Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2020-06-03 07:38:54]

5 Years H

Impact Factor

0.65

5 Years IF

1.21

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	421	1	2	0		0		1	100	1	0.06	0.04
1992	0	0.09	0.03	0	16	33	499	1	3	17		17			0	1	0.06	0.04
1993	0.06	0.1	0.09	0.06	21	54	333	5	8	33	2	33	2	3	60	1	0.05	0.05
1994	0.08	0.11	0.11	0.06	20	74	533	8	16	37	3	54	3	2	25	1	0.05	0.06
1995	0.24	0.2	0.33	0.3	19	93	628	31	47	41	10	74	22		0	6	0.32	0.08
1996	0.56	0.22	0.48	0.39	19	112	1060	52	101	39	22	93	36		0	3	0.16	0.1
1997	0.68	0.23	0.62	0.51	18	130	1127	80	182	38	26	95	48	3	3.8	10	0.56	0.1
1998	0.59	0.27	0.57	0.46	20	150	637	86	268	37	22	97	45	4	4.7	5	0.25	0.12
1999	0.58	0.29	0.71	0.63	16	166	1998	116	386	38	22	96	60	5	4.3	7	0.44	0.14
2000	0.97	0.34	1.23	1.14	28	194	672	234	625	36	35	92	105	1	0.4	5	0.18	0.15
2001	0.64	0.36	1.11	0.98	20	214	402	235	863	44	28	101	99	2	0.9	2	0.1	0.16
2002	0.52	0.4	0.99	0.97	25	239	621	233	1100	48	25	102	99		0	4	0.16	0.21
2003	0.49	0.41	1.14	0.89	26	265	298	298	1402	45	22	109	97	9	3	4	0.15	0.2
2004	0.78	0.46	1.39	1.14	30	295	483	404	1811	51	40	115	131	12	3	6	0.2	0.21
2005	0.54	0.47	1.16	0.7	29	324	506	374	2186	56	30	129	90	8	2.1	11	0.38	0.22
2006	0.64	0.47	1.22	0.72	33	357	506	434	2622	59	38	130	94	11	2.5	8	0.24	0.21
2007	0.56	0.42	1.34	0.69	27	384	407	510	3138	62	35	143	98	8	1.6	6	0.22	0.19
2008	0.63	0.45	1.33	0.68	30	414	520	545	3688	60	38	145	98	26	4.8	12	0.4	0.21
2009	0.67	0.44	1.42	0.77	22	436	373	618	4306	57	38	149	114	39	6.3	10	0.45	0.21
2010	0.63	0.44	1.42	0.72	0	436	0	618	4924	52	33	141	101		0		0	0.18
2011	1.27	0.46	1.37	0.92	0	436	0	593	5520	22	28	112	103		0		0	0.21
2012	0	0.47	1.4	1.11	0	436	0	606	6129	0		79	88		0		0	0.19
2013	0	0.53	1.73	1.6	0	436	0	743	6882	0		52	83		0		0	0.22
2014	0	0.55	1.86	2.45	16	452	179	838	7722	0		22	54	19	2.3	5	0.31	0.21
2015	0.75	0.55	1.82	0.75	28	480	163	874	8597	16	12	16	12		0	4	0.14	0.21
2016	1.07	0.56	2.18	1.07	33	513	204	1115	9713	44	47	44	47	8	0.7	19	0.58	0.2
2017	1.13	0.58	1.75	1.21	35	548	100	956	10670	61	69	77	93	1	0.1	4	0.11	0.21
2018	1.24	0.7	1.68	1.29	37	585	33	985	11655	68	84	112	144	15	1.5	6	0.16	0.28
2019	0.65	0.88	1.67	1.21	35	620	46	1034	12689	72	47	149	180	7	0.7	27	0.77	0.33

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	1608
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	631
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	321
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	288
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	194
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	183
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	168
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	126
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	123
10	1992	ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106. Full description at Econpapers \|\| Download paper	119
11	1991	Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14. Full description at Econpapers \|\| Download paper	118
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	111
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	108
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	106
16	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	105
17	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	102
18	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
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	101
20	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	91
21	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	90
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	87
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	85
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	81
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	77
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	77
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	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	75
29	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	75
30	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
31	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	72
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	72
33	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	72
34	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	71
35	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
36	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
37	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	70
38	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
39	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	69
40	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	68
41	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	68
42	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	68
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	66
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	66
45	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	64
46	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	64
47	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
48	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	62
49	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
50	1998	Complete Models with Stochastic Volatility. (1998). Rogers, Leonard ; Hobson, David G. ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48. Full description at Econpapers \|\| Download paper	62

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	292
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	71
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	61
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	41
5	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	29
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	29
7	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	24
8	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	23
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	23
10	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	21
11	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	21
12	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
13	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	21
14	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	20
15	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	19
16	2019		19
17	2005	AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437. Full description at Econpapers \|\| Download paper	19
18	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	18
19	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	18
20	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	18
21	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	18
22	2005	OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÃR-LUNDBERG MODEL. (2005). Muler, Nora ; Azcue, Pablo . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:261-308. Full description at Econpapers \|\| Download paper	18
23	2015	BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTSâPART II: CVA. (2015). Crepey, Stephane. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:23-50. Full description at Econpapers \|\| Download paper	17
24	2015	BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTSâPART I: PRICING. (2015). Crepey, Stephane. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:1-22. Full description at Econpapers \|\| Download paper	17
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27	2007	THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14. Full description at Econpapers \|\| Download paper	15
28	2016	UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME. (2016). Nutz, Marcel. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:252-268. Full description at Econpapers \|\| Download paper	15
29	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	14
30	2005	A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS. (2005). Pages, Gilles ; Bally, Vlad ; Printems, Jacques . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:119-168. Full description at Econpapers \|\| Download paper	14
31	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	14
32	2008	PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÃVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH. (2008). Mingfeng, LI ; Linetsky, Vadim. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:337-384. Full description at Econpapers \|\| Download paper	14
33	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	14
34	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	14
35	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	14
36	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	14
37	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	14
38	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	14
39	2016	FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK. (2016). Cont, Rama ; Wagalath, Lakshithe. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:835-866. Full description at Econpapers \|\| Download paper	14
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42	2005	CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION. (2005). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, ; Bielecki, Tomasz R. ; Pliska, Stanley R.. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:2:p:213-244. Full description at Econpapers \|\| Download paper	13
43	2014	ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS. (2014). Pallavicini, Andrea ; Brigo, Damiano ; Capponi, Agostino. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146. Full description at Econpapers \|\| Download paper	13
44	2008	OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS. (2008). Touzi, Nizar ; Carmona, Rene. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:239-268. Full description at Econpapers \|\| Download paper	13
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48	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	12
49	2017	ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES. (2017). Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos ; Bouchard, Bruno. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:4:p:963-987. Full description at Econpapers \|\| Download paper	12
50	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	12

Citing documents used to compute impact factor: 47

Year	Title
2019	The implied Sharpe ratio. (2019). Lorig, Matthew ; Agarwal, Ankush. In: Papers. RePEc:arx:papers:1908.04837. Full description at Econpapers \|\| Download paper
2019	On the quasi-sure superhedging duality with frictions. (2019). Bayraktar, Erhan ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1809.07516. Full description at Econpapers \|\| Download paper
2019	The robust superreplication problem: a dynamic approach. (2019). Wiesel, Johannes ; Obloj, Jan ; Carassus, Laurence. In: Papers. RePEc:arx:papers:1812.11201. Full description at Econpapers \|\| Download paper
2019	Robust Pricing and Hedging around the Globe. (2019). Stebegg, Florian ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1707.08545. Full description at Econpapers \|\| Download paper
2019	Martingale Optimal Transport Duality. (2019). Soner, Mete H ; Promel, David J ; Kiiski, Matti ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:1904.04644. Full description at Econpapers \|\| Download paper
2019	Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion. (2019). Lin, Qian ; Holzermann, Julian. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:613. Full description at Econpapers \|\| Download paper
2019	Strategic real options. (2019). Kolb, Aaron M. In: Journal of Economic Theory. RePEc:eee:jetheo:v:183:y:2019:i:c:p:344-383. Full description at Econpapers \|\| Download paper
2019	A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800. Full description at Econpapers \|\| Download paper
2019	Pricing VIX derivatives with free stochastic volatility model. (2019). Lin, Wei ; Zhang, Jin E ; Chern, Shane . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9145-y. Full description at Econpapers \|\| Download paper
2019	On the calibration of the 3/2 model. (2019). Vyncke, David ; Gudmundsson, Hilmar. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:3:p:1178-1192. Full description at Econpapers \|\| Download paper
2019	VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS. (2019). Bertschinger, Nils ; Pfante, Oliver. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500134. Full description at Econpapers \|\| Download paper
2019	On the first positive and negative excursion exceeding a given length. (2019). Testa, Luisa ; Sirovich, Roberta. In: Statistics & Probability Letters. RePEc:eee:stapro:v:150:y:2019:i:c:p:137-145. Full description at Econpapers \|\| Download paper
2019	Optimal investment and consumption with forward preferences and uncertain parameters. (2019). Liang, Gechun ; Chong, Wing Fung. In: Papers. RePEc:arx:papers:1807.01186. Full description at Econpapers \|\| Download paper
2019	An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. (2019). Chong, Wing Fung ; Zariphopoulou, Thaleia ; Liang, Gechun ; Hu, Ying. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:1:d:10.1007_s00780-018-0377-3. Full description at Econpapers \|\| Download paper
2019	Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379. Full description at Econpapers \|\| Download paper
2019	Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107. Full description at Econpapers \|\| Download paper
2019	Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (2019). Gao, Jianjun ; Cui, Xiangyu ; Li, Duan ; Strub, Moris S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301502. Full description at Econpapers \|\| Download paper
2019	Reverse sensitivity testing: What does it take to break the model?. (2019). Pesenti, Silvana M ; Tsanakas, Andreas ; Millossovich, Pietro. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:654-670. Full description at Econpapers \|\| Download paper
2019	Robust Utility Maximization with Drift and Volatility Uncertainty. (2019). Ugurlu, Kerem. In: Papers. RePEc:arx:papers:1909.05335. Full description at Econpapers \|\| Download paper
2019	High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309. Full description at Econpapers \|\| Download paper
2019	Sensitivity of optimal consumption streams. (2019). Muhle-Karbe, Johannes ; Herdegen, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:6:p:1964-1992. Full description at Econpapers \|\| Download paper
2019	Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. (2019). Nadtochiy, Sergey ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1910.01778. Full description at Econpapers \|\| Download paper
2019	Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104. Full description at Econpapers \|\| Download paper
2019	Solving high-dimensional optimal stopping problems using deep learning. (2019). Welti, Timo ; Jentzen, Arnulf ; Cheridito, Patrick ; Becker, Sebastian. In: Papers. RePEc:arx:papers:1908.01602. Full description at Econpapers \|\| Download paper
2019	Bayesian statistical inference for European options with stock liquidity. (2019). Lin, Lisha ; Gao, Rui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:518:y:2019:i:c:p:312-322. Full description at Econpapers \|\| Download paper
2019	Money and Modernization in Early Modern England. (2019). Palma, Nuno ; Schenk-Hoppe, K R ; Evstigneev, I V ; Babaei, E. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1903. Full description at Econpapers \|\| Download paper
2019	Log-Optimal and Rapid Paths in von Neumann-Gale Dynamical Systems. (2019). Schenk-HoppÃÂ©, Klaus ; Evstigneev, I V ; Babaei, E. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1902. Full description at Econpapers \|\| Download paper
2019	An FBSDE approach to market impact games with stochastic parameters. (2019). Xiong, Dewen ; Schied, Alexander ; Luo, Peng ; Drapeau, Samuel . In: Papers. RePEc:arx:papers:2001.00622. Full description at Econpapers \|\| Download paper
2019	Nash equilibrium for risk-averse investors in a market impact game with transient price impact. (2019). Schied, Alexander ; Luo, Xiangge. In: Papers. RePEc:arx:papers:1807.03813. Full description at Econpapers \|\| Download paper
2019	A two-player price impact game. (2019). Voss, Moritz. In: Papers. RePEc:arx:papers:1911.05122. Full description at Econpapers \|\| Download paper
2019	Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient. (2019). Delong, Ukasz . In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:89:y:2019:i:1:d:10.1007_s00186-019-00659-9. Full description at Econpapers \|\| Download paper
2019	Change of drift in one-dimensional diffusions. (2019). L. C. G. Rogers, ; Leobacher, Gunther ; Desmettre, Sascha. In: Papers. RePEc:arx:papers:1910.11904. Full description at Econpapers \|\| Download paper
2019	A general framework for pricing Asian options under stochastic volatility on parallel architectures. (2019). Corsaro, Stefania ; Marino, Zelda ; Marazzina, Daniele ; Kyriakou, Ioannis. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1082-1095. Full description at Econpapers \|\| Download paper
2019	Strict Local Martingales and the Khasminskii test for Explosions. (2019). Dandapani, Aditi ; Protter, Philip. In: Papers. RePEc:arx:papers:1903.02383. Full description at Econpapers \|\| Download paper
2019	Nonconcave robust optimization with discrete strategies under Knightian uncertainty. (2019). Iki, Mario ; Neufeld, Ariel. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:90:y:2019:i:2:d:10.1007_s00186-019-00669-7. Full description at Econpapers \|\| Download paper
2019	From small markets to big markets. (2019). Rasonyi, Miklos ; Carassus, Laurence. In: Papers. RePEc:arx:papers:1907.05593. Full description at Econpapers \|\| Download paper
2019	Extreme-aggregation measures in the RDEU model. (2019). Hu, Taizhong ; Chen, Ouxiang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:148:y:2019:i:c:p:155-163. Full description at Econpapers \|\| Download paper
2019	Optimal investment of DC pension plan under short-selling constraints and portfolio insurance. (2019). Zheng, Harry ; Dong, Yinghui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:47-59. Full description at Econpapers \|\| Download paper
2019	A simple and efficient numerical method for pricing discretely monitored early-exercise options. (2019). Luo, Guo ; Huang, Min. In: Papers. RePEc:arx:papers:1905.13407. Full description at Econpapers \|\| Download paper
2019	Financial models with defaultable numÃ©raires. (2019). Ruf, Johannes ; Pulido, Sergio ; Fisher, Travis . In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:1:p:117-136. Full description at Econpapers \|\| Download paper
2019	An arbitrage-free conic martingale model with application to credit risk. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1909.02474. Full description at Econpapers \|\| Download paper
2019	Partial Uncertainty and Applications to Risk-Averse Valuation. (2019). Kratsios, Anastasis. In: Papers. RePEc:arx:papers:1909.13610. Full description at Econpapers \|\| Download paper
2019	Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models. (2019). Arai, Takuji. In: Papers. RePEc:arx:papers:1904.12260. Full description at Econpapers \|\| Download paper
2019	Semi-nonparametric approximation and index options. (2019). Tian, Weidong ; Jiang, Julia. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:4:d:10.1007_s10436-018-0341-4. Full description at Econpapers \|\| Download paper
2019	Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs. (2019). Bayraktar, Erhan ; Dolinsky, Yan ; Dolinskyi, Leonid. In: Papers. RePEc:arx:papers:1912.08863. Full description at Econpapers \|\| Download paper
2019	Markov Chain Approximation of One-Dimensional Sticky Diffusions. (2019). Zhang, Gongqiu ; Li, Lingfei ; Meier, Christian . In: Papers. RePEc:arx:papers:1910.14282. Full description at Econpapers \|\| Download paper
2019	Value adjustments and dynamic hedging of reinsurance counterparty risk. (2019). Kock, Verena ; FREY, RDIGER ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1909.04354. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2019

Year	Citing document
2019	Stacked Monte Carlo for option pricing. (2019). Oumgari, Mugad ; Malone, Emma R ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1903.10795. Full description at Econpapers \|\| Download paper
2019	Mertons portfolio problem with power utility under Volterra Heston model. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1905.05371. Full description at Econpapers \|\| Download paper
2019	Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101. Full description at Econpapers \|\| Download paper
2019	A simple approach to dual representations of systemic risk measures. (2019). Munari, Cosimo ; Koch-Medina, Pablo ; Arduca, Maria. In: Papers. RePEc:arx:papers:1906.10933. Full description at Econpapers \|\| Download paper
2019	Markovian lifts of positive semidefinite affine Volterra type processes. (2019). Teichmann, Josef ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1907.01917. Full description at Econpapers \|\| Download paper
2019	Systemic Optimal Risk Transfer Equilibrium. (2019). Meyer-Brandis, Thilo ; Frittelli, Marco ; Fouque, Jean-Pierre ; Doldi, Alessandro ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1907.04257. Full description at Econpapers \|\| Download paper
2019	From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151. Full description at Econpapers \|\| Download paper
2019	Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972. Full description at Econpapers \|\| Download paper
2019	Moment constrained optimal dividends: precommitment \& consistent planning. (2019). Lindensjo, Kristoffer ; Christensen, Soren. In: Papers. RePEc:arx:papers:1909.10749. Full description at Econpapers \|\| Download paper
2019	Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. (2019). Nadtochiy, Sergey ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1910.01778. Full description at Econpapers \|\| Download paper
2019	Random concave functions. (2019). Wong, Ting-Kam Leonard ; Baxendale, Peter. In: Papers. RePEc:arx:papers:1910.13668. Full description at Econpapers \|\| Download paper
2019	Infinite dimensional polynomial processes. (2019). Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1911.02614. Full description at Econpapers \|\| Download paper
2019	Speculative Trading, Prospect Theory and Transaction Costs. (2019). Zheng, Harry ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:1911.10106. Full description at Econpapers \|\| Download paper
2019	The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969. Full description at Econpapers \|\| Download paper
2019	Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations. (2019). Feinstein, Zachary ; Ararat, cCaugin . In: Papers. RePEc:arx:papers:1912.06916. Full description at Econpapers \|\| Download paper
2019	Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1912.07445. Full description at Econpapers \|\| Download paper
2019	Multivariate Systemic Optimal Risk Transfer Equilibrium. (2019). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:1912.12226. Full description at Econpapers \|\| Download paper
2019	Open Markets. (2019). Kim, Donghan. In: Papers. RePEc:arx:papers:1912.13110. Full description at Econpapers \|\| Download paper
2019	Alternative trading strategies to beat âbuy-and-holdâ. (2019). Kevin, Ka Kwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119304108. Full description at Econpapers \|\| Download paper
2019	Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels. (2019). Jaber, Eduardo Abi. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02412741. Full description at Econpapers \|\| Download paper
2019	Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02412741. Full description at Econpapers \|\| Download paper
2019	Moment explosions in the rough Heston model. (2019). Pinter, Arpad ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00267-6. Full description at Econpapers \|\| Download paper
2019	Markovian lifts of positive semidefinite affine Volterra-type processes. (2019). Teichmann, Josef ; Cuchiero, Christa. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00268-5. Full description at Econpapers \|\| Download paper
2019	Systemic risk governance in a dynamical model of a banking system. (2019). Mariani, Francesca ; Fatone, Lorella. In: Journal of Global Optimization. RePEc:spr:jglopt:v:75:y:2019:i:3:d:10.1007_s10898-019-00790-1. Full description at Econpapers \|\| Download paper
2019	Dynamic systemic risk measures for bounded discrete time processes. (2019). Zilch, K ; Overbeck, L ; Kromer, E. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:90:y:2019:i:1:d:10.1007_s00186-018-0655-z. Full description at Econpapers \|\| Download paper

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	Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Gozzi, Fausto ; Fabbri, Giorgio ; Swiech, Andrzej. In: Post-Print. RePEc:hal:journl:hal-01505767. 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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	54	1836
2	Insurance: Mathematics and Economics / Elsevier	44	254
3	Finance and Stochastics / Springer	45	250
4	European Journal of Operational Research / Elsevier	91	194
5	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	15	167
6	Stochastic Processes and their Applications / Elsevier	33	135
7	Working Papers / HAL	32	92
8	Journal of Banking & Finance / Elsevier	133	82
9	Annals of Operations Research / Springer	31	80
10	Journal of Economic Dynamics and Control / Elsevier	99	79
11	Physica A: Statistical Mechanics and its Applications / Elsevier	54	70