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Finance and Stochastics / Springer

Citation Profile [Updated: 2023-01-07 21:26:51]
5 Years H Index
51
Impact Factor (IF)
1.38
5 Years IF
1.45
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
1996 0 0.25 0.75 0 4 4 68 3 0 0 0 0 0.12
1997 0 0.24 0.6 0 16 20 644 12 15 4 4 5 41.7 12 0.75 0.11
1998 0.65 0.28 0.39 0.65 21 41 596 16 31 20 13 20 13 0 2 0.1 0.13
1999 0.54 0.3 0.45 0.51 25 66 567 28 61 37 20 41 21 0 3 0.12 0.15
2000 0.39 0.35 0.58 0.55 17 83 405 47 109 46 18 66 36 4 8.5 2 0.12 0.16
2001 0.64 0.38 0.7 0.57 29 112 840 77 187 42 27 83 47 1 1.3 5 0.17 0.17
2002 0.54 0.41 0.63 0.63 38 150 1144 95 282 46 25 108 68 7 7.4 5 0.13 0.21
2004 0.92 0.49 0.94 0.86 29 179 786 168 593 38 35 109 94 0 9 0.31 0.22
2005 0.55 0.5 1.13 0.9 32 211 890 238 831 29 16 113 102 5 2.1 11 0.34 0.23
2006 1.02 0.5 1.05 0.96 35 246 619 258 1089 61 62 128 123 16 6.2 5 0.14 0.23
2007 0.72 0.46 1.03 0.76 27 273 697 280 1369 67 48 134 102 22 7.9 8 0.3 0.2
2008 0.52 0.49 1.11 0.77 24 297 368 327 1700 62 32 123 95 11 3.4 11 0.46 0.23
2009 1.06 0.47 1.25 0.88 23 320 385 398 2101 51 54 147 129 15 3.8 11 0.48 0.23
2010 0.87 0.48 1.29 0.96 24 344 349 442 2544 47 41 141 136 32 7.2 9 0.38 0.21
2011 0.87 0.52 1.25 0.81 29 373 475 461 3009 47 41 133 108 41 8.9 14 0.48 0.24
2012 0.83 0.51 1.22 0.87 30 403 439 491 3502 53 44 127 110 54 11 9 0.3 0.22
2013 1.05 0.56 1.42 0.98 31 434 425 617 4120 59 62 130 127 43 7 14 0.45 0.24
2014 0.89 0.55 1.5 0.99 31 465 420 698 4818 61 54 137 136 66 9.5 20 0.65 0.23
2015 1.13 0.55 1.58 1.12 31 496 307 781 5600 62 70 145 162 74 9.5 11 0.35 0.23
2016 1.29 0.53 1.71 1.13 34 530 250 904 6505 62 80 152 172 72 8 14 0.41 0.21
2017 1 0.55 1.66 1.15 33 563 321 935 7440 65 65 157 181 89 9.5 12 0.36 0.21
2018 1.15 0.57 1.54 1.03 31 594 287 913 8353 67 77 160 164 96 10.5 15 0.48 0.24
2019 1.55 0.6 1.43 1.19 30 624 152 895 9248 64 99 160 190 62 6.9 12 0.4 0.24
2020 1.38 0.73 1.48 1.27 30 654 102 968 10216 61 84 159 202 70 7.2 18 0.6 0.34
2021 1.38 1.02 1.52 1.45 25 679 41 1029 11245 60 83 158 229 68 6.6 12 0.48 0.38
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years 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
#YearTitleCited
12002Convex 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.

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455
21997LIBOR 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.

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207
32006Generalized deviations in risk analysis. (2006). Uryasev, Stan ; Rockafellar, R. ; Zabarankin, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

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181
42005Conditional 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.

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155
51998Robust 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.

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147
62007The numéraire portfolio in semimartingale financial models. (2007). Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

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145
72004Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Etin, Umut ; Protter, Philip. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341.

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139
82005Inf-convolution of risk measures and optimal risk transfer. (2005). Barrieu, Pauline ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

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134
91997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*). (1997). Olsen, Richard ; Dacorogna, Michel ; Dave, Rakhal R. ; Pictet, Olivier V. ; Guillaume, Dominique M. ; Muller, Ulrich A.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129.

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131
102013Model-independent bounds for option prices—a mass transport approach. (2013). Henry-Labordere, Pierre ; Beiglbock, Mathias ; Penkner, Friedrich . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501.

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127
111999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric ; Lions, Pierre-Louis. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

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125
121999Hedging and liquidation under transaction costs in currency markets. (1999). Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

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123
132005Local martingales, bubbles and option prices. (2005). Hobson, David ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

Full description at Econpapers || Download paper

122
142007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Vives, Josep ; Leon, Jorge ; Alos, Elisa. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589.

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114
152007Moment explosions in stochastic volatility models. (2007). Piterbarg, Vladimir ; Andersen, Leif. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

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113
162002Fourier 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.

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112
172001A 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.

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106
182004Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Touzi, Nizar ; Meddeb, Moncef . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

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102
192006A 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.

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90
202002An analysis of a least squares regression method for American option pricing. (2002). Protter, Philip ; Clement, Emmanuelle ; Lamberton, Damien. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471.

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88
211997Processes 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

87
222011Robust pricing and hedging of double no-touch options. (2011). Oboj, Jan ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

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80
232009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

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79
242001The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341.

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77
252000Efficient hedging: Cost versus shortfall risk. (2000). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146.

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76
262001Utility 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.

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75
272011Asymptotic 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.

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75
282017On time-inconsistent stochastic control in continuous time. (2017). Murgoci, Agatha ; Khapko, Mariana ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0327-5.

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73
291999Quantile hedging. (1999). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

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72
302004Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Shreve, Steven ; Janeek, Karel. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206.

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70
312001Coherent risk measures and good-deal bounds. (2001). Kuchler, Uwe ; Jaschke, Stefan . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200.

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67
322004Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Haussmann, Ulrich ; Sass, Jorn. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577.

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67
332004An example of indifference prices under exponential preferences. (2004). Zariphopoulou, Thaleia ; Musiela, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239.

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67
342000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Asmussen, Soren ; Taksar, Michael ; jgaard, Bjarne Ho ; Hojgaard, Bjarne. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

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66
351998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Soner, Halil Mete ; Barles, Guy . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

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66
362002Optimal 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.

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65
371998Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Jacod, J. ; Shiryaev, A. N.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273.

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65
382002Optimal stopping and perpetual options for Lévy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493.

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65
392008Dynamic 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.

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64
401997Continuous-time term structure models: Forward measure approach (*). (1997). Rutkowski, Marek ; Musiela, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291.

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64
412005Diversity and relative arbitrage in equity markets. (2005). Fernholz, Robert ; Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27.

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60
422001The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154.

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58
432015Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Embrechts, Paul ; Wang, Bin. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790.

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58
442010Representation of the penalty term of dynamic concave utilities. (2010). Peng, Shige ; Delbaen, Freddy ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472.

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58
452002The cumulant process and Esschers change of measure. (2002). Kallsen, Jan ; Shiryaev, Albert N.. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428.

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57
462001Applications of Malliavin calculus to Monte-Carlo methods in finance. II. (2001). Lions, Pierre-Louis ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:201-236.

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56
472012Polynomial processes and their applications to mathematical finance. (2012). Keller-Ressel, Martin ; Teichmann, Josef ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740.

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55
481998Perfect 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.

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54
492001Fractional 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.

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54
501997On the range of options prices (*). (1997). Jacod, Jean ; Eberlein, Ernst. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140.

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54
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12002Convex 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

102
22006Generalized deviations in risk analysis. (2006). Uryasev, Stan ; Rockafellar, R. ; Zabarankin, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

Full description at Econpapers || Download paper

53
32007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Vives, Josep ; Leon, Jorge ; Alos, Elisa. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589.

Full description at Econpapers || Download paper

53
42017On time-inconsistent stochastic control in continuous time. (2017). Murgoci, Agatha ; Khapko, Mariana ; Bjork, Tomas . 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

52
52013Model-independent bounds for option prices—a mass transport approach. (2013). Henry-Labordere, Pierre ; Beiglbock, Mathias ; Penkner, Friedrich . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501.

Full description at Econpapers || Download paper

41
62018The microstructural foundations of leverage effect and rough volatility. (2018). Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Euch, Omar. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z.

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38
72007The numéraire portfolio in semimartingale financial models. (2007). Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

Full description at Econpapers || Download paper

37
82005Conditional 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

36
92011Asymptotic 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

35
102015Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Embrechts, Paul ; Wang, Bin. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790.

Full description at Econpapers || Download paper

32
112018Dynamic programming approach to principal–agent problems. (2018). Cvitanic, Jaksa ; Touzi, Nizar ; Possamai, Dylan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0344-4.

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32
122017Hybrid scheme for Brownian semistationary processes. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5.

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30
131998Robust 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

28
142005Inf-convolution of risk measures and optimal risk transfer. (2005). Barrieu, Pauline ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

Full description at Econpapers || Download paper

26
152001A 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

24
162019Affine forward variance models. (2019). Keller-Ressel, Martin ; Gatheral, Jim. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00392-5.

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24
172012Polynomial processes and their applications to mathematical finance. (2012). Keller-Ressel, Martin ; Teichmann, Josef ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740.

Full description at Econpapers || Download paper

23
182014A theory of Markovian time-inconsistent stochastic control in discrete time. (2014). Bjork, Tomas ; Murgoci, Agatha . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:545-592.

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23
192018Equilibrium returns with transaction costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6.

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23
202002An analysis of a least squares regression method for American option pricing. (2002). Protter, Philip ; Clement, Emmanuelle ; Lamberton, Damien. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471.

Full description at Econpapers || Download paper

22
212009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, 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

22
222004Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Touzi, Nizar ; Meddeb, Moncef . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

Full description at Econpapers || Download paper

21
232012Optimal dividend distribution under Markov regime switching. (2012). Jiang, Zhengjun ; Pistorius, Martijn. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:3:p:449-476.

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21
241997Processes 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

20
252016Polynomial diffusions and applications in finance. (2016). Filipovi, Damir ; Larsson, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0304-4.

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20
262005Local martingales, bubbles and option prices. (2005). Hobson, David ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

Full description at Econpapers || Download paper

19
272018Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. (2018). Xanthos, Foivos ; Munari, Cosimo ; Leung, Denny ; Gao, Niushan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0357-7.

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19
282014Comparative and qualitative robustness for law-invariant risk measures. (2014). Kratschmer, Volker ; Zahle, Henryk ; Schied, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:271-295.

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18
292015Taylor approximation of incomplete Radner equilibrium models. (2015). Larsen, Kasper ; Choi, Jin . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:3:p:653-679.

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17
302017Optimal consumption and investment with Epstein–Zin recursive utility. (2017). Seifried, Frank Thomas ; Kraft, Holger ; Seiferling, Thomas . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0316-0.

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16
312004Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Etin, Umut ; Protter, Philip. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341.

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322008Optimal capital and risk allocations for law- and cash-invariant convex functions. (2008). Svindland, Gregor ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439.

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16
331999Hedging and liquidation under transaction costs in currency markets. (1999). Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

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16
342008Optimal lifetime consumption and investment under a drawdown constraint. (2008). Elie, Romuald ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:299-330.

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16
352016Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Burzoni, Matteo ; Frittelli, Marco ; Maggis, Marco. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:1-50.

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362010Representation of the penalty term of dynamic concave utilities. (2010). Peng, Shige ; Delbaen, Freddy ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472.

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372016Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Burzoni, Matteo ; Frittelli, Marco ; Maggis, Marco. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0283-x.

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382018Robust pricing–hedging dualities in continuous time. (2018). Oboj, Jan ; Hou, Zhaoxu. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9.

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392006A 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.

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402018Time-consistent stopping under decreasing impatience. (2018). Nguyen-Huu, Adrien ; Huang, Yu-Jui. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0350-6.

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16
412013Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. (2013). Wang, Ruodu ; Peng, Liang ; Yang, Jingping. In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:2:p:395-417.

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15
422018The Jacobi stochastic volatility model. (2018). Pulido, Sergio ; Filipovi, Damir ; Ackerer, Damien. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0364-8.

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15
432002Fourier 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.

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442017Trading strategies generated by Lyapunov functions. (2017). Ruf, Johannes ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0332-8.

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451999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric ; Lions, Pierre-Louis. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

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14
462001Utility 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.

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14
472013Consumption-portfolio optimization with recursive utility in incomplete markets. (2013). Steffensen, Mogens ; Kraft, Holger ; Seifried, Frank . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:1:p:161-196.

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481998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Soner, Halil Mete ; Barles, Guy . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

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492008Dynamic 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.

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14
502015Multi-portfolio time consistency for set-valued convex and coherent risk measures. (2015). Feinstein, Zachary ; Rudloff, Birgit. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:67-107.

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Citing documents used to compute impact factor: 83
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2021Penalty method for portfolio selection with capital gains tax. (2021). Dai, Min ; Chen, Xinfu ; Bian, Baojun ; Qian, Shuaijie. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:1013-1055.

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2021Series expansions and direct inversion for the Heston model. (2020). Wiese, Anke ; Shen, Jiaqi ; Simon, . In: Papers. RePEc:arx:papers:2008.08576.

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2021An adaptive splitting method for the Cox-Ingersoll-Ross process. (2021). Lord, Gabriel J ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2112.09465.

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2021An analytical study of participating policies with minimum guaranteed and surrender option. (2020). Stabile, Gabriele ; de Angelis, Tiziano ; Chiarolla, Maria B. In: Papers. RePEc:arx:papers:2004.06982.

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2021Influence of risk tolerance on long-term investments: A Malliavin calculus approach. (2021). Park, Hyungbin. In: Papers. RePEc:arx:papers:2104.00911.

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2021Rough multifactor volatility for SPX and VIX options. (2021). Pannier, Alexandre ; Muguruza, Aitor ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2112.14310.

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2021Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences. (2020). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:2003.01783.

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2021Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2021The Support and Resistance Line Method: An Analysis via Optimal Stopping. (2021). Liu, Ruiqi ; Jacka, Saul ; Henderson, Vicky. In: Papers. RePEc:arx:papers:2103.02331.

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2021Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2112.02961.

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2021Maintaining cost and ruin probability. (2021). Ma, Xiaorong ; Lo, Chia Chun ; Karathanasopoulos, Andreas ; Qin, Zhenjiang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:2:d:10.1007_s11156-021-00960-x.

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2021No arbitrage SVI. (2020). Mingone, Arianna ; Martini, Claude. In: Papers. RePEc:arx:papers:2005.03340.

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2021Explicit no arbitrage domain for sub-SVIs via reparametrization. (2021). Mingone, Arianna ; Martini, Claude. In: Papers. RePEc:arx:papers:2106.02418.

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2021Multiple-prior valuation of cash flows subject to capital requirements. (2021). Thoegersen, Julie ; Lindskog, Filip ; Engsner, Hampus. In: Papers. RePEc:arx:papers:2109.00306.

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2021Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244.

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2021Infinite-dimensional polynomial processes. (2021). Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-021-00450-x.

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2021Duality Theory for Robust Utility Maximization. (2020). Kupper, Michael ; Bartl, Daniel ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2007.08376.

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2021Model-Free Finance and Non-Lattice Integration. (2021). Gonzalez, Alfredo ; Ferrando, Sebastian ; Bender, Christian. In: Papers. RePEc:arx:papers:2105.10623.

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2021Duality theory for robust utility maximisation. (2021). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00455-6.

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2021Neural network approximation for superhedging prices. (2021). Reitsam, Thomas ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2107.14113.

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2021Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes. (2021). Yu, Xun ; Strub, Moris S. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-020-00444-1.

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2021Forward rank?dependent performance criteria: Time?consistent investment under probability distortion. (2021). Strub, Moris S ; He, Xue Dong ; Zariphopoulou, Thaleia. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:683-721.

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2021Two-Sided Singular Control of an Inventory with Unknown Demand Trend. (2021). Rodosthenous, Neofytos ; Ferrari, Giorgio ; Federico, Salvatore. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:643.

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2021Radner equilibrium and systems of quadratic BSDEs with discontinuous generators. (2020). Xing, Hao ; Schwarz, Daniel C ; Escauriaza, Luis. In: Papers. RePEc:arx:papers:2008.03500.

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2021A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2010.09186.

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2021Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2021cf1162.

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2021Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf509.

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2021Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2021cf1180.

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2021Beating the Market with Generalized Generating Portfolios. (2021). Mijatovic, Patrick. In: Papers. RePEc:arx:papers:2101.07084.

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2021Equity Risk and Return across Hidden Market Regimes. (2021). Khripushin, Denis A ; Korotkikh, Viacheslav V ; Endovitsky, Dmitry A. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:188-:d:662114.

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2021No free lunch for markets with multiple num\eraires. (2021). Carassus, Laurence. In: Papers. RePEc:arx:papers:2107.12885.

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2021Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2021Distributionally robust goal-reaching optimization in the presence of background risk. (2021). Chi, Yichun ; Zhuang, Sheng Chao ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2108.04464.

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2021Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2007.08829.

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2021Dynamic Default Contagion in Interbank Systems. (2020). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2010.15254.

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2021Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769.

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2021Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. (2021). Delbaen, Freddy. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00459-2.

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2021Scenario-based risk evaluation. (2021). Ziegel, Johanna F ; Wang, Ruodu. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00460-9.

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2021A Framework for Measures of Risk under Uncertainty. (2021). Wang, Ruodu ; Liu, Yang ; Fadina, Tolulope. In: Papers. RePEc:arx:papers:2110.10792.

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2021Martingale transport with homogeneous stock movements. (2019). Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1908.10242.

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2021Super-replication with transaction costs under model uncertainty for continuous processes. (2021). Rasonyi, Miklos ; Chau, Huy N ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2102.02298.

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2021Pricing Interest Rate Derivatives under Volatility Uncertainty. (2020). Holzermann, Julian. In: Papers. RePEc:arx:papers:2003.04606.

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2021Computation of the unknown volatility from integral option price observations in jump–diffusion models. (2021). Vulkov, Lubin G ; Georgiev, Slavi G. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:188:y:2021:i:c:p:591-608.

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2021Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957.

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2021Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. (2021). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00464-5.

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2021Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura. In: Papers. RePEc:arx:papers:2006.09611.

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2021Asymptotic optimality of the generalized c? rule under model uncertainty. (2021). Saha, Subhamay ; Cohen, Asaf. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:136:y:2021:i:c:p:206-236.

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2021Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017.

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2021American options in the Volterra Heston model. (2021). Zuiga, Elizabeth ; Pulido, Sergio ; Chevalier, Etienne. In: Working Papers. RePEc:hal:wpaper:hal-03178306.

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2021Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2020). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Working Papers. RePEc:hal:wpaper:hal-02910724.

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2021Merton’s portfolio problem under Volterra Heston model. (2021). Wong, Hoi Ying ; Han, Bingyan. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319312917.

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2021Portfolio insurance under rough volatility and Volterra processes. (2021). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021026.

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2021Small?time, large?time, and H?0 asymptotics for the Rough Heston model. (2021). Smith, Benjamin ; Gerhold, Stefan ; Forde, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:203-241.

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2021Time-consistent feedback strategies with Volterra processes. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1907.11378.

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2021Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2021). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Post-Print. RePEc:hal:journl:hal-02910724.

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2021Law-invariant functionals that collapse to the mean: Beyond convexity. (2021). Munari, Cosimo ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:2106.01281.

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2021Risk measures beyond frictionless markets. (2021). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2111.08294.

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2021Convergence of optimal expected utility for a sequence of binomial models. (2021). Schachermayer, Walter ; Hubalek, Friedrich. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1315-1331.

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2021On utility maximization under model uncertainty in discrete?time markets. (2021). Meirelesrodrigues, Andrea ; Rasonyi, Miklos. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:149-175.

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2021Log-modulated rough stochastic volatility models. (2020). Pigato, Paolo ; Harang, Fabian Andsem ; Bayer, Christian. In: Papers. RePEc:arx:papers:2008.03204.

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2021Multilayer heat equations and their solutions via oscillating integral transforms. (2021). Muravey, Dmitry ; Lipton, Alexander ; Itkin, Andrey. In: Papers. RePEc:arx:papers:2112.00949.

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2021A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios. (2021). Bayraktar, Erhan ; Dolinsky, Yan ; Dolinskyi, Leonid ; Czichowsky, Christoph. In: Papers. RePEc:arx:papers:2107.01568.

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2021Double continuation regions for American options under Poisson exercise opportunities. (2021). Perez, Jose Luis ; Palmowski, Zbigniew ; Yamazaki, Kazutoshi. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:722-771.

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2021Risk sharing with multiple indemnity environments. (2021). Chong, Wing Fung ; Chi, Yichun ; Boonen, Tim J ; Asimit, Alexandru V. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:587-603.

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2021Structured reinsurance deals with reference to relative market performance. (2021). Krvavych, Yuriy ; Albrecher, Hansjorg ; Vincent, Leonard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:125-139.

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2021Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Market. (2021). Sircar, Ronnie ; Hu, Ruimeng ; Fouque, Jean-Pierre. In: Papers. RePEc:arx:papers:2106.11510.

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2021Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control. (2021). Ferrari, Giorgio ; Calvia, Alessandro. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:651.

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2021A Stochastic Control Approach to Public Debt Management. (2021). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:2107.10491.

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2021Optimal trade execution in an order book model with stochastic liquidity parameters. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05843.

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2021C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05863.

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2021Competition versus Cooperation: A class of solvable mean field impulse control problems. (2020). Sohr, Tobias ; Neumann, Berenice Anne ; Christensen, Soren. In: Papers. RePEc:arx:papers:2010.06452.

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Recent citations
Recent citations received in 2021
YearCiting document
2021Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140.

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2021Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications. (2021). Wang, Yuwei ; Strub, Moris S ; Liang, Gechun. In: Papers. RePEc:arx:papers:2110.08900.

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2021A Framework for Measures of Risk under Uncertainty. (2021). Wang, Ruodu ; Liu, Yang ; Fadina, Tolulope. In: Papers. RePEc:arx:papers:2110.10792.

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2021Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games. (2021). Pun, Chi Seng ; Lei, Qian . In: Papers. RePEc:arx:papers:2112.14409.

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2021Measure-valued affine and polynomial diffusions. (2021). di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa ; Svaluto-Ferro, Sara. In: Papers. RePEc:arx:papers:2112.15129.

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2021Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167.

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2021Nonlinear expectations of random sets. (2021). Muhlemann, Anja ; Molchanov, Ilya. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00442-3.

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2021Set-valued risk measures as backward stochastic difference inclusions and equations. (2021). Feinstein, Zachary ; Ararat, Ain. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00445-0.

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2021Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach. (2021). Platen, Eckhard ; Grasselli, Martino ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:06/2021.

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Recent citations received in 2020
YearCiting document
2020Cournot-Nash equilibrium and optimal transport in a dynamic setting. (2020). Jia, Junchao ; Backhoff-Veraguas, Julio ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2002.08786.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020Variance Contracts. (2020). Zhuang, Sheng Chao ; Yu, Xun ; Chi, Yichun. In: Papers. RePEc:arx:papers:2008.07103.

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2020Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market. (2020). Beiglboeck, Mathias ; Acciaio, Beatrice ; Pammer, Gudmund. In: Papers. RePEc:arx:papers:2011.04274.

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2020Power mixture forward performance processes. (2020). Sircar, Ronnie ; Avanesyan, Levon. In: Papers. RePEc:arx:papers:2012.10847.

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2020Optimal Dividend Payout under Stochastic Discounting. (2020). Mitzel, Norbert W ; Stammler, Hans-Georg ; Neumann, Beate ; Strasser, Ulf. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:636.

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2020A term structure model for dividends and interest rates. (2020). Willems, Sander ; Filipovi, Damir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1461-1496.

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2020A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf495.

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2020Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776.

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2020How safe are european safe bonds? An analysis from the perspective of modern credit risk models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620302016.

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2020Impact of proportional transaction costs on systematically generated portfolios. (2020). Xie, Kangjianan ; Ruf, Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:104696.

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2020Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework. (2020). Schmidt, Thorsten ; Gumbel, Sandrine. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:50-:d:361196.

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2020Utility Maximization with Proportional Transaction Costs Under Model Uncertainty. (2020). Yu, Xiang ; Tan, Xiaolu ; Deng, Shuoqing. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:4:p:1210-1236.

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2020Filtration shrinkage, the structure of deflators, and failure of market completeness. (2020). Ruf, Johannes ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00435-2.

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2020Extended weak convergence and utility maximisation with proportional transaction costs. (2020). Bayraktar, Erhan ; Dolinsky, Yan ; Dolinskyi, Leonid. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00437-0.

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2020Optimal reduction of public debt under partial observation of the economic growth. (2020). Ferrari, Giorgio ; Ceci, Claudia ; Callegaro, Giorgia. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00438-z.

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2020Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data. (2020). Mancino, Maria Elvira ; Toscano, G ; Scotti, S. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:4:p:288-316.

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2020A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1156.

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Recent citations received in 2019
YearCiting document
2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Papers. RePEc:arx:papers:1712.08329.

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2019Optimal Stopping and Utility in a Simple Model of Unemployment Insurance. (2019). Bogachev, Leonid V ; Anquandah, Jason S. In: Papers. RePEc:arx:papers:1902.06175.

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2019Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728.

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2019Applications of a New Self-Financing Equation. (2019). Webster, Kevin ; Carmona, Rene. In: Papers. RePEc:arx:papers:1905.04137.

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2019Vol-of-vol expansion for (rough) forward variance models. (2019). Akdogan, Ozan. In: Papers. RePEc:arx:papers:1910.03245.

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2019A 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.

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2019Pricing 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.

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2019Optimal 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.

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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Post-Print. RePEc:hal:journl:hal-01669082.

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2019Moment explosions in the rough Heston model. (2019). Gerhold, Stefan ; Pinter, Arpad ; Gerstenecker, Christoph. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00267-6.

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2019Optimal Investment for Retail Investors with Flooredand Capped Costs. (2019). Mich, Lukas ; Belak, Christoph ; Seifried, Frank T. In: Working Paper Series. RePEc:trr:qfrawp:201906.

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2019A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA. (2019). Pigato, Paolo ; Lejay, Antoine. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500171.

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Recent citations received in 2018
YearCiting document
2018The strong Fatou property of risk measures. (2018). Xanthos, Foivos ; Gao, Niushan ; Chen, Shengzhong. In: Papers. RePEc:arx:papers:1805.05259.

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2018A new approach for American option pricing: The Dynamic Chebyshev method. (2018). Potz, Christian ; Mahlstedt, Mirco ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1806.05579.

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2018Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917.

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2018Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1807.06449.

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2018Optimal 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.

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2018The 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.

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2018The Zumbach effect under rough Heston. (2018). Rosenbaum, Mathieu ; Radoivci, Radovs ; Gatheral, Jim ; el Euch, Omar. In: Papers. RePEc:arx:papers:1809.02098.

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2018Risk sharing for capital requirements with multidimensional security markets. (2018). Svindland, Gregor ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:1809.10015.

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2018The 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.

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2018General stopping behaviors of naïve 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.

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2018General stopping behaviors of naïve 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.

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2018Equilibrium returns with transaction costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6.

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2018Moral Hazard Under Ambiguity. (2018). Possamai, Dylan ; Mastrolia, Thibaut. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1230-8.

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2018The strong Fatou property of risk measures. (2018). Foivos, Xanthos ; Niushan, Gao ; Shengzhong, Chen. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:183-196:n:12.

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2018