Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

Citation Profile [Updated: 2023-01-07 21:26:51]

5 Years H Index

Impact Factor (IF)

0.84

5 Years IF

0.62

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
1994	0	0.14	0.09	0	11	11	96	1	1	0		0		1	100	1	0.09	0.06
1995	0.27	0.22	0.12	0.27	14	25	268	3	4	11	3	11	3	2	66.7		0	0.1
1996	0	0.25	0	0	16	41	187		4	25		25			0		0	0.12
1997	0.27	0.24	0.25	0.27	14	55	90	14	18	30	8	41	11	9	64.3		0	0.11
1998	0.2	0.28	0.19	0.2	12	67	148	13	31	30	6	55	11	2	15.4	1	0.08	0.13
1999	0.12	0.3	0.18	0.16	15	82	145	15	46	26	3	67	11	7	46.7		0	0.15
2000	0.22	0.35	0.41	0.32	14	96	90	39	85	27	6	71	23	6	15.4	1	0.07	0.16
2001	0.17	0.38	0.24	0.23	13	109	38	26	111	29	5	71	16	7	26.9	1	0.08	0.17
2002	0.33	0.41	0.32	0.29	16	125	253	40	151	27	9	68	20	3	7.5		0	0.21
2003	0.1	0.44	0.45	0.3	16	141	284	64	215	29	3	70	21	2	3.1		0	0.22
2004	0.22	0.49	0.37	0.31	16	157	103	57	273	32	7	74	23		0	1	0.06	0.22
2005	0.41	0.5	0.41	0.45	15	172	374	68	343	32	13	75	34	5	7.4	6	0.4	0.23
2006	0.39	0.5	0.44	0.43	16	188	146	82	426	31	12	76	33	7	8.5	6	0.38	0.23
2007	0.55	0.46	0.51	0.56	23	211	293	107	533	31	17	79	44	5	4.7	3	0.13	0.2
2008	0.62	0.49	0.54	0.69	22	233	173	125	659	39	24	86	59	7	5.6	3	0.14	0.23
2009	0.29	0.47	0.43	0.41	24	257	185	110	770	45	13	92	38	11	10		0	0.23
2010	0.43	0.48	0.47	0.53	24	281	149	130	903	46	20	100	53	5	3.8	2	0.08	0.21
2011	0.29	0.52	0.48	0.4	23	304	125	143	1048	48	14	109	44	5	3.5	1	0.04	0.24
2012	0.21	0.51	0.57	0.5	21	325	107	184	1233	47	10	116	58	5	2.7	5	0.24	0.22
2013	0.57	0.56	0.72	0.66	27	352	98	255	1488	44	25	114	75		0	3	0.11	0.24
2014	0.38	0.55	0.63	0.51	21	373	97	234	1722	48	18	119	61		0	2	0.1	0.23
2015	0.38	0.55	0.63	0.5	22	395	100	250	1972	48	18	116	58	5	2	6	0.27	0.23
2016	0.65	0.53	0.67	0.6	19	414	46	278	2250	43	28	114	68	3	1.1		0	0.21
2017	0.37	0.55	0.6	0.45	18	432	38	258	2508	41	15	110	50		0		0	0.21
2018	0.27	0.57	0.61	0.37	22	454	48	279	2787	37	10	107	40	1	0.4	1	0.05	0.24
2019	0.45	0.6	0.62	0.52	18	472	65	293	3080	40	18	102	53		0	6	0.33	0.24
2020	0.68	0.73	0.64	0.65	20	492	36	314	3394	40	27	99	64	3	1	4	0.2	0.34
2021	0.84	1.02	0.6	0.62	20	512	9	308	3702	38	32	97	60		0	3	0.15	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

#	Year	Title	Cited
1	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÆÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	194
2	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	162
3	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	145
4	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	116
5	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	90
6	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	87
7	2005	The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers \|\| Download paper	65
8	2000	Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32. Full description at Econpapers \|\| Download paper	63
9	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	55
10	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	52
11	2006	Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	50
12	2005	Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers \|\| Download paper	46
13	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	44
14	1994	Stock market bubbles in the laboratory. (1994). Smith, Vernon ; Porter, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers \|\| Download paper	42
15	2002	Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers \|\| Download paper	42
16	1996	Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	41
17	1997	Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64. Full description at Econpapers \|\| Download paper	39
18	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	39
19	1999	Multigrid for American option pricing with stochastic volatility. (1999). Nigel Clarke, Kevin Parrott, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195. Full description at Econpapers \|\| Download paper	38
20	1999	Equivalent Black volatilities. (1999). Patrick S. Hagan, Diana E. Woodward, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:147-157. Full description at Econpapers \|\| Download paper	38
21	1998	A framework for valuing corporate securities. (1998). Ericsson, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers \|\| Download paper	36
22	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	35
23	2006	On the Distributional Characterization of Daily Log-Returns of a World Stock Index. (2006). Platen, Eckhard ; Fergusson, Kevin. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38. Full description at Econpapers \|\| Download paper	32
24	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	31
25	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	30
26	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Badran, Alexander ; Baldeaux, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	30
27	1998	General Black-Scholes models accounting for increased market volatility from hedging strategies. (1998). K. Ronnie Sircar, George Papanicolaou, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82. Full description at Econpapers \|\| Download paper	30
28	2003	On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. (2003). Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324. Full description at Econpapers \|\| Download paper	29
29	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	28
30	1996	Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. (1996). ParAS, Antonio ; Avellaneda, Marco. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52. Full description at Econpapers \|\| Download paper	28
31	2009	On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers \|\| Download paper	27
32	2003	A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers \|\| Download paper	27
33	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). Belanger, A. C. ; Forsyth, P. A. ; Labahn, G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	26
34	2004	On the pricing and hedging of volatility derivatives. (2004). Rafailidis, Avraam ; Howison, Sam ; Rasmussen, Henrik . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346. Full description at Econpapers \|\| Download paper	26
35	2012	The Implied Market Price of Weather Risk. (2012). LÃÆÃÂ³pez Cabrera, Brenda ; HÃÆÃÂ¤rdle, Wolfgang. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:1:p:59-95. Full description at Econpapers \|\| Download paper	26
36	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, ÃÆÃÂlvaro ; Figueroa, Marcelo ; Geman, Helyette. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers \|\| Download paper	25
37	2005	Sharp Upper and Lower Bounds for Basket Options. (2005). Laurence, Peter ; Wang, Tai-Ho. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers \|\| Download paper	24
38	2007	Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Benth, Fred Espen ; Kufakunesu, Rodwell ; GROTH, MARTIN. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363. Full description at Econpapers \|\| Download paper	24
39	1996	Bond, futures and option evaluation in the quadratic interest rate model. (1996). Jamshidian, Farshid . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:2:p:93-115. Full description at Econpapers \|\| Download paper	24
40	1998	The predictive power of price patterns. (1998). G. Caginalp, H. Laurent, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:181-205. Full description at Econpapers \|\| Download paper	24
41	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	23
42	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Pages, Gilles ; Bouthemy, Sandrine ; Bardou, Olivier . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	23
43	1998	An explicit finite difference approach to the pricing of barrier options. (1998). Phelim P. Boyle, Yisong Tian, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:1:p:17-43. Full description at Econpapers \|\| Download paper	23
44	2015	ADI Schemes for Pricing American Options under the Heston Model. (2015). Haentjens, Tinne ; In, Karel J. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:207-237. Full description at Econpapers \|\| Download paper	22
45	1994	Delta, gamma and bucket hedging of interest rate derivatives. (1994). Jarrow, Robert ; Turnbull, Stuart . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:1:p:21-48. Full description at Econpapers \|\| Download paper	22
46	1999	Phenomenology of the interest rate curve. (1999). Potters, Marc ; Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:209-232. Full description at Econpapers \|\| Download paper	22
47	2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). PerellÃÆÃÂ³, Josep ; Masoliver, Jaume ; Bouchaud, Jean-Philippe. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50. Full description at Econpapers \|\| Download paper	22
48	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Bernard, Carole ; Cui, Zhenyu. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	21
49	2008	Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing. (2008). Alexandridis, A. ; Zapranis, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:4:p:355-386. Full description at Econpapers \|\| Download paper	21
50	1996	The use and pricing of convertible bonds. (1996). Nyborg, Kjell. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:3:p:167-190. Full description at Econpapers \|\| Download paper	20

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

#	Year	Title	Cited
1	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÆÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	37
2	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	33
3	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	32
4	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	20
5	2019	Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality. (2019). Manziuk, Iuliia ; Guant, Olivier. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:5:p:387-452. Full description at Econpapers \|\| Download paper	20
6	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	19
7	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	17
8	2019	Mean-Field Game Strategies for Optimal Execution. (2019). Nourian, Mojtaba ; Jaimungal, Sebastian ; Huang, Xuancheng. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:2:p:153-185. Full description at Econpapers \|\| Download paper	16
9	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Badran, Alexander ; Baldeaux, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	12
10	2005	The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers \|\| Download paper	12
11	2017	Regime-switching stochastic volatility model: estimation and calibration to VIX options. (2017). Goutte, StÃÆÃÂ©phane ; Pham, Huyen ; Ismail, Amine . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:24:y:2017:i:1:p:38-75. Full description at Econpapers \|\| Download paper	12
12	1996	Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	12
13	2018	A non-Gaussian OrnsteinÃ¢â¬âUhlenbeck model for pricing wind power futures. (2018). Pircalabu, Anca ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:36-65. Full description at Econpapers \|\| Download paper	11
14	2018	Enhancing trading strategies with order book signals. (2018). Cartea, Alvaro ; Jaimungal, Sebastian ; Donnelly, Ryan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:1-35. Full description at Econpapers \|\| Download paper	11
15	2020	Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets. (2020). Jaimungal, Sebastian ; Shrivats, Arvind. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:99-131. Full description at Econpapers \|\| Download paper	11
16	2015	Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process. (2015). Pages, Gilles ; Sagna, Abass . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:5:p:463-498. Full description at Econpapers \|\| Download paper	10
17	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	10
18	1998	The predictive power of price patterns. (1998). G. Caginalp, H. Laurent, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:181-205. Full description at Econpapers \|\| Download paper	9
19	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	9
20	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	8
21	2008	Pricing of Swing Options in a Mean Reverting Model with Jumps. (2008). Kjaer, Mats. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:479-502. Full description at Econpapers \|\| Download paper	8
22	2015	ADI Schemes for Pricing American Options under the Heston Model. (2015). Haentjens, Tinne ; In, Karel J. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:207-237. Full description at Econpapers \|\| Download paper	7
23	2019	Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies. (2019). Vetzal, Kenneth R ; Forsyth, Peter A. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:1:p:1-37. Full description at Econpapers \|\| Download paper	7
24	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	7
25	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Bernard, Carole ; Cui, Zhenyu. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	7
26	2007	Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Benth, Fred Espen ; Kufakunesu, Rodwell ; GROTH, MARTIN. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363. Full description at Econpapers \|\| Download paper	7
27	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Pages, Gilles ; Bouthemy, Sandrine ; Bardou, Olivier . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	7
28	2020	Detecting and Repairing Arbitrage in Traded Option Prices. (2020). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:5:p:345-373. Full description at Econpapers \|\| Download paper	6
29	2013	Modelling Asset Prices for Algorithmic and High-Frequency Trading. (2013). Cartea, ÃÆÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:6:p:512-547. Full description at Econpapers \|\| Download paper	6
30	2009	A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries. (2009). Konstandatos, Otto ; Buchen, Peter . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:497-515. Full description at Econpapers \|\| Download paper	6
31	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	6
32	2009	On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers \|\| Download paper	6
33	2019	Generalised Lyapunov Functions and Functionally Generated Trading Strategies. (2019). Xie, Kangjianan ; Ruf, Johannes. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:4:p:293-327. Full description at Econpapers \|\| Download paper	6
34	2013	Robust Strategies for Optimal Order Execution in the Almgren--Chriss Framework. (2013). Schied, Alexander. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:3:p:264-286. Full description at Econpapers \|\| Download paper	6
35	2014	Optimal Trade Execution Under Stochastic Volatility and Liquidity. (2014). Cheridito, Patrick ; Sepin, Tardu . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:342-362. Full description at Econpapers \|\| Download paper	6
36	2011	On Modelling and Pricing Rainfall Derivatives with Seasonality. (2011). Leobacher, Gunther ; Ngare, Philip. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:1:p:71-91. Full description at Econpapers \|\| Download paper	5
37	2018	Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management. (2018). Jaimungal, Sebastian ; Al-Aradi, Ali. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:3:p:268-294. Full description at Econpapers \|\| Download paper	5
38	1999	Equivalent Black volatilities. (1999). Patrick S. Hagan, Diana E. Woodward, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:147-157. Full description at Econpapers \|\| Download paper	5
39	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	5
40	2000	Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32. Full description at Econpapers \|\| Download paper	5
41	2014	Optimal Execution and Price Manipulations in Time-varying Limit Order Books. (2014). Alfonsi, Aurelien ; Acevedo, Jose Infante . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:3:p:201-237. Full description at Econpapers \|\| Download paper	5
42	2020	Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:3:p:207-227. Full description at Econpapers \|\| Download paper	5
43	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	5
44	2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). PerellÃÆÃÂ³, Josep ; Masoliver, Jaume ; Bouchaud, Jean-Philippe. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50. Full description at Econpapers \|\| Download paper	5
45	2006	Efficient Pricing of Derivatives on Assets with Discrete Dividends. (2006). Nieuwenhuis, J. W. ; Vellekoop, M. H.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:3:p:265-284. Full description at Econpapers \|\| Download paper	5
46	2004	On the pricing and hedging of volatility derivatives. (2004). Rafailidis, Avraam ; Howison, Sam ; Rasmussen, Henrik . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346. Full description at Econpapers \|\| Download paper	5
47	1999	Stochastic volatility, smile & asymptotics. (1999). K. Ronnie Sircar, George C. Papanicolaou, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:2:p:107-145. Full description at Econpapers \|\| Download paper	5
48	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	5
49	2016	Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method. (2016). Karlsson, Patrik ; Oosterlee, Cornelis W ; Jain, Shashi. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:23:y:2016:i:3:p:175-196. Full description at Econpapers \|\| Download paper	4
50	1998	A framework for valuing corporate securities. (1998). Ericsson, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers \|\| Download paper	4

Citing documents used to compute impact factor: 32

Year	Title
2021	Deep Learning for Principal-Agent Mean Field Games. (2021). Chen, Yichao ; Shrivats, Arvind ; Campbell, Steven ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2110.01127. Full description at Econpapers \|\| Download paper
2021	Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf509. Full description at Econpapers \|\| Download paper
2021	Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2021cf1162. Full description at Econpapers \|\| Download paper
2021	An agent-based modeling approach for analyzing the influence of market participantsâ strategic behavior on green certificate trading. (2021). Fan, LU ; Ling-Zhi, Ren ; Xin-Gang, Zhao ; Hui, Wang. In: Energy. RePEc:eee:energy:v:218:y:2021:i:c:s0360544220325706. Full description at Econpapers \|\| Download paper
2021	Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252. Full description at Econpapers \|\| Download paper
2021	Normal Tempered Stable Processes and the Pricing of Energy Derivatives. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2105.03071. Full description at Econpapers \|\| Download paper
2021	The Alpha?Heston stochastic volatility model. (2021). Scotti, Simone ; Ma, Chunhua ; Jiao, Ying ; Zhou, Chao. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:943-978. Full description at Econpapers \|\| Download paper
2021	Beating the Market with Generalized Generating Portfolios. (2021). Mijatovic, Patrick. In: Papers. RePEc:arx:papers:2101.07084. Full description at Econpapers \|\| Download paper
2021	Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions. (2021). Lorig, Matthew ; Lee, Roger ; Carr, Peter. In: Papers. RePEc:arx:papers:2107.00554. Full description at Econpapers \|\| Download paper
2021	A Mean-Field Game Approach to Equilibrium Pricing, Optimal Generation, and Trading in Solar Renewable Energy Certificate (SREC) Markets. (2020). Jaimungal, Sebastian ; Firoozi, Dena ; Shrivats, Arvind. In: Papers. RePEc:arx:papers:2003.04938. Full description at Econpapers \|\| Download paper
2021	Finite population games of optimal execution. (2020). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2004.00790. Full description at Econpapers \|\| Download paper
2021	Portfolio Liquidation under Factor Uncertainty. (2021). Zhou, Chao ; Xia, Xiaonyu ; Horst, Ulrich. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:274. Full description at Econpapers \|\| Download paper
2021	A Maximum Principle approach to deterministic Mean Field Games of Control with Absorption. (2021). Sircar, Ronnie ; Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:2104.06152. Full description at Econpapers \|\| Download paper
2021	The Support and Resistance Line Method: An Analysis via Optimal Stopping. (2021). Liu, Ruiqi ; Jacka, Saul ; Henderson, Vicky. In: Papers. RePEc:arx:papers:2103.02331. Full description at Econpapers \|\| Download paper
2021	An Effective Hybrid Approach for Forecasting Currency Exchange Rates. (2021). Liu, Hsiou-Hsiang ; Lee, Cheng-Feng ; Shen, Mei-Li ; Yang, Cheng-Hong ; Chang, Po-Yin. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:5:p:2761-:d:510193. Full description at Econpapers \|\| Download paper
2021	Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura. In: Papers. RePEc:arx:papers:2006.09611. Full description at Econpapers \|\| Download paper
2021	Reinforcement Learning for Quantitative Trading. (2021). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2109.13851. Full description at Econpapers \|\| Download paper
2021	Deep Hawkes Process for High-Frequency Market Making. (2021). Kumar, Pankaj. In: Papers. RePEc:arx:papers:2109.15110. Full description at Econpapers \|\| Download paper
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2021	Size matters for OTC market makers: General results and dimensionality reduction techniques. (2021). Gueant, Olivier ; Bergault, Philippe. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:279-322. Full description at Econpapers \|\| Download paper
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2021	A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Feron, Olivier ; Deschatre, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881. Full description at Econpapers \|\| Download paper
2021	Arbitrage-free neural-SDE market models. (2021). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2105.11053. Full description at Econpapers \|\| Download paper
2021	Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757. Full description at Econpapers \|\| Download paper
2021	Additive logistic processes in option pricing. (2021). Carr, Peter ; Torricelli, Lorenzo. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00461-8. Full description at Econpapers \|\| Download paper
2021	A Novel Machine Learning-Based Price Forecasting for Energy Management Systems. (2021). Shakir, Mustafa ; Asif, Rao Muhammad ; Yousaf, Adnan ; Cheikhrouhou, Omar ; Hamam, Habib ; Alassery, Fawaz ; Ur, Ateeq. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:22:p:12693-:d:680686. Full description at Econpapers \|\| Download paper
2021	Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation. (2021). Westmacott, Graham ; Vetzal, Kenneth R ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:2101.02760. Full description at Econpapers \|\| Download paper
2021	Dynamic Spending and Risk-Based Simulation in Retirement Planning. (2021). Panyagometh, Kamphol. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:337-346. Full description at Econpapers \|\| Download paper
2021	Randentropy: a software to measure inequality in random systems. (2021). Storchi, Loriano ; Scocchera, Stefania ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2103.09107. Full description at Econpapers \|\| Download paper
2021	A data-science-driven short-term analysis of Amazon, Apple, Google, and Microsoft stocks. (2021). Sengupta, Indranil ; Patnaik, Sohan ; Jiruwala, Nuruddin ; Ekapure, Shubham. In: Papers. RePEc:arx:papers:2107.14695. Full description at Econpapers \|\| Download paper
2021	Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model. (2021). Sengupta, Indranil ; Lin, Minglian. In: Papers. RePEc:arx:papers:2104.06293. Full description at Econpapers \|\| Download paper
2021	A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2021

Year	Citing document
2021	Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units. (2021). Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2105.10430. Full description at Econpapers \|\| Download paper
2021	Collective correlations, dynamics and behavioural inconsistencies of the cryptocurrency market over time. (2021). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2107.13926. Full description at Econpapers \|\| Download paper
2021	Correlating LÃ©vy processes with self-decomposability: applications to energy markets. (2021). Gardini, Matteo ; Sasso, Emanuela ; Sabino, Piergiacomo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00352-9. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. (2020). Sabino, Piergiacomo ; Gardini, Matteo ; Sasso, Emanuela. In: Papers. RePEc:arx:papers:2011.04256. Full description at Econpapers \|\| Download paper
2020	Price formation and optimal trading in intraday electricity markets with a major player. (2020). Tankov, Peter ; Tinsi, Laura. In: Papers. RePEc:arx:papers:2011.07655. Full description at Econpapers \|\| Download paper
2020	Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147. Full description at Econpapers \|\| Download paper
2020	Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player. (2020). Tinsi, Laura ; Tankov, Peter ; Feron, Olivier. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:133-:d:457902. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
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	Portfolio liquidation under factor uncertainty. (2019). Zhou, Chao ; Xia, Xiaonyu ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1909.00748. Full description at Econpapers \|\| Download paper
2019	Pricing and hedging short-maturity Asian options in local volatility models. (2019). Park, Jong Hwa. In: Papers. RePEc:arx:papers:1911.12944. Full description at Econpapers \|\| Download paper
2019	A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field. (2019). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1912.08695. Full description at Econpapers \|\| Download paper
2019	A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. (2019). Forsyth, Peter A ; Li, Yuying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:189-204. Full description at Econpapers \|\| Download paper
2019	Defined Contribution Pension Plans: Who Has Seen the Risk?. (2019). Vetzal, Kenneth R ; Forsyth, Peter A. In: JRFM. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:70-:d:225342. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	A Stochastic Control Approach to Managed Futures Portfolios. (2018). Leung, Tim ; Yan, Raphael. In: Papers. RePEc:arx:papers:1811.01916. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	80	548
2	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	29	50
3	Energy Economics / Elsevier	148	45
4	European Journal of Operational Research / Elsevier	121	44
5	Finance and Stochastics / Springer	51	43
6			37
7	Mathematical Finance / Wiley Blackwell	67	34
8	Insurance: Mathematics and Economics / Elsevier	52	30
9	Physica A: Statistical Mechanics and its Applications / Elsevier	70	30
10	Computational Economics / Springer	29	29
11	Annals of Operations Research / Springer	46	27