risk networks. (2018). Trapin, Luca ; Pirino, Davide ; Lillo, Fabrizio ; Corsi, Fulvio. In: Journal of Financial Stability. RePEc:eee:finsta:v:38:y:2018:i:c:p:18-36. Full description at Econpapers \|\| Download paper
2018	Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. (2018). Yu, Xiang ; Liao, Huafu ; Bo, Lijun. In: Papers. RePEc:arx:papers:1712.05676. Full description at Econpapers \|\| Download paper
2018	Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John. In: PhD Thesis. RePEc:uts:finphd:40. Full description at Econpapers \|\| Download paper
2018	Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John. In: PhD Thesis. RePEc:uts:finphd:3-2018. Full description at Econpapers \|\| Download paper
2018	Optimal fee structures in hedge funds. (2018). Escobar-Anel, Marcos ; Zagst, Rudi ; Seco, Luis ; Hohn, Vincent. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:7:d:10.1057_s41260-018-0094-7. Full description at Econpapers \|\| Download paper
2018	Perturbation analysis of sub/super hedging problems. (2018). Jacquier, Antoine ; Badikov, Sergey. In: Papers. RePEc:arx:papers:1806.03543. Full description at Econpapers \|\| Download paper
2018	Pointwise Arbitrage Pricing Theory in Discrete Time. (2018). Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1612.07618. Full description at Econpapers \|\| Download paper
2018	A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1612.09152. Full description at Econpapers \|\| Download paper
2018	Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims. (2018). Neufeld, Ariel. In: Papers. RePEc:arx:papers:1707.01178. Full description at Econpapers \|\| Download paper
2018	Mini-Flash Crashes, Model Risk, and Optimal Execution. (2018). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1705.09827. Full description at Econpapers \|\| Download paper
2018	Robust martingale selection problem and its connections to the no-arbitrage theory. (2018). Sikic, Mario ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1801.03574. Full description at Econpapers \|\| Download paper
2018	A risk-neutral equilibrium leading to uncertain volatility pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0356-8. Full description at Econpapers \|\| Download paper
2018	Quantile Hedging in a semi-static market with model uncertainty. (2018). Bayraktar, Erhan ; Wang, GU. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:87:y:2018:i:2:d:10.1007_s00186-017-0616-y. Full description at Econpapers \|\| Download paper
2018	Robust pricingâhedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9. Full description at Econpapers \|\| Download paper
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2018	Robust Utility Maximization in Discrete-Time Markets with Friction. (2018). Neufeld, Ariel ; Sikic, Mario. In: Papers. RePEc:arx:papers:1610.09230. Full description at Econpapers \|\| Download paper
2018	On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets. (2018). Meireles-Rodrigues, Andrea. In: Papers. RePEc:arx:papers:1801.06860. Full description at Econpapers \|\| Download paper
2018	Robust utility maximization in markets with transaction costs. (2018). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:1803.04213. Full description at Econpapers \|\| Download paper
2018	Portfolio Optimization with Nondominated Priors and Unbounded Parameters. (2018). Ugurlu, Kerem. In: Papers. RePEc:arx:papers:1807.05773. Full description at Econpapers \|\| Download paper
2018	Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach MiklÃ³s R Â´ asonyi. (2018). Rasonyi, Miklos ; Carassus, Laurence ; Blanchard, Romain. In: Post-Print. RePEc:hal:journl:hal-01883419. Full description at Econpapers \|\| Download paper
2018	Dynamically consistent investment under model uncertainty: the robust forward criteria. (2018). Kallblad, Sigrid ; Zariphopoulou, Thaleia ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0368-4. Full description at Econpapers \|\| Download paper
2018	No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach. (2018). Blanchard, Romain ; Rasonyi, Miklos ; Carassus, Laurence. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0635-3. Full description at Econpapers \|\| Download paper
2018	A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations. (2018). Kufakunesu, Rodwell ; Guambe, Calisto ; Mabitsela, Lesedi . In: Papers. RePEc:arx:papers:1808.04611. Full description at Econpapers \|\| Download paper
2018	Managing Default Contagion in Inhomogeneous Financial Networks. (2018). Detering, Nils ; Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo. In: Papers. RePEc:arx:papers:1610.09542. Full description at Econpapers \|\| Download paper
2018	Explicit size distributions of failure cascades redefine systemic risk on finite networks. (2018). Schweitzer, Frank ; Herrmann, Hans J ; Burkholz, Rebekka. In: Papers. RePEc:arx:papers:1802.03286. Full description at Econpapers \|\| Download paper
2018	Financial Contagion in a Generalized Stochastic Block Model. (2018). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:1803.08169. Full description at Econpapers \|\| Download paper
2018	Financial asset bubbles in banking networks. (2018). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1806.01728. Full description at Econpapers \|\| Download paper
2018	Epidemics of liquidity shortages in interbank markets. (2018). Di Clemente, Riccardo ; Cimini, Giulio ; Brandi, Giuseppe . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:255-267. Full description at Econpapers \|\| Download paper
2018	The future of risk assessment. (2018). Zio, E. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:177:y:2018:i:c:p:176-190. Full description at Econpapers \|\| Download paper
2018	Les instruments de politique macroprudentielle : un rempart contre les risques de contagion interbancaire. (2018). Piquard, Thibaut ; Salakhova, Dilyara. In: Bulletin de la Banque de France. RePEc:bfr:bullbf:2018:218:03. Full description at Econpapers \|\| Download paper
2018	Structural risk evaluation of global gas trade by a network-based dynamics simulation model. (2018). Chen, Zhihua ; Hao, Xiaoqing ; Guan, Qing. In: Energy. RePEc:eee:energy:v:159:y:2018:i:c:p:457-471. Full description at Econpapers \|\| Download paper
2018	Systemic illiquidity in the interbank network. (2018). Langfield, Sam ; Ferrara, Gerardo ; Ota, Tomohiro ; Liu, Zijun. In: ESRB Working Paper Series. RePEc:srk:srkwps:201886. Full description at Econpapers \|\| Download paper
2018	BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY. (2018). Hurd, T R. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500401. Full description at Econpapers \|\| Download paper
2018	Indexing gamble desirability by extending proportional stochastic dominance. (2018). Hellman, Ziv ; Schreiber, Amnon. In: Games and Economic Behavior. RePEc:eee:gamebe:v:109:y:2018:i:c:p:523-543. Full description at Econpapers \|\| Download paper
2018	Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity. (2018). Brandtner, Mario ; Rischau, Robert ; Kursten, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:2:p:707-716. Full description at Econpapers \|\| Download paper
2018	Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Papers. RePEc:arx:papers:1810.09112. Full description at Econpapers \|\| Download paper
2018	Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395. Full description at Econpapers \|\| Download paper
2018	Systematic Systemic Stress Tests. (2018). Summer, Martin ; Breuer, Thomas. In: Working Papers. RePEc:onb:oenbwp:225. Full description at Econpapers \|\| Download paper
2018	Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations. (2018). Stazhynski, Uladzislau ; Gobet, Emmanuel ; Fort, Gersende ; Diallo, Babacar ; Crepey, Stephane ; Barrera, David. In: Working Papers. RePEc:hal:wpaper:hal-01710394. Full description at Econpapers \|\| Download paper
2018	Moral Hazard Under Ambiguity. (2018). Mastrolia, Thibaut ; Possamai, Dylan. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1230-8. Full description at Econpapers \|\| Download paper
2018	VIX derivatives valuation and estimation based on closed-form series expansions. (2018). Zhao, Zhe ; Florescu, Ionu ; Cui, Zhenyu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500202. Full description at Econpapers \|\| Download paper
2018
2018	A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. (2018). Nistor, Victor ; Han, Xiao ; Grishchenko, Olesya. In: Papers. RePEc:arx:papers:1812.09904. Full description at Econpapers \|\| Download paper
2018	Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR. (2018). Schweizer, Martin ; Balint, Daniel Agoston. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1823. Full description at Econpapers \|\| Download paper
2018	Optimal contract for a fund manager, with capital injections and endogenous trading constraints. (2018). Zariphopoulou, Thaleia ; Nadtochiy, Sergey. In: Papers. RePEc:arx:papers:1802.09165. Full description at Econpapers \|\| Download paper
2018	Systems of ergodic BSDE arising in regime switching forward performance processes. (2018). Tang, Shanjian ; Liang, Gechun ; Hu, Ying. In: Papers. RePEc:arx:papers:1807.01816. Full description at Econpapers \|\| Download paper
2018	Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications. (2018). Li, Xun ; Lu, Jun Guo ; Gao, Jianjun ; Wu, Weiping. In: Papers. RePEc:arx:papers:1806.03624. Full description at Econpapers \|\| Download paper
2018	Replicating portfolio approach to capital calculation. (2018). Cambou, Mathieu ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0347-1. Full description at Econpapers \|\| Download paper
2018	Scenario-based Risk Evaluation. (2018). Ziegel, Johanna F ; Wang, Ruodu. In: Papers. RePEc:arx:papers:1808.07339. Full description at Econpapers \|\| Download paper
2018	Simple Bounds for Transaction Costs. (2018). Muhle-Karbe, Johannes ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1802.06120. Full description at Econpapers \|\| Download paper
2018	Simple Bounds for Transaction Costs. (2018). Muhle-Karbe, Johannes ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-01711371. Full description at Econpapers \|\| Download paper
2018	Equilibrium Returns with Transaction Costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. In: Post-Print. RePEc:hal:journl:hal-01569408. Full description at Econpapers \|\| Download paper
2018	Optimal investment with transient price impact. (2018). Voss, Moritz ; Bank, Peter. In: Papers. RePEc:arx:papers:1804.07392. Full description at Econpapers \|\| Download paper
2018	Equilibrium returns with transaction costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6. Full description at Econpapers \|\| Download paper
2018	Rebalancing Multiple Assets with Mutual Price Impact. (2018). Guasoni, Paolo ; Weber, Marko H. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1366-6. Full description at Econpapers \|\| Download paper
2018	Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Czichowsky, Christoph ; Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0351-5. Full description at Econpapers \|\| Download paper
2018	Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi ; Czichowsky, Christoph Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85230. Full description at Econpapers \|\| Download paper
2018	Hyperbolic normal stochastic volatility model. (2018). Ki, Byoung ; Liu, Chenru ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:1809.04035. Full description at Econpapers \|\| Download paper
2018	Stability of Radner equilibria with respect to small frictions. (2018). Herdegen, Martin ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0354-x. Full description at Econpapers \|\| Download paper
2018	Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1804.09151. Full description at Econpapers \|\| Download paper
2018	Optimal liquidation under stochastic liquidity. (2018). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2. Full description at Econpapers \|\| Download paper
2018	Optimal portfolio selection in an It\^o-Markov additive market. (2018). Sulima, Anna ; Stettner, Lukasz ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1806.03496. Full description at Econpapers \|\| Download paper
2018	An Expanded Local Variance Gamma model. (2018). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1802.09611. Full description at Econpapers \|\| Download paper
2018	Geometric Local Variance Gamma model. (2018). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1809.07727. Full description at Econpapers \|\| Download paper
2018	The strong predictable representation property in initially enlarged filtrations under the density hypothesis. (2018). Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1007-1033. Full description at Econpapers \|\| Download paper
2018	Short-time near-the-money skew in rough fractional volatility models. (2018). Friz, Peter K ; Horvath, Blanka ; Gulisashvili, Archil ; Stemper, Benjamin ; Bayer, Christian. In: Papers. RePEc:arx:papers:1703.05132. Full description at Econpapers \|\| Download paper
2018	The asymptotic smile of a multiscaling stochastic volatility model. (2018). Caravenna, Francesco ; Corbetta, Jacopo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1034-1071. Full description at Econpapers \|\| Download paper
2018	Small-time moderate deviations for the randomised Heston model. (2018). Shi, Fangwei ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1808.03548. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2018

Year	Citing document
2018	Robust utility maximization in markets with transaction costs. (2018). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:1803.04213. Full description at Econpapers \|\| Download paper
2018	A note on the long rate in factor models of the term structure. (2018). de Kort, Jan. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:2:p:656-667. Full description at Econpapers \|\| Download paper
2018	Hedge or Rebalance: Optimal Risk Management with Transaction Costs. (2018). Gallien, Florent ; Malamud, Semyon ; Kassibrakis, Serge. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:112-:d:174200. Full description at Econpapers \|\| Download paper
2018
2018	LÃVYâVASICEK MODELS AND THE LONG-BOND RETURN PROCESS. (2018). Brody, Dorje C ; Meier, David M ; Hughston, Lane P. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500267. Full description at Econpapers \|\| Download paper
2018

Recent citations received in 2017

Year	Citing document
2017	On future drawdowns of LÃ©vy processes. (2017). Baurdoux, E J ; Pistorius, M R ; Palmowski, Z. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2679-2698. Full description at Econpapers \|\| Download paper
2017	The exact Taylor formula of the implied volatility. (2017). Pascucci, Andrea ; Pagliarani, Stefano. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0330-x. Full description at Econpapers \|\| Download paper
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

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	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). Lok, Yen ; Kratz, Marie ; McNeil, Alexander J. 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). Capponi, Agostino ; Bo, Lijun. In: Papers. RePEc:arx:papers:1612.06133. Full description at Econpapers \|\| Download paper
2016	Feedback effects and endogenous risk in financial markets. (2016). Wagalath, Lakshithe. In: Finance. RePEc:cai:finpug:fina_372_0039. Full description at Econpapers \|\| Download paper
2016	Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Dosis, Anastasios. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-16017. Full description at Econpapers \|\| Download paper
2016	Multinomial var backtests: A simple implicit approach to backtesting expected shortfall. (2016). Lok, Yen ; McNeil, Alexander ; Kratz, Marie. In: Working Papers. RePEc:hal:wpaper:hal-01424279. Full description at Econpapers \|\| Download paper
2016	Multivariate Factorisable Sparse Asymmetric Least Squares Regression. (2016). HÃÂ¤rdle, Wolfgang ; Huang, Chen ; Hardle, Wolfgang K ; Chao, Shih-Kang. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-058. Full description at Econpapers \|\| Download paper
2016	Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty. (2016). Bayraktar, Erhan ; Zhang, Yuchong. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:41:y:2016:i:3:p:1039-1054. Full description at Econpapers \|\| Download paper
2016	An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect. (2016). Chen, Nan ; Yao, David D ; Liu, Xin. In: Operations Research. RePEc:inm:oropre:v:64:y:2016:i:5:p:1089-1108. 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
2016	DOUBLE CASCADE MODEL OF FINANCIAL CRISES. (2016). Hurd, T R ; Shao, Quentin H ; Melnik, Sergey ; Cellai, Davide . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:05:n:s0219024916500412. 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
2015	Affine Point Processes: Approximation and Efficient Simulation. (2015). Glynn, Peter W ; Zhang, Xiaowei ; Giesecke, Kay ; Blanchet, Jose. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:40:y:2015:i:4:p:797-819. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	51	1824
2	Insurance: Mathematics and Economics / Elsevier	43	281
3	Finance and Stochastics / Springer	44	270
4	European Journal of Operational Research / Elsevier	87	207
5	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	13	172
6	Stochastic Processes and their Applications / Elsevier	32	143
7	Journal of Banking & Finance / Elsevier	130	96
8	Working Papers / HAL	32	91
9	Journal of Economic Dynamics and Control / Elsevier	98	89
10	Annals of Operations Research / Springer	30	74
11	Quantitative Finance / Taylor & Francis Journals	43	64