Citation analysis for Finance and Stochastics / Springer

Citation Profile [Updated: 2023-11-03 08:28:08]

5 Years H Index

Impact Factor (IF)

1.04

5 Years IF

1.36

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	70		3	0		0			0		0	0.12
1997	0	0.24	0.6	0	16	20	656	12	15	4		4		5	41.7	12	0.75	0.11
1998	0.65	0.28	0.39	0.65	21	41	622	16	31	20	13	20	13		0	2	0.1	0.13
1999	0.54	0.3	0.45	0.51	25	66	586	28	61	37	20	41	21		0	3	0.12	0.15
2000	0.41	0.36	0.59	0.56	17	83	416	48	110	46	19	66	37	4	8.3	2	0.12	0.16
2001	0.64	0.38	0.7	0.57	29	112	863	77	188	42	27	83	47	1	1.3	5	0.17	0.17
2002	0.54	0.41	0.63	0.63	38	150	1187	95	283	46	25	108	68	7	7.4	5	0.13	0.21
2004	0.92	0.49	0.94	0.87	29	179	820	169	595	38	35	109	95		0	9	0.31	0.22
2005	0.55	0.5	1.12	0.89	32	211	923	237	832	29	16	113	101	5	2.1	11	0.34	0.23
2006	1.02	0.5	1.05	0.96	35	246	641	258	1090	61	62	128	123	16	6.2	5	0.14	0.22
2007	0.72	0.46	1.03	0.76	27	273	738	281	1371	67	48	134	102	22	7.8	8	0.3	0.2
2008	0.52	0.49	1.12	0.77	24	297	395	328	1703	62	32	123	95	12	3.7	11	0.46	0.23
2009	1.06	0.47	1.26	0.88	23	320	400	399	2105	51	54	147	129	15	3.8	11	0.48	0.24
2010	0.87	0.48	1.3	0.98	24	344	367	445	2551	47	41	141	138	32	7.2	9	0.38	0.21
2011	0.87	0.52	1.25	0.81	29	373	499	461	3016	47	41	133	108	41	8.9	14	0.48	0.24
2012	0.83	0.52	1.24	0.87	30	403	462	496	3514	53	44	127	110	54	10.9	9	0.3	0.22
2013	1.08	0.56	1.43	0.99	31	434	457	621	4136	59	64	130	129	43	6.9	14	0.45	0.24
2014	0.89	0.55	1.51	1	31	465	454	702	4838	61	54	137	137	66	9.4	21	0.68	0.23
2015	1.13	0.55	1.58	1.12	31	496	329	784	5623	62	70	145	162	74	9.4	11	0.35	0.23
2016	1.29	0.53	1.71	1.14	34	530	282	903	6527	62	80	152	173	72	8	14	0.41	0.21
2017	0.98	0.54	1.67	1.15	33	563	369	940	7467	65	64	157	181	89	9.5	12	0.36	0.22
2018	1.13	0.56	1.53	1.02	31	594	332	906	8373	67	76	160	163	96	10.6	14	0.45	0.24
2019	1.56	0.58	1.44	1.2	30	624	186	901	9274	64	100	160	192	62	6.9	12	0.4	0.23
2020	1.38	0.7	1.47	1.28	30	654	140	964	10238	61	84	159	203	70	7.3	17	0.57	0.33
2021	1.27	0.87	1.49	1.42	25	679	64	1014	11252	60	76	158	224	68	6.7	10	0.4	0.32
2022	1.04	1	1.33	1.36	27	706	35	941	12193	55	57	149	202	71	7.5	18	0.67	0.31

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	2002	Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447. Full description at Econpapers \|\| Download paper	481
2	1997	*LIBOR and swap market models and measures ()*. (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330*. Full description at Econpapers \|\| Download paper	210
3	2006	Generalized 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	189
4	2005	Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561. Full description at Econpapers \|\| Download paper	161
5	1998	Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347. Full description at Econpapers \|\| Download paper	158
6	2007	The numÃ©raire 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	154
7	2004	Liquidity 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. Full description at Econpapers \|\| Download paper	144
8	2005	Inf-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	141
9	2013	Model-independent bounds for option pricesâa 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	139
10	1999	Applications 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. Full description at Econpapers \|\| Download paper	136
11	1997	*From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets ()*. (1997). Olsen, Richard ; Dacorogna, Michel ; 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*. Full description at Econpapers \|\| Download paper	135
12	2005	Local 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	127
13	1999	Hedging and liquidation under transaction costs in currency markets. (1999). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248. Full description at Econpapers \|\| Download paper	125
14	2007	On 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	119
15	2007	Moment 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. Full description at Econpapers \|\| Download paper	116
16	2002	Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61. Full description at Econpapers \|\| Download paper	114
17	2001	A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82. Full description at Econpapers \|\| Download paper	114
18	2004	Vector-valued coherent risk measures. (2004). Jouini, ElyÃÂ¨s ; 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	106
19	2002	An 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	91
20	2006	A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330. Full description at Econpapers \|\| Download paper	90
21	1997	Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68. Full description at Econpapers \|\| Download paper	87
22	2017	On 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	84
23	2011	Robust 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. Full description at Econpapers \|\| Download paper	83
24	2009	Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; SchÃÂ¶neborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204. Full description at Econpapers \|\| Download paper	82
25	2001	The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341. Full description at Econpapers \|\| Download paper	78
26	2011	Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654. Full description at Econpapers \|\| Download paper	78
27	2000	Efficient 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. Full description at Econpapers \|\| Download paper	78
28	2001	Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272. Full description at Econpapers \|\| Download paper	76
29	2004	Optimizing 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. Full description at Econpapers \|\| Download paper	75
30	2004	Asymptotic 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. Full description at Econpapers \|\| Download paper	73
31	1999	Quantile hedging. (1999). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273. Full description at Econpapers \|\| Download paper	72
32	2000	Optimal 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. Full description at Econpapers \|\| Download paper	71
33	2004	An 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. Full description at Econpapers \|\| Download paper	70
34	1998	Option 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. Full description at Econpapers \|\| Download paper	70
35	2001	Coherent 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. Full description at Econpapers \|\| Download paper	68
36	2002	Optimal capital structure and endogenous default. (2002). Rogers, Leonard ; Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263. Full description at Econpapers \|\| Download paper	68
37	2008	Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244. Full description at Econpapers \|\| Download paper	68
38	1998	Local 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. Full description at Econpapers \|\| Download paper	67
39	2002	Optimal stopping and perpetual options for LÃ©vy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493. Full description at Econpapers \|\| Download paper	66
40	2015	Aggregation-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	65
41	1997	*Continuous-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*. Full description at Econpapers \|\| Download paper	65
42	2001	Applications 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. Full description at Econpapers \|\| Download paper	61
43	2010	Representation 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. Full description at Econpapers \|\| Download paper	61
44	2002	The 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. Full description at Econpapers \|\| Download paper	61
45	2005	Diversity 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. Full description at Econpapers \|\| Download paper	60
46	2012	Polynomial 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	58
47	2001	The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154. Full description at Econpapers \|\| Download paper	58
48	2001	Fractional Brownian motion, random walks and binary market models. (2001). Sottinen, Tommi. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:343-355. Full description at Econpapers \|\| Download paper	57
49	1997	*On 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*. Full description at Econpapers \|\| Download paper	55
50	1998	Optimization of consumption with labor income. (1998). el Karoui, Nicole ; Jeanblanc-Picque, Monique. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440. Full description at Econpapers \|\| Download paper	55

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

#	Year	Title	Cited
1	2002	Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447. Full description at Econpapers \|\| Download paper	102
2	2017	On 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	47
3	2007	On 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	46
4	2006	Generalized 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	45
5	2013	Model-independent bounds for option pricesâa 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	39
6	2018	The 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. Full description at Econpapers \|\| Download paper	33
7	2007	The numÃ©raire 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	32
8	2005	Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561. Full description at Econpapers \|\| Download paper	30
9	2018	Dynamic programming approach to principalâagent 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. Full description at Econpapers \|\| Download paper	30
10	1998	Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347. Full description at Econpapers \|\| Download paper	29
11	2011	Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654. Full description at Econpapers \|\| Download paper	28
12	2015	Aggregation-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	27
13	2017	Hybrid 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. Full description at Econpapers \|\| Download paper	27
14	2014	A 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. Full description at Econpapers \|\| Download paper	24
15	2019	Affine 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. Full description at Econpapers \|\| Download paper	24
16	2005	Inf-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	22
17	2001	A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82. Full description at Econpapers \|\| Download paper	21
18	2019	Incorporating signals into optimal trading. (2019). Neuman, Eyal ; Lehalle, Charles-Albert. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7. Full description at Econpapers \|\| Download paper	20
19	2017	Optimal consumption and investment with EpsteinâZin 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. Full description at Econpapers \|\| Download paper	20
20	1999	Applications 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. Full description at Econpapers \|\| Download paper	19
21	2008	Optimal 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. Full description at Econpapers \|\| Download paper	19
22	2004	Optimizing 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. Full description at Econpapers \|\| Download paper	17
23	2016	Polynomial 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. Full description at Econpapers \|\| Download paper	17
24	2012	Polynomial 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	17
25	2018	Fatou 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. Full description at Econpapers \|\| Download paper	16
26	2017	Trading 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. Full description at Econpapers \|\| Download paper	16
27	2009	Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; SchÃÂ¶neborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204. Full description at Econpapers \|\| Download paper	16
28	2018	Robust pricingâhedging 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. Full description at Econpapers \|\| Download paper	15
29	2005	Local 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	15
30	2008	Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244. Full description at Econpapers \|\| Download paper	15
31	2017	Consumptionâinvestment optimization with EpsteinâZin utility in incomplete markets. (2017). Xing, Hao. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0297-z. Full description at Econpapers \|\| Download paper	14
32	2013	Consumption-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. Full description at Econpapers \|\| Download paper	14
33	2015	Taylor 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. Full description at Econpapers \|\| Download paper	14
34	2014	Comparative 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. Full description at Econpapers \|\| Download paper	14
35	2004	Vector-valued coherent risk measures. (2004). Jouini, ElyÃÂ¨s ; 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	14
36	1998	Option 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. Full description at Econpapers \|\| Download paper	14
37	2010	Representation 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. Full description at Econpapers \|\| Download paper	14
38	2020	Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (2020). Angelis, Tiziano. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00407-1. Full description at Econpapers \|\| Download paper	14
39	2004	Liquidity 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. Full description at Econpapers \|\| Download paper	14
40	2018	Equilibrium 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. Full description at Econpapers \|\| Download paper	14
41	2008	Optimal 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. Full description at Econpapers \|\| Download paper	13
42	2020	Adapted Wasserstein distances and stability in mathematical finance. (2020). Eder, Manu ; Beiglbock, Mathias ; Bartl, Daniel ; Backhoff-Veraguas, Julio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00426-3. Full description at Econpapers \|\| Download paper	13
43	2019	Duality for pathwise superhedging in continuous time. (2019). Tangpi, Ludovic ; Promel, David J ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00395-2. Full description at Econpapers \|\| Download paper	13
44	2020	Pathwise superhedging on prediction sets. (2020). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00412-4. Full description at Econpapers \|\| Download paper	13
45	2016	Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:183-218. Full description at Econpapers \|\| Download paper	13
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Citing documents used to compute impact factor: 57

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2022	Two-sided Singular Control of an Inventory with Unknown Demand Trend. (2021). Rodosthenous, Neofytos ; Ferrari, Giorgio ; Federico, Salvatore. In: Papers. RePEc:arx:papers:2102.11555. Full description at Econpapers \|\| Download paper
2022	On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (2021). Zhou, Xiaowen ; Yu, Xiang ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2108.01800. Full description at Econpapers \|\| Download paper
2022	Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. (2022). Dammann, Felix ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2202.10414. Full description at Econpapers \|\| Download paper
2022	Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. (2022). Ferrari, Giorgio ; Dammann, Felix. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:663. Full description at Econpapers \|\| Download paper
2022	Optimal dividend payout under stochastic discounting. (2022). Gozzi, Fausto ; Ferrari, Giorgio ; de Angelis, Tiziano ; Bandini, Elena. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:2:p:627-677. Full description at Econpapers \|\| Download paper
2022	Learning about profitability and dynamic cash management. (2022). Villeneuve, Stephane ; Decamps, Jean-Paul. In: TSE Working Papers. RePEc:tse:wpaper:126577. Full description at Econpapers \|\| Download paper
2022	Learning about profitability and dynamic cash management. (2022). Villeneuve, Stephane ; Decamps, Jean-Paul. In: Journal of Economic Theory. RePEc:eee:jetheo:v:205:y:2022:i:c:s0022053122001120. Full description at Econpapers \|\| Download paper
2022	Learning about profitability and dynamic cash management. (2022). DÃ©camps, Jean-Paul ; Villeneuve, Stephane. In: Post-Print. RePEc:hal:journl:hal-04164661. Full description at Econpapers \|\| Download paper
2022	No arbitrage global parametrization for the eSSVI volatility surface. (2022). Mingone, Arianna. In: Papers. RePEc:arx:papers:2204.00312. Full description at Econpapers \|\| Download paper
2022	Smiles in delta. (2022). Mingone, Arianna. In: Papers. RePEc:arx:papers:2209.00406. Full description at Econpapers \|\| Download paper
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2022	Model Uncertainty: A Reverse Approach. (2022). Liebrich, Felix-Benedikt ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:2004.06636. Full description at Econpapers \|\| Download paper
2022	Model-free bounds for multi-asset options using option-implied information and their exact computation. (2020). Papapantoleon, Antonis ; Neufeld, Ariel ; Xiang, Qikun. In: Papers. RePEc:arx:papers:2006.14288. Full description at Econpapers \|\| Download paper
2022	Ruin probabilities for a Sparre Andersen model with investments. (2022). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Schmidt, Thorsten ; Kabanov, Yuri ; Eberlein, Ernst. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:144:y:2022:i:c:p:72-84. Full description at Econpapers \|\| Download paper
2022	Improved estimation method for high dimension semimartingale regression models based on discrete data. (2022). Leshchinskaya, Maria ; Pergamenshchikov, Serguei ; Pchelintsev, Evgeny. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:25:y:2022:i:3:d:10.1007_s11203-021-09258-0. Full description at Econpapers \|\| Download paper
2022	Model-free Portfolio Theory: A Rough Path Approach. (2021). Promel, David J ; Liu, Chong ; Cuchiero, Christa ; Allan, Andrew L. In: Papers. RePEc:arx:papers:2109.01843. Full description at Econpapers \|\| Download paper
2022	Market-to-book Ratio in Stochastic Portfolio Theory. (2022). Kim, Donghan. In: Papers. RePEc:arx:papers:2206.03742. Full description at Econpapers \|\| Download paper
2022	Equilibrium Price Formation with a Major Player and its Mean Field Limit. (2021). Takahashi, Akihiko ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2102.10756. Full description at Econpapers \|\| Download paper
2022	Equilibrium Price Formation with a Major Player and its Mean Field Limit (Forthcoming in ESAIM: Control, Optimization and Calculus of Variations)(Revised version of CARF-F-509). (2022). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf533. Full description at Econpapers \|\| Download paper
2022	Existence of an equilibrium with limited participation. (2022). Weston, Kim. In: Papers. RePEc:arx:papers:2206.12399. Full description at Econpapers \|\| Download paper
2022	No free lunch for markets with multiple num\eraires. (2021). Carassus, Laurence. In: Papers. RePEc:arx:papers:2107.12885. Full description at Econpapers \|\| Download paper
2022	Measure-valued processes for energy markets. (2022). Svaluto-Ferro, Sara ; Guida, Francesco ; di Persio, Luca ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2210.09331. Full description at Econpapers \|\| Download paper
2022	Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition. (2022). Hayes, Joshua ; Backwell, Alex. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002497. Full description at Econpapers \|\| Download paper
2022	Unification of different systemic risk measures and Aumann-Shapley allocations. (2021). Schindler, Florian ; Overbeck, Ludger. In: Papers. RePEc:arx:papers:2112.06534. Full description at Econpapers \|\| Download paper
2022	Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies. (2022). Hu, Ruimeng ; Fouque, Jean-Pierre ; Feng, Yichen ; Ichiba, Tomoyuki . In: Papers. RePEc:arx:papers:2202.00662. Full description at Econpapers \|\| Download paper
2022	Markov-modulated Affine Processes. (2021). Frey, Rudiger ; Kurt, Kevin. In: Papers. RePEc:arx:papers:2106.16240. Full description at Econpapers \|\| Download paper
2022	Markov-modulated affine processes. (2022). Kurt, Kevin ; Frey, Rudiger. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:153:y:2022:i:c:p:391-422. Full description at Econpapers \|\| Download paper
2022	Near-optimal asset allocation in financial markets with trading constraints. (2022). Pelsser, Antoon ; Kamma, Thijs. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:766-781. Full description at Econpapers \|\| Download paper
2022	The influence of economic research on financial mathematics: Evidence from the last 25 years. (2022). Carmona, Rene. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00469-0. Full description at Econpapers \|\| Download paper
2022	A New Approach to Estimating Loss-Given-Default Distribution. (2020). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868. Full description at Econpapers \|\| Download paper
2022	Deep Generators on Commodity Markets; application to Deep Hedging. (2022). Hargreaves, Carol Anne ; Mikael, Joseph ; Remlinger, Carl ; Boursin, Nicolas. In: Papers. RePEc:arx:papers:2205.13942. Full description at Econpapers \|\| Download paper
2022	Quantitative Fundamental Theorem of Asset Pricing. (2022). Gudmund, Pammer ; Julio, Backhoff ; Beatrice, Acciaio . In: Papers. RePEc:arx:papers:2209.15037. Full description at Econpapers \|\| Download paper
2022	Deep Generators on Commodity Markets Application to Deep Hedging. (2022). Mikael, Joseph ; Remlinger, Carl ; Boursin, Nicolas. In: Risks. RePEc:gam:jrisks:v:11:y:2022:i:1:p:7-:d:1013290. Full description at Econpapers \|\| Download paper
2022	Regret-based optimal insurance design. (2022). Chi, Yichun ; Zhuang, Sheng Chao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:22-41. Full description at Econpapers \|\| Download paper
2022	Mechanism design of multi-strategy health insurance plans under asymmetric information. (2022). Steffensen, Sonja ; Wang, Haiyan ; Sun, Huan. In: Omega. RePEc:eee:jomega:v:107:y:2022:i:c:s0305048321001638. Full description at Econpapers \|\| Download paper
2022	Risk transference constraints in optimal reinsurance. (2022). Heras, Antonio ; Balbas, Raquel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:27-40. Full description at Econpapers \|\| Download paper
2022	Pareto-optimal reinsurance under individual risk constraints. (2022). Ren, Jiandong ; Jiang, Wenjun ; Ghossoub, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:307-325. Full description at Econpapers \|\| Download paper
2022	Bilateral risk sharing in a comonotone market with rank-dependent utilities. (2022). Jiang, Wenjun ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:361-378. Full description at Econpapers \|\| Download paper
2022	Uniqueness in Cauchy problems for diffusive real-valued strict local martingales. (2020). Larsen, Kasper ; Cetin, Umut. In: Papers. RePEc:arx:papers:2007.15041. Full description at Econpapers \|\| Download paper
2022	Forward utility and market adjustments in relative investment-consumption games of many players. (2020). Platonov, Vadim ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:2012.01235. Full description at Econpapers \|\| Download paper
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2022	Risk measurement of joint risk of portfolios: a liquidity shortfall aspect. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2212.04848. Full description at Econpapers \|\| Download paper
2022	Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539. Full description at Econpapers \|\| Download paper
2022	Time-consistent equilibria in dynamic models with recursive payoffs and behavioral discounting. (2022). Wony, Ukasz ; Reffett, Kevin ; Balbus, Ukasz. In: Journal of Economic Theory. RePEc:eee:jetheo:v:204:y:2022:i:c:s0022053122000837. Full description at Econpapers \|\| Download paper
2022	Deep Learning Algorithms for Hedging with Frictions. (2021). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Papers. RePEc:arx:papers:2111.01931. Full description at Econpapers \|\| Download paper
2022	Dynamic meanâvariance problem with frictions. (2022). Phillip, Sheung Chi ; Siu, Chi Chung ; Ma, Guiyuan ; Bensoussan, Alain. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:2:d:10.1007_s00780-022-00474-x. Full description at Econpapers \|\| Download paper
2022	Portfolio choice with return predictability and small trading frictions. (2022). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000694. Full description at Econpapers \|\| Download paper
2022	Signature-based models: theory and calibration. (2022). Svaluto-Ferro, Sara ; Gazzani, Guido ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2207.13136. Full description at Econpapers \|\| Download paper
2022	Robustness of Hilbert space-valued stochastic volatility models. (2022). Eyjolfsson, Heidar ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2211.16071. Full description at Econpapers \|\| Download paper
2022	Super-replication prices with multiple-priors in discrete time. (2022). Blanchard, Romain ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2202.06534. Full description at Econpapers \|\| Download paper
2022	Robust classical-impulse stochastic control problems in an infinite horizon. (2022). Pun, Chi Seng. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:96:y:2022:i:2:d:10.1007_s00186-022-00795-9. Full description at Econpapers \|\| Download paper
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2022	Risk sharing under heterogeneous beliefs without convexity. (2021). Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:2108.05791. Full description at Econpapers \|\| Download paper
2022	Pricing options on flow forwards by neural networks in Hilbert space. (2022). Benth, Fred Espen ; Galimberti, Luca ; Detering, Nils. In: Papers. RePEc:arx:papers:2202.11606. Full description at Econpapers \|\| Download paper
2022	The deep parametric PDE method and applications to option pricing. (2022). Wunderlich, Linus ; Glau, Kathrin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:432:y:2022:i:c:s0096300322004295. Full description at Econpapers \|\| Download paper
2022	On Parametric Optimal Execution and Machine Learning Surrogates. (2022). Voss, Moritz ; Ludkovski, Mike ; Chen, Tao. In: Papers. RePEc:arx:papers:2204.08581. Full description at Econpapers \|\| Download paper
2022	On effects of negative resilience on optimal trade execution in stochastic order books. (2021). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2112.03789. Full description at Econpapers \|\| Download paper

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2022	Portfolio choice with return predictability and small trading frictions. (2022). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000694. Full description at Econpapers \|\| Download paper
2022	Extension of as-if-Markov modeling to scaled payments. (2022). Furrer, Christian ; Christiansen, Marcus C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:288-306. Full description at Econpapers \|\| Download paper
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Recent citations received in 2021

Year	Citing document
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140. Full description at Econpapers \|\| Download paper
2021	Measure-valued affine and polynomial diffusions. (2021). di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa ; Svaluto-Ferro, Sara. In: Papers. RePEc:arx:papers:2112.15129. Full description at Econpapers \|\| Download paper
2021	. Full description at Econpapers \|\| Download paper
2021	. Full description at Econpapers \|\| Download paper
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167. Full description at Econpapers \|\| Download paper
2021	Nonlinear 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. Full description at Econpapers \|\| Download paper
2021	Set-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. Full description at Econpapers \|\| Download paper
2021	Calibration 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	Cournot-Nash equilibrium and optimal transport in a dynamic setting. (2020). Jia, Junchao ; Backhoff-Veraguas, Julio ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2002.08786. Full description at Econpapers \|\| Download paper
2020	Is 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. Full description at Econpapers \|\| Download paper
2020	Variance Contracts. (2020). Zhuang, Sheng Chao ; Yu, Xun ; Chi, Yichun. In: Papers. RePEc:arx:papers:2008.07103. Full description at Econpapers \|\| Download paper
2020	Power mixture forward performance processes. (2020). Sircar, Ronnie ; Avanesyan, Levon. In: Papers. RePEc:arx:papers:2012.10847. Full description at Econpapers \|\| Download paper
2020	Optimal 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. Full description at Econpapers \|\| Download paper
2020	A 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. Full description at Econpapers \|\| Download paper
2020	A 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. Full description at Econpapers \|\| Download paper
2020	Optimal 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. Full description at Econpapers \|\| Download paper
2020	How 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. Full description at Econpapers \|\| Download paper
2020	Impact of proportional transaction costs on systematically generated portfolios. (2020). Xie, Kangjianan ; Ruf, Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:104696. Full description at Econpapers \|\| Download paper
2020	Machine 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. Full description at Econpapers \|\| Download paper
2020	Utility 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. Full description at Econpapers \|\| Download paper
2020	Filtration 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. Full description at Econpapers \|\| Download paper
2020	Extended 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. Full description at Econpapers \|\| Download paper
2020	Optimal 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. Full description at Econpapers \|\| Download paper
2020	Is 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. Full description at Econpapers \|\| Download paper
2020	A 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	A 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. Full description at Econpapers \|\| Download paper
2019	Optimal Stopping and Utility in a Simple Model of Unemployment Insurance. (2019). Bogachev, Leonid V ; Anquandah, Jason S. In: Papers. RePEc:arx:papers:1902.06175. Full description at Econpapers \|\| Download paper
2019	Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728. Full description at Econpapers \|\| Download paper
2019	Applications of a New Self-Financing Equation. (2019). Webster, Kevin ; Carmona, Rene. In: Papers. RePEc:arx:papers:1905.04137. Full description at Econpapers \|\| Download paper
2019	Vol-of-vol expansion for (rough) forward variance models. (2019). Akdogan, Ozan. In: Papers. RePEc:arx:papers:1910.03245. Full description at Econpapers \|\| Download paper
2019	A Model for the Optimal Management of Inflation. (2019). Schuhmann, Patrick ; Ferrari, Giorgio ; Federico, Salvatore. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:624. Full description at Econpapers \|\| Download paper
2019	Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107. Full description at Econpapers \|\| Download paper
2019	Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance. (2019). Bogachev, Leonid V ; Anquandah, Jason S. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:94-:d:262848. Full description at Econpapers \|\| Download paper
2019	A 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. Full description at Econpapers \|\| Download paper
2019	Moment 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. Full description at Econpapers \|\| Download paper
2019	Optimal Investment for Retail Investors with Flooredand Capped Costs. (2019). Mich, Lukas ; Belak, Christoph ; Seifried, Frank T. In: Working Paper Series. RePEc:trr:qfrawp:201906. Full description at Econpapers \|\| Download paper
2019	A 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. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	85	2528
2	Finance and Stochastics / Springer	53	411
3	Stochastic Processes and their Applications / Elsevier	46	202
4	Mathematical Finance / Wiley Blackwell	70	182
5	Insurance: Mathematics and Economics / Elsevier	54	166
6	European Journal of Operational Research / Elsevier	128	137
7			106
8	Working Papers / HAL	59	96
9	Post-Print / HAL	203	93
10	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	29	79
11	Risks / MDPI	17	79