Applied Mathematical Finance / Taylor & Francis Journals
Citation Profile [Updated: 2019-12-04 10:36:47]
5 Years H
22
Impact Factor
0.27
5 Years IF
0.29
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
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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 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1992 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1993 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
| 1994 | 0 | 0.11 | 0.09 | 0 | 11 | 11 | 84 | 1 | 1 | 0 | 0 | 1 | 100 | 1 | 0.09 | 0.05 | ||
| 1995 |  0.27 |
0.19 | 0.12 | 0.27 | 14 | 25 | 204 | 3 | 4 | 11 | 3 | 11 | 3 | 2 | 66.7 | 0 | 0.08 | |
| 1996 | 0 | 0.22 | 0 | 0 | 16 | 41 | 142 | 4 | 25 | 25 | 0 | 0 | 0.1 | |||||
| 1997 | 0.27 |
0.22 | 0.25 | 0.27 | 14 | 55 | 45 | 14 | 18 | 30 | 8 | 41 | 11 | 9 | 64.3 | 0 | 0.09 | |
| 1998 |  0.17 |
0.26 | 0.15 | 0.16 | 12 | 67 | 47 | 10 | 28 | 30 | 5 | 55 | 9 | 2 | 20 | 0 | 0.12 | |
| 1999 | 0.04 |
0.28 | 0.15 | 0.12 | 15 | 82 | 24 | 12 | 40 | 26 | 1 | 67 | 8 | 4 | 33.3 | 0 | 0.14 | |
| 2000 | 0.11 |
0.33 | 0.3 | 0.25 | 14 | 96 | 43 | 29 | 69 | 27 | 3 | 71 | 18 | 6 | 20.7 | 0 | 0.15 | |
| 2001 | 0.07 |
0.36 | 0.17 | 0.17 | 13 | 109 | 31 | 19 | 88 | 29 | 2 | 71 | 12 | 6 | 31.6 | 1 | 0.08 | 0.15 |
| 2002 | 0.19 |
0.39 | 0.2 | 0.15 | 16 | 125 | 199 | 25 | 113 | 27 | 5 | 68 | 10 | 3 | 12 | 0 | 0.21 | |
| 2003 | 0.1 |
0.4 | 0.33 | 0.17 | 16 | 141 | 200 | 47 | 160 | 29 | 3 | 70 | 12 | 1 | 2.1 | 0 | 0.2 | |
| 2004 | 0.16 |
0.45 | 0.24 | 0.2 | 16 | 157 | 74 | 36 | 197 | 32 | 5 | 74 | 15 | 0 | 1 | 0.06 | 0.2 | |
| 2005 | 0.38 |
0.46 | 0.33 | 0.4 | 15 | 172 | 293 | 54 | 253 | 32 | 12 | 75 | 30 | 1 | 1.9 | 7 | 0.47 | 0.22 |
| 2006 | 0.39 |
0.46 | 0.4 | 0.43 | 16 | 188 | 121 | 75 | 328 | 31 | 12 | 76 | 33 | 7 | 9.3 | 5 | 0.31 | 0.21 |
| 2007 | 0.52 |
0.42 | 0.37 | 0.47 | 23 | 211 | 200 | 78 | 406 | 31 | 16 | 79 | 37 | 4 | 5.1 | 3 | 0.13 | 0.18 |
| 2008 | 0.49 |
0.44 | 0.43 | 0.57 | 22 | 233 | 111 | 100 | 506 | 39 | 19 | 86 | 49 | 6 | 6 | 1 | 0.05 | 0.21 |
| 2009 | 0.31 |
0.44 | 0.34 | 0.38 | 24 | 257 | 129 | 87 | 594 | 45 | 14 | 92 | 35 | 9 | 10.3 | 0 | 0.21 | |
| 2010 | 0.35 |
0.43 | 0.38 | 0.46 | 24 | 281 | 107 | 104 | 701 | 46 | 16 | 100 | 46 | 3 | 2.9 | 1 | 0.04 | 0.18 |
| 2011 | 0.23 |
0.46 | 0.39 | 0.31 | 23 | 304 | 85 | 117 | 820 | 48 | 11 | 109 | 34 | 3 | 2.6 | 1 | 0.04 | 0.21 |
| 2012 | 0.15 |
0.47 | 0.45 | 0.38 | 21 | 325 | 69 | 146 | 967 | 47 | 7 | 116 | 44 | 4 | 2.7 | 4 | 0.19 | 0.19 |
| 2013 | 0.45 |
0.53 | 0.57 | 0.57 | 27 | 352 | 46 | 202 | 1169 | 44 | 20 | 114 | 65 | 0 | 3 | 0.11 | 0.22 | |
| 2014 | 0.17 |
0.55 | 0.5 | 0.39 | 21 | 373 | 49 | 186 | 1355 | 48 | 8 | 119 | 47 | 0 | 2 | 0.1 | 0.22 | |
| 2015 | 0.25 |
0.56 | 0.56 | 0.45 | 22 | 395 | 50 | 221 | 1576 | 48 | 12 | 116 | 52 | 5 | 2.3 | 5 | 0.23 | 0.21 |
| 2016 | 0.56 |
0.58 | 0.55 | 0.51 | 19 | 414 | 15 | 226 | 1802 | 43 | 24 | 114 | 58 | 3 | 1.3 | 0 | 0.2 | |
| 2017 | 0.37 |
0.6 | 0.51 | 0.43 | 18 | 432 | 7 | 221 | 2023 | 41 | 15 | 110 | 47 | 0 | 0 | 0.22 | ||
| 2018 | 0.27 |
0.76 | 0.51 | 0.29 | 10 | 442 | 10 | 224 | 2247 | 37 | 10 | 107 | 31 | 0 | 1 | 0.1 | 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 | 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 | 155 |
| 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 | 113 |
| 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 | 93 |
| 4 | 2002 | On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers || Download paper | 88 |
| 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 | 72 |
| 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 | 51 |
| 7 | 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 | 48 |
| 8 | 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 | 44 |
| 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 | 40 |
| 10 | 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 | 39 |
| 11 | 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 | 38 |
| 12 | 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 | 37 |
| 13 | 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 | 37 |
| 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 | 36 |
| 15 | 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 | 29 |
| 16 | 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 | 29 |
| 17 | 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 | 27 |
| 18 | 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 | 27 |
| 19 | 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 | 26 |
| 20 | 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 | 26 |
| 21 | 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 |
| 22 | 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 |
| 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 | 22 |
| 24 | 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 |
| 25 | 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 | 21 |
| 26 | 2008 | Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers || Download paper | 20 |
| 27 | 2009 | On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers || Download paper | 19 |
| 28 | 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 | 19 |
| 29 | 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 | 18 |
| 30 | 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 | 18 |
| 31 | 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 | 18 |
| 32 | 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 | 18 |
| 33 | 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 | 18 |
| 34 | 2004 | Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). Perelló, 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 | 18 |
| 35 | 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 | 17 |
| 36 | 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 |
| 37 | 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 |
| 38 | 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 | 16 |
| 39 | 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 | 15 |
| 40 | 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 | 15 |
| 41 | 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 |
| 42 | 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 | 14 |
| 43 | 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 | 14 |
| 44 | 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 | 14 |
| 45 | 2002 | Basics of electricity derivative pricing in competitive markets. (2002). Vehviläinen, 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 | 14 |
| 46 | 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 | 13 |
| 47 | 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 | 12 |
| 48 | 2008 | Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing. (2008). Alexandridis, A. ; Zapranis, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:4:p:355-386. Full description at Econpapers || Download paper | 12 |
| 49 | 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 |
| 50 | 1996 | Bond, futures and option evaluation in the quadratic interest rate model. (1996). Jamshidian, Farshid . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:2:p:93-115. Full description at Econpapers || Download paper | 12 |
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 | 43 |
| 2 | 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 | 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 | 32 |
| 4 | 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 | 29 |
| 5 | 2007 | A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers || Download paper | 24 |
| 6 | 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 | 16 |
| 7 | 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 | 14 |
| 8 | 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 | 12 |
| 9 | 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 | 11 |
| 10 | 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 | 11 |
| 11 | 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 | 9 |
| 12 | 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 | 8 |
| 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 | 8 |
| 14 | 2005 | The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers || Download paper | 7 |
| 15 | 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 | 7 |
| 16 | 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 |
| 17 | 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 |
| 18 | 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 | 7 |
| 19 | 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 | 7 |
| 20 | 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 | 7 |
| 21 | 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 | 7 |
| 22 | 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 | 6 |
| 23 | 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 |
| 24 | 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 | 6 |
| 25 | 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 | 6 |
| 26 | 2003 | A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers || Download paper | 6 |
| 27 | 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 | 6 |
| 28 | 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 | 6 |
| 29 | 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 | 6 |
| 30 | 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 | 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 | 2015 | A Hybrid Model for Pricing and Hedging of Long-dated Bonds. (2015). Platen, Eckhard ; Baldeaux, Jan ; Ignatieva, Katja. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:4:p:366-398. Full description at Econpapers || Download paper | 5 |
| 33 | 2014 | Prices and Asymptotics for Discrete Variance Swaps. (2014). Bernard, Carole ; Cui, Zhenyu. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers || Download paper | 5 |
| 34 | 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 | 5 |
| 35 | 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 |
| 36 | 2009 | American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach. (2009). Chiarella, Carl ; Ziogas, Andrew. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:37-79. Full description at Econpapers || Download paper | 5 |
| 37 | 2004 | Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). Perelló, 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 | 5 |
| 38 | 1997 | A note on the Flesaker-Hughston model of the term structure of interest rates. (1997). Rutkowski, Marek. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:3:p:151-163. Full description at Econpapers || Download paper | 4 |
| 39 | 2016 | Market calibration under a long memory stochastic volatility model. (2016). Pospiil, Jan ; Sobotka, Toma. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:23:y:2016:i:5:p:323-343. Full description at Econpapers || Download paper | 4 |
| 40 | 2018 | A non-Gaussian OrnsteinâUhlenbeck model for pricing wind power futures. (2018). Pircalabu, Anca ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:36-65. Full description at Econpapers || Download paper | 4 |
| 41 | 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 | 4 |
| 42 | 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 |
| 43 | 2013 | Utility Indifference Pricing: A Time Consistent Approach. (2013). Zhang, Huayue ; Pirvu, Traian A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:4:p:304-326. Full description at Econpapers || Download paper | 4 |
| 44 | 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 | 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 | 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 | 4 |
| 47 | 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 | 4 |
| 48 | 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 |
| 49 | 2007 | Convex Hedging in Incomplete Markets. (2007). Rudloff, Birgit. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:437-452. Full description at Econpapers || Download paper | 4 |
| 50 | 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 | 4 |
Citing documents used to
compute impact factor: 10
| Year | Title | |
|---|---|---|
| 2018 | Between â and â: The â â Measure for Pricing in Asset Liability Management. (2018). , Marcel ; Oosterlee, Cornelis W. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:67-:d:177971. Full description at Econpapers || Download paper | |
| 2018 | Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. (2018). Phelan, Carolyn E ; Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:1:p:210-223. Full description at Econpapers || Download paper | |
| 2018 | ||
| 2018 | Consistent Inter-Model Specification for Time-Homogeneous SPX Stochastic Volatility and VIX Market Models. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1812.05859. Full description at Econpapers || Download paper | |
| 2018 | Spurious Seasonality Detection: A Non-Parametric Test Proposal. (2018). Fernandez Bariviera, Aurelio ; Judge, George ; Plastino, Angelo. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:3-:d:127770. Full description at Econpapers || Download paper | |
| 2018 | Spurious seasonality detection: a non-parametric test proposal. (2018). Fernandez Bariviera, Aurelio ; Judge, George ; Plastino, Angelo. In: Papers. RePEc:arx:papers:1801.07941. Full description at Econpapers || Download paper | |
| 2018 | An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral. (2018). Ma, Chao ; Hou, Tiancheng ; Yao, Haixiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:87-117. Full description at Econpapers || Download paper | |
| 2018 | SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations. (2018). Boyarchenko, Svetlana ; Levendorskiui, Sergei. In: Papers. RePEc:arx:papers:1808.05295. Full description at Econpapers || Download paper | |
| 2018 | Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model. (2018). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1809.05328. Full description at Econpapers || Download paper | |
| 2018 | SKEWED LÃVY MODELS AND IMPLIED VOLATILITY SKEW. (2018). Fajardo, José ; Mordecki, Ernesto ; De Olivera, Federico . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500036. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2018
| Year | Citing document | |
|---|---|---|
| 2018 | A Stochastic Control Approach to Managed Futures Portfolios. (2018). Leung, Tim ; Yan, Raphael. In: Papers. RePEc:arx:papers:1811.01916. Full description at Econpapers || Download paper |
Recent citations received in 2017
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Recent citations received in 2016
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Recent citations received in 2015
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|---|---|---|
| 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 |
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