Citation analysis for Finance and Stochastics / Springer

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

5 Years H

Impact Factor

1.44

5 Years IF

1.11

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	0	0	0	0		0	0		0			0		0	0.04
1992	0	0.09	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	0	0	0	0		0	0		0			0		0	0.06
1995	0	0.2	0	0	0	0	0		1	0		0			0		0	0.08
1996	0	0.22	0.75	0	4	4	70		4	0		0			0		0	0.1
1997	0	0.23	0.7	0	16	20	545	14	18	4		4		5	35.7	14	0.88	0.1
1998	0.65	0.27	0.39	0.65	21	41	484	16	34	20	13	20	13		0	2	0.1	0.12
1999	0.54	0.29	0.45	0.51	25	66	486	28	64	37	20	41	21		0	3	0.12	0.14
2000	0.43	0.34	0.59	0.59	17	83	341	48	113	46	20	66	39	3	6.3	1	0.06	0.15
2001	0.64	0.36	0.66	0.55	29	112	688	73	187	42	27	83	46	1	1.4	4	0.14	0.16
2002	0.5	0.4	0.59	0.56	38	150	873	88	275	46	23	108	61	7	8	5	0.13	0.21
2003	0.64	0.41	0.89	0.53	0	150	0	133	409	67	43	130	69		0		0	0.2
2004	0.87	0.46	0.88	0.83	29	179	620	158	567	38	33	109	90		0	9	0.31	0.21
2005	0.52	0.47	0.99	0.78	32	211	695	209	776	29	15	113	88	2	1	10	0.31	0.22
2006	0.93	0.47	0.95	0.84	28	239	477	227	1003	61	57	128	108	10	4.4	2	0.07	0.21
2007	0.77	0.42	0.97	0.75	27	266	512	257	1260	60	46	127	95	20	7.8	6	0.22	0.19
2008	0.49	0.45	1	0.71	24	290	295	286	1550	55	27	116	82	11	3.8	9	0.38	0.21
2009	1.02	0.44	1.19	0.88	23	313	289	368	1921	51	52	140	123	15	4.1	9	0.39	0.21
2010	0.83	0.44	1.15	0.92	24	337	259	387	2309	47	39	134	123	29	7.5	5	0.21	0.18
2011	0.72	0.46	1.08	0.74	29	366	348	394	2706	47	34	126	93	38	9.6	13	0.45	0.21
2012	0.72	0.47	1.1	0.77	30	396	309	432	3140	53	38	127	98	51	11.8	9	0.3	0.19
2013	0.81	0.53	1.3	0.85	31	427	292	554	3695	59	48	130	111	40	7.2	9	0.29	0.22
2014	0.79	0.55	1.33	0.86	31	458	282	610	4305	61	48	137	118	60	9.8	18	0.58	0.21
2015	1.06	0.55	1.48	1.06	31	489	168	721	5027	62	66	145	153	72	10	7	0.23	0.21
2016	1.24	0.56	1.64	1.11	41	530	156	870	5898	62	77	152	168	86	9.9	18	0.44	0.2
2017	0.81	0.58	1.55	1.02	33	563	129	871	6769	72	58	164	168	87	10	10	0.3	0.21
2018	1.11	0.7	1.45	0.98	31	594	98	864	7633	74	82	167	163	91	10.5	17	0.55	0.28
2019	1.44	0.88	1.41	1.11	12	606	11	857	8490	64	92	167	185	21	2.5	6	0.5	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	2002	Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447. Full description at Econpapers \|\| Download paper	302
2	1997	*LIBOR and swap market models and measures ()*. (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330*. Full description at Econpapers \|\| Download paper	191
3	2006	Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74. Full description at Econpapers \|\| Download paper	132
4	2004	Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Protter, Philip ; Etin, Umut. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341. Full description at Econpapers \|\| Download paper	127
5	1997	*From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets ()*. (1997). Olsen, Richard ; Dacorogna, Michel ; Guillaume, Dominique M. ; Muller, Ulrich A. ; Dave, Rakhal R. ; Pictet, Olivier V.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129*. Full description at Econpapers \|\| Download paper	121
6	2005	Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561. Full description at Econpapers \|\| Download paper	120
7	1998	Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347. Full description at Econpapers \|\| Download paper	117
8	1999	Hedging and liquidation under transaction costs in currency markets. (1999). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248. Full description at Econpapers \|\| Download paper	112
9	2007	The numÃ©raire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493. Full description at Econpapers \|\| Download paper	110
10	2005	Inf-convolution of risk measures and optimal risk transfer. (2005). el Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298. Full description at Econpapers \|\| Download paper	100
11	2002	Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61. Full description at Econpapers \|\| Download paper	98
12	2013	Model-independent bounds for option pricesâa mass transport approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501. Full description at Econpapers \|\| Download paper	91
13	2005	Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492. Full description at Econpapers \|\| Download paper	86
14	2007	Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50. Full description at Econpapers \|\| Download paper	86
15	1999	Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers \|\| Download paper	82
16	2001	A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82. Full description at Econpapers \|\| Download paper	75
17	1999	Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273. Full description at Econpapers \|\| Download paper	74
18	2006	A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330. Full description at Econpapers \|\| Download paper	73
19	2004	Vector-valued coherent risk measures. (2004). Jouini, ElyÃÂ¨s ; Meddeb, Moncef ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552. Full description at Econpapers \|\| Download paper	71
20	2011	Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605. Full description at Econpapers \|\| Download paper	69
21	2002	An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; Clement, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471. Full description at Econpapers \|\| Download paper	68
22	2001	The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341. Full description at Econpapers \|\| Download paper	68
23	2001	Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272. Full description at Econpapers \|\| Download paper	65
24	1997	Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68. Full description at Econpapers \|\| Download paper	64
25	2009	Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; SchÃÂ¶neborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204. Full description at Econpapers \|\| Download paper	61
26	2000	Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146. Full description at Econpapers \|\| Download paper	60
27	2007	On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Alos, Elisa ; Vives, Josep ; Leon, Jorge. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589. Full description at Econpapers \|\| Download paper	59
28	2001	Coherent risk measures and good-deal bounds. (2001). Jaschke, Stefan ; Kuchler, Uwe . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200. Full description at Econpapers \|\| Download paper	58
29	2002	Optimal stopping and perpetual options for LÃ©vy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493. Full description at Econpapers \|\| Download paper	57
30	2004	Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206. Full description at Econpapers \|\| Download paper	56
31	2004	Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Sass, Jorn ; Haussmann, Ulrich . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577. Full description at Econpapers \|\| Download paper	56
32	2000	Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Hojgaard, Bjarne ; Asmussen, Soren ; Taksar, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324. Full description at Econpapers \|\| Download paper	53
33	1997	*Continuous-time term structure models: Forward measure approach ()*. (1997). Musiela, Marek ; Rutkowski, Marek. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291*. Full description at Econpapers \|\| Download paper	53
34	2008	Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244. Full description at Econpapers \|\| Download paper	52
35	2001	The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154. Full description at Econpapers \|\| Download paper	51
36	2004	An example of indifference prices under exponential preferences. (2004). Musiela, Marek ; Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239. Full description at Econpapers \|\| Download paper	50
37	2002	Optimal capital structure and endogenous default. (2002). Rogers, Leonard ; Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263. Full description at Econpapers \|\| Download paper	50
38	2001	Fractional Brownian motion, random walks and binary market models. (2001). Sottinen, Tommi. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:343-355. Full description at Econpapers \|\| Download paper	49
39	1998	Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; Soner, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397. Full description at Econpapers \|\| Download paper	48
40	2011	Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654. Full description at Econpapers \|\| Download paper	48
41	1998	Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Shiryaev, A. N. ; Jacod, J.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273. Full description at Econpapers \|\| Download paper	47
42	1998	Perfect option hedging for a large trader. (1998). Frey, Rudiger. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141. Full description at Econpapers \|\| Download paper	47
43	2002	A multicurrency extension of the lognormal interest rate Market Models. (2002). Schlogl, Erik. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:173-196. Full description at Econpapers \|\| Download paper	46
44	2000	Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463. Full description at Econpapers \|\| Download paper	46
45	1998	Asymptotic arbitrage in large financial markets. (1998). Kramkov, Dmitry ; ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172. Full description at Econpapers \|\| Download paper	45
46	2002	The cumulant process and Esschers change of measure. (2002). Shiryaev, Albert N. ; Kallsen, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428. Full description at Econpapers \|\| Download paper	45
47	2005	Diversity and relative arbitrage in equity markets. (2005). Kardaras, Constantinos ; Fernholz, Robert ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27. Full description at Econpapers \|\| Download paper	43
48	1998	Optimization of consumption with labor income. (1998). Jeanblanc-Picque, Monique ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440. Full description at Econpapers \|\| Download paper	43
49	1998	Portfolio optimisation with strictly positive transaction costs and impulse control. (1998). Korn, Ralf. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:85-114. Full description at Econpapers \|\| Download paper	43
50	1997	*On the range of options prices ()*. (1997). Eberlein, Ernst ; Jacod, Jean. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140*. Full description at Econpapers \|\| Download paper	42

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2002	Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447. Full description at Econpapers \|\| Download paper	59
2	2013	Model-independent bounds for option pricesâa mass transport approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501. Full description at Econpapers \|\| Download paper	36
3	2007	On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Alos, Elisa ; Vives, Josep ; Leon, Jorge. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589. Full description at Econpapers \|\| Download paper	35
4	1998	Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347. Full description at Econpapers \|\| Download paper	33
5	2011	Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654. Full description at Econpapers \|\| Download paper	31
6	2007	The numÃ©raire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493. Full description at Econpapers \|\| Download paper	30
7	2005	Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561. Full description at Econpapers \|\| Download paper	28
8	2006	Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74. Full description at Econpapers \|\| Download paper	28
9	2004	Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Protter, Philip ; Etin, Umut. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341. Full description at Econpapers \|\| Download paper	26
10	2012	Polynomial processes and their applications to mathematical finance. (2012). Cuchiero, Christa ; Keller-Ressel, Martin ; Teichmann, Josef. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740. Full description at Econpapers \|\| Download paper	22
11	2007	Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50. Full description at Econpapers \|\| Download paper	22
12	2016	Polynomial diffusions and applications in finance. (2016). Larsson, Martin ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0304-4. Full description at Econpapers \|\| Download paper	22
13	2017	On time-inconsistent stochastic control in continuous time. (2017). Bjork, Tomas ; Murgoci, Agatha ; Khapko, Mariana . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0327-5. Full description at Econpapers \|\| Download paper	20
14	1999	Hedging and liquidation under transaction costs in currency markets. (1999). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248. Full description at Econpapers \|\| Download paper	19
15	2005	Inf-convolution of risk measures and optimal risk transfer. (2005). el Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298. Full description at Econpapers \|\| Download paper	19
16	2004	Vector-valued coherent risk measures. (2004). Jouini, ElyÃÂ¨s ; Meddeb, Moncef ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552. Full description at Econpapers \|\| Download paper	18
17	2002	An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; Clement, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471. Full description at Econpapers \|\| Download paper	18
18	1997	Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68. Full description at Econpapers \|\| Download paper	18
19	2005	Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492. Full description at Econpapers \|\| Download paper	18
20	2011	Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605. Full description at Econpapers \|\| Download paper	17
21	2009	Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; SchÃÂ¶neborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204. Full description at Econpapers \|\| Download paper	16
22	2006	A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330. Full description at Econpapers \|\| Download paper	15
23	2014	A theory of Markovian time-inconsistent stochastic control in discrete time. (2014). Murgoci, Agatha ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:545-592. Full description at Econpapers \|\| Download paper	15
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Citing documents used to compute impact factor: 92

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2019	Density of the set of probability measures with the martingale representation property. (2019). Pulido, Sergio ; Kramkov, Dmitry . In: Papers. RePEc:arx:papers:1709.07329. Full description at Econpapers \|\| Download paper
2019	Density of the set of probability measures with the martingale representation property. (2019). Pulido, Sergio ; Kramkov, Dmitry . In: Post-Print. RePEc:hal:journl:hal-01598651. Full description at Econpapers \|\| Download paper
2019	Consumption-portfolio choice with preferences for cash. (2019). Kraft, Holger ; Weiss, Farina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:40-59. Full description at Econpapers \|\| Download paper
2019	Robust consumption and portfolio policies when asset prices can jump. (2019). Ait-Sahalia, Yacine ; Matthys, Felix. In: Journal of Economic Theory. RePEc:eee:jetheo:v:179:y:2019:i:c:p:1-56. Full description at Econpapers \|\| Download paper
2019	Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon. (2019). Garcia, Rene ; Campani, Carlos Heitor. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:364-384. Full description at Econpapers \|\| Download paper
2019	Robustness of Delta hedging in a jump-diffusion model. (2019). Stadje, Mitja ; Bosserhoff, Frank. In: Papers. RePEc:arx:papers:1910.08946. Full description at Econpapers \|\| Download paper
2019	Risk-based optimal portfolio of an insurer with regime switching and noisy memory. (2019). Mabitsela, Lesedi ; Guambe, Calisto ; Kufakunesu, Rodwell. In: Papers. RePEc:arx:papers:1808.04604. Full description at Econpapers \|\| Download paper
2019	Robust bounds for the American put. (2019). Hobson, David ; Norgilas, Dominykas. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00385-4. Full description at Econpapers \|\| Download paper
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2019	Stability of martingale optimal transport and weak optimal transport. (2019). Pammer, Gudmund ; Backhoff-Veraguas, Julio. In: Papers. RePEc:arx:papers:1904.04171. 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	Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time. (2019). Zhou, Zhou ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:1809.09243. Full description at Econpapers \|\| Download paper
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2019	Time-consistent investment-proportional reinsurance strategy with random coefficients for meanâvariance insurers. (2019). Wei, Jiaqin ; Wang, Rongming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:104-114. Full description at Econpapers \|\| Download paper
2019	Gittins theorem under uncertainty. (2019). Treetanthiploet, Tanut ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:1907.05689. Full description at Econpapers \|\| Download paper
2019	On the Notions of Equilibria for Time-Inconsistent Stopping Problems in Continuous Time. (2019). Bayraktar, Erhan ; Zhou, Zhou ; Zhang, Jingjie. In: Papers. RePEc:arx:papers:1909.01112. 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	Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset. (2019). Wong, Hoi Ying ; Chen, Kexin. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:184-192. Full description at Econpapers \|\| Download paper
2019	Statistical Learning for Probability-Constrained Stochastic Optimal Control. (2019). Palczewski, Jan ; Maheshwari, Aditya ; Ludkovski, Michael ; Balata, Alessandro. In: Papers. RePEc:arx:papers:1905.00107. 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	Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations. (2019). Pap, Gyula ; Kebaier, Ahmed ; ben Alaya, Mohamed ; Barczy, Matyas. In: Papers. RePEc:arx:papers:1711.02140. Full description at Econpapers \|\| Download paper
2019	On the EulerâMaruyama scheme for spectrally one-sided LÃ©vy driven SDEs with HÃ¶lder continuous coefficients. (2019). Taguchi, Dai ; Li, Libo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:15-26. Full description at Econpapers \|\| Download paper
2019	Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41. Full description at Econpapers \|\| Download paper
2019	Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019. Full description at Econpapers \|\| Download paper
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2019	Open Markets. (2019). Kim, Donghan. In: Papers. RePEc:arx:papers:1912.13110. Full description at Econpapers \|\| Download paper
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2019	The impact of proportional transaction costs on systematically generated portfolios. (2019). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1904.08925. Full description at Econpapers \|\| Download paper
2019	Robust risk aggregation with neural networks. (2019). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1811.00304. Full description at Econpapers \|\| Download paper
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2019	Constrained stochastic cost allocation. (2019). Boonen, Tim J ; Koster, Maurice . In: Mathematical Social Sciences. RePEc:eee:matsoc:v:101:y:2019:i:c:p:20-30. Full description at Econpapers \|\| Download paper
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2019	Geometrically Convergent Simulation of the Extrema of L\{e}vy Processes. (2019). Bravo, Ger'Onimo Uribe ; Mijatovi, Aleksandar ; Gonz, Jorge. In: Papers. RePEc:arx:papers:1810.11039. Full description at Econpapers \|\| Download paper
2019	Pathwise superhedging on prediction sets. (2019). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1711.02764. 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	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	Discretisation and duality of optimal Skorokhod embedding problems. (2019). , Alexander ; Alexander, ; Kinsley, Sam M. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:7:p:2376-2405. Full description at Econpapers \|\| Download paper
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2019	Deep Learning Volatility. (2019). Tomas, Mehdi ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1901.09647. Full description at Econpapers \|\| Download paper
2019	Volatility options in rough volatility models. (2019). Tankov, Peter ; Jacquier, Antoine ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1802.01641. Full description at Econpapers \|\| Download paper
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2019	On deep calibration of (rough) stochastic volatility models. (2019). Tomas, Mehdi ; Stemper, Benjamin ; Muguruza, Aitor ; Horvath, Blanka ; Bayer, Christian. In: Papers. RePEc:arx:papers:1908.08806. Full description at Econpapers \|\| Download paper
2019	Hybrid simulation scheme for volatility modulated moving average fields. (2019). , Almut ; Pakkanen, Mikko S ; Heinrich, Claudio . In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:166:y:2019:i:c:p:224-244. Full description at Econpapers \|\| Download paper
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2019	Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40. Full description at Econpapers \|\| Download paper
2019	Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Papers. RePEc:arx:papers:1911.04223. Full description at Econpapers \|\| Download paper
2019	Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:627. Full description at Econpapers \|\| Download paper
2019	Understanding the dual formulation for the hedging of path-dependent options with price impact. (2019). Tan, Xiaolu ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-02398881. Full description at Econpapers \|\| Download paper
2019	Emergence of Turbulent Epochs in Oil Prices. (2019). Solna, Knut ; Garnier, Josselin. In: Papers. RePEc:arx:papers:1808.09382. Full description at Econpapers \|\| Download paper
2019	Optimal electricity demand response contracting with responsiveness incentives. (2019). Touzi, Nizar ; Possamai, Dylan ; Ren'e A"id, . In: Papers. RePEc:arx:papers:1810.09063. Full description at Econpapers \|\| Download paper
2019	A two-dimensional control problem arising from dynamic contracting theory. (2019). Decamps, Jean-Paul ; Villeneuve, Stephane. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:1:d:10.1007_s00780-018-0376-4. Full description at Econpapers \|\| Download paper
2019	Principal-agent problem with multiple principals. (2019). Yang, Junjian ; Ren, Zhenjie ; Hu, Kaitong. In: Working Papers. RePEc:hal:wpaper:hal-02088486. Full description at Econpapers \|\| Download paper
2019	Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach. (2019). Rosenbaum, Mathieu ; Mastrolia, Thibaut ; Manziuk, Iuliia ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:1912.01129. Full description at Econpapers \|\| Download paper
2019	Accelerating the adoption of automated vehicles by subsidies: A dynamic games approach. (2019). Yin, Yafeng ; Chen, Zhibin ; Saigal, Romesh ; Luo, QI. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:129:y:2019:i:c:p:226-243. Full description at Econpapers \|\| Download paper
2019	Continuity of Utility Maximization under Weak Convergence. (2019). Bayraktar, Erhan ; Guo, Jia ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1811.01420. 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	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	Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks. (2019). Tran, Hoang Hai ; Horst, Ulrich ; Chen, Ying. In: Papers. RePEc:arx:papers:1912.06426. Full description at Econpapers \|\| Download paper
2019	From microscopic price dynamics to multidimensional rough volatility models. (2019). Rosenbaum, Mathieu ; Tomas, Mehdi. In: Papers. RePEc:arx:papers:1910.13338. 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	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	The Fatou property of law-invariant risk measures. (2018). Leung, Denny H ; Tantrawan, Made. In: Papers. RePEc:arx:papers:1810.10374. 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	Stability properties of Haezendonck-Goovaerts premium principles. (2019). Xanthos, Foivos ; Munari, Cosimo ; Gao, Niushan. In: Papers. RePEc:arx:papers:1909.10735. Full description at Econpapers \|\| Download paper
2019	Efficient allocations under law-invariance: A unifying approach. (2019). Svindland, Gregor ; Liebrich, Felix-Benedikt. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:84:y:2019:i:c:p:28-45. Full description at Econpapers \|\| Download paper
2019	Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series. (2019). Hale, Nicholas ; Chan, Tat Lung. In: Papers. RePEc:arx:papers:1811.09257. Full description at Econpapers \|\| Download paper
2019	Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation. (2019). Potz, Christian ; Pachon, Ricardo ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1905.00238. Full description at Econpapers \|\| Download paper
2019	Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique. (2019). Ruiz, Ignacio ; Laris, Mariano Zeron-Medina. In: Papers. RePEc:arx:papers:1911.10948. Full description at Econpapers \|\| Download paper
2019	Speed-up credit exposure calculations for pricing and risk management. (2019). Potz, Christian ; Pachon, Ricardo ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1912.01280. Full description at Econpapers \|\| Download paper
2019	Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988. 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	Markov cubature rules for polynomial processes. (2019). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1707.06849. Full description at Econpapers \|\| Download paper
2019	A lognormal type stochastic volatility model with quadratic drift. (2019). Willems, Sander ; Carr, Peter. In: Papers. RePEc:arx:papers:1908.07417. Full description at Econpapers \|\| Download paper
2019	A multi-factor polynomial framework for long-term electricity forwards with delivery period. (2019). Regez, Markus ; Larsson, Martin ; Komaric, Vlatka ; Kleisinger-Yu, XI. In: Papers. RePEc:arx:papers:1908.08954. Full description at Econpapers \|\| Download paper
2019	Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing. (2019). Glau, Kathrin ; Nakatsukasa, Yuji ; Filipovi, Damir ; Statti, Francesco. In: Papers. RePEc:arx:papers:1910.07241. Full description at Econpapers \|\| Download paper
2019	A unified Framework for Robust Modelling of Financial Markets in discrete time. (2018). Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1808.06430. Full description at Econpapers \|\| Download paper
2019	Robust pricing and hedging of options on multiple assets and its numerics. (2019). Obloj, Jan ; Lim, Tongseok ; Guo, Gaoyue ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1909.03870. Full description at Econpapers \|\| Download paper
2019	Quantile Mixing and Model Uncertainty Measures. (2019). Kazi-Tani, Nabil ; Cohignac, Thierry. In: Working Papers. RePEc:hal:wpaper:hal-02405859. Full description at Econpapers \|\| Download paper
2019	Convergence rates of large-time sensitivities with the Hansen--Scheinkman decomposition. (2019). Park, Hyungbin. In: Papers. RePEc:arx:papers:1912.03404. Full description at Econpapers \|\| Download paper
2019	A stochastic PDE model for limit order book dynamics. (2019). Mueller, Marvin S ; Cont, Rama. In: Papers. RePEc:arx:papers:1904.03058. Full description at Econpapers \|\| Download paper
2019	A STOCHASTIC PDE MODEL FOR LIMIT ORDER BOOK DYNAMICS. (2019). Muller, Marvin ; Cont, Rama. In: Working Papers. RePEc:hal:wpaper:hal-02090449. Full description at Econpapers \|\| Download paper
2019	Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion. (2019). Zariphopoulou, Thaleia ; Strub, Moris S ; He, Xue Dong . In: Papers. RePEc:arx:papers:1904.01745. 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	Total positivity and the classification of term structure shapes in the two-factor Vasicek model. (2019). Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1908.04667. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2019

Year	Citing document
2019	Optimal Stopping and Utility in a Simple Model of Unemployment Insurance. (2019). Bogachev, Leonid V ; Anquandah, Jason S. In: Papers. RePEc:arx:papers:1902.06175. Full description at Econpapers \|\| Download paper
2019	Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728. Full description at Econpapers \|\| Download paper
2019	Mechanics of good trade execution in the framework of linear temporary market impact. (2019). Brigo, Damiano ; Bellani, Claudio. In: Papers. RePEc:arx:papers:1909.10464. Full description at Econpapers \|\| Download paper
2019	A Model for the Optimal Management of Inflation. (2019). Schuhmann, Patrick ; Ferrari, Giorgio ; Federico, Salvatore. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:624. 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	Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance. (2019). Bogachev, Leonid V ; Anquandah, Jason S. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:94-:d:262848. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128. Full description at Econpapers \|\| Download paper
2018	The strong Fatou property of risk measures. (2018). Xanthos, Foivos ; Gao, Niushan ; Chen, Shengzhong. In: Papers. RePEc:arx:papers:1805.05259. 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	Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1807.06449. Full description at Econpapers \|\| Download paper
2018	Optimal Trading with General Signals and Liquidation in Target Zone Models. (2018). Ou, Kevin ; Muhle-Karbe, Johannes ; Belak, Christoph. In: Papers. RePEc:arx:papers:1808.00515. Full description at Econpapers \|\| Download paper
2018	Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821. Full description at Econpapers \|\| Download paper
2018	The value of a liability cash flow in discrete time subject to capital requirements. (2018). Lindskog, Filip ; Lindensjo, Kristoffer ; Engsner, Hampus . In: Papers. RePEc:arx:papers:1808.03328. Full description at Econpapers \|\| Download paper
2018	The Zumbach effect under rough Heston. (2018). Rosenbaum, Mathieu ; Radoivci, Radovs ; Gatheral, Jim ; el Euch, Omar. In: Papers. RePEc:arx:papers:1809.02098. Full description at Econpapers \|\| Download paper
2018	Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1810.12762. Full description at Econpapers \|\| Download paper
2018	Precise asymptotics: robust stochastic volatility models. (2018). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1811.00267. Full description at Econpapers \|\| Download paper
2018	On pricing rules and optimal strategies in general Kyle-Back models. (2018). Danilova, Albina ; Ccetin, Umut. In: Papers. RePEc:arx:papers:1812.07529. Full description at Econpapers \|\| Download paper
2018	The average risk sharing problem under risk measure and expected utility theory. (2018). Mao, Tiantian ; Liu, Haiyan ; Hu, Jiuyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179. Full description at Econpapers \|\| Download paper
2018	General stopping behaviors of naÃ¯ve and non-committed sophisticated agents, with application to probability distortion. (2018). Yu, Xun ; Nguyen-Huu, Adrien ; Huang, Yu-Jui. In: Working Papers. RePEc:hal:wpaper:hal-01954926. Full description at Econpapers \|\| Download paper
2018	General stopping behaviors of naÃ¯ve and non-committed sophisticated agents, with application to probability distortion. (2018). Nguyen-Huu, Adrien ; Yu, Xun ; Huang, Yu-Jui. In: CEE-M Working Papers. RePEc:hal:wpceem:hal-01954926. 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	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

Recent citations received in 2017

Year	Citing document
2017	Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Muhle-Karbe, Johannes ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1704.04524. Full description at Econpapers \|\| Download paper
2017	The geometry of multi-marginal Skorokhod Embedding. (2017). Huesmann, Martin ; Cox, Alexander ; Beiglboeck, Mathias . In: Papers. RePEc:arx:papers:1705.09505. Full description at Econpapers \|\| Download paper
2017	Option Pricing with Delayed Information. (2017). Mousavi, Seyyed Mostafa ; Ichiba, Tomoyuki . In: Papers. RePEc:arx:papers:1707.01600. Full description at Econpapers \|\| Download paper
2017	On portfolios generated by optimal transport. (2017). Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1709.03169. Full description at Econpapers \|\| Download paper
2017	A buffer Hawkes process for limit order books. (2017). Caglar, Mine ; Kaj, Ingemar. In: Papers. RePEc:arx:papers:1710.03506. Full description at Econpapers \|\| Download paper
2017	Intrinsic expansions for averaged diffusion processes. (2017). Pascucci, Andrea ; Pignotti, M ; Pagliarani, S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2560-2585. Full description at Econpapers \|\| Download paper
2017	Monotone martingale transport plans and Skorokhod embedding. (2017). Beiglbock, Mathias ; Touzi, Nizar ; Henry-Labordere, Pierre. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3005-3013. Full description at Econpapers \|\| Download paper
2017	Density of the set of probability measures with the martingale representation property. (2017). Pulido, Sergio ; Kramkov, Dmitry . In: Working Papers. RePEc:hal:wpaper:hal-01598651. Full description at Econpapers \|\| Download paper
2017	Model uncertainty, recalibration, and the emergence of deltaâvega hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0342-6. Full description at Econpapers \|\| Download paper
2017	SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY. (2017). Bayraktar, Erhan ; Zhou, Zhou. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500364. 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	Robust Trading of Implied Skew. (2016). Obloj, Jan ; Nadtochiy, Sergey. In: Papers. RePEc:arx:papers:1611.05518. Full description at Econpapers \|\| Download paper
2016	Shot-Noise Processes in Finance. (2016). Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1612.06616. Full description at Econpapers \|\| Download paper
2016	Scenario aggregation method for portfolio expectile optimization. (2016). Edgars, Jakobsons . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:51-65:n:4. Full description at Econpapers \|\| Download paper
2016	Polynomial diffusion models for life insurance liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:114-129. Full description at Econpapers \|\| Download paper
2016	An explicit martingale version of the one-dimensional Brenierâs Theorem with full marginals constraint. (2016). Henry-Labordere, Pierre ; Touzi, Nizar ; Tan, Xiaolu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2800-2834. 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	Stability of utility maximization in nonequivalent markets. (2016). Weston, Kim . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0289-z. Full description at Econpapers \|\| Download paper
2016	Robust 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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	54	2080
2	Finance and Stochastics / Springer	45	386
3	Stochastic Processes and their Applications / Elsevier	33	191
4	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	15	160
5	Insurance: Mathematics and Economics / Elsevier	44	157
6	European Journal of Operational Research / Elsevier	91	104
7	Post-Print / HAL	104	80
8	Working Papers / HAL	32	79
9	LSE Research Online Documents on Economics / London School of Economics and Political Science, LSE Library	75	72
10	Quantitative Finance / Taylor & Francis Journals	43	54
11	Journal of Banking & Finance / Elsevier	133	49