Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

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

5 Years H Index

Impact Factor (IF)

0.7

5 Years IF

0.65

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	98	1	1	0		0		1	100	1	0.09	0.07
1995	0.27	0.22	0.12	0.27	14	25	283	3	4	11	3	11	3	2	66.7		0	0.1
1996	0	0.25	0	0	16	41	192		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	0.21	0.2	12	67	149	14	32	30	6	55	11	2	14.3	1	0.08	0.13
1999	0.12	0.3	0.2	0.16	15	82	148	16	48	26	3	67	11	8	50		0	0.15
2000	0.22	0.36	0.42	0.32	14	96	90	40	88	27	6	71	23	6	15	1	0.07	0.16
2001	0.17	0.38	0.24	0.23	12	108	41	26	114	29	5	71	16	7	26.9	1	0.08	0.17
2002	0.35	0.41	0.32	0.3	16	124	259	40	154	26	9	67	20	3	7.5		0	0.21
2003	0.11	0.44	0.46	0.3	16	140	294	64	218	28	3	69	21	2	3.1		0	0.22
2004	0.22	0.49	0.37	0.32	16	156	106	57	276	32	7	73	23		0	1	0.06	0.22
2005	0.41	0.5	0.41	0.46	15	171	387	68	346	32	13	74	34	5	7.4	6	0.4	0.23
2006	0.39	0.5	0.45	0.44	16	187	148	83	430	31	12	75	33	7	8.4	6	0.38	0.22
2007	0.55	0.46	0.51	0.56	23	210	315	107	537	31	17	79	44	5	4.7	3	0.13	0.2
2008	0.64	0.49	0.55	0.7	22	232	181	126	664	39	25	86	60	8	6.3	3	0.14	0.23
2009	0.29	0.47	0.43	0.41	24	256	195	110	775	45	13	92	38	11	10		0	0.24
2010	0.43	0.48	0.48	0.53	24	280	155	130	908	46	20	100	53	5	3.8	2	0.08	0.21
2011	0.29	0.52	0.49	0.41	23	303	132	147	1057	48	14	109	45	5	3.4	1	0.04	0.24
2012	0.21	0.52	0.6	0.52	21	324	124	195	1253	47	10	116	60	5	2.6	9	0.43	0.22
2013	0.61	0.56	0.75	0.7	26	350	107	262	1515	44	27	114	80		0	3	0.12	0.24
2014	0.43	0.55	0.64	0.53	21	371	113	236	1751	47	20	118	63		0	2	0.1	0.23
2015	0.38	0.55	0.64	0.51	22	393	111	252	2003	47	18	115	59	5	2	6	0.27	0.23
2016	0.65	0.53	0.68	0.6	19	412	48	281	2284	43	28	113	68	3	1.1		0	0.21
2017	0.37	0.54	0.61	0.47	18	430	48	261	2545	41	15	109	51		0		0	0.22
2018	0.24	0.56	0.62	0.38	22	452	64	282	2827	37	9	106	40	1	0.4	1	0.05	0.24
2019	0.48	0.58	0.63	0.53	18	470	83	298	3125	40	19	102	54		0	6	0.33	0.23
2020	0.68	0.7	0.63	0.64	20	490	64	311	3436	40	27	99	63	3	1	4	0.2	0.33
2021	0.84	0.87	0.6	0.61	20	510	23	308	3744	38	32	97	59		0	3	0.15	0.32
2022	0.7	1	0.45	0.65	17	527	4	236	3980	40	28	98	64		0		0	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	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	201
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	182
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	155
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	122
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	94
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	92
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	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	57
10	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
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	51
12	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	49
13	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	48
14	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
15	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	43
16	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	43
17	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
18	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	42
19	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
20	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
21	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
22	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	38
23	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	37
24	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
25	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	33
26	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
27	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	31
28	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
29	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
30	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	29
31	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
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	27
33	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	27
34	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	27
35	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	27
36	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	26
37	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	26
38	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	26
39	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
40	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	26
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	25
42	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	25
43	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	25
44	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
45	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
46	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	23
47	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	22
48	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
49	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
50	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

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

#	Year	Title	Cited
1	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	30
2	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	28
3	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	26
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	18
5	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	16
6	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	16
7	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	16
8	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	15
9	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	15
10	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	14
11	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	13
12	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	12
13	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	11
14	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
15	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	11
16	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	9
17	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	8
18	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	8
19	2020	Non-parametric Pricing and Hedging of Exotic Derivatives. (2020). Arribas, Imanol Perez ; Nejad, Sina ; Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:6:p:457-494. Full description at Econpapers \|\| Download paper	7
20	2021	Closed-form Approximations in Multi-asset Market Making. (2021). Vieira, Douglas ; Gueant, Olivier ; Evangelista, David ; Bergault, Philippe. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:2:p:101-142. Full description at Econpapers \|\| Download paper	7
21	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	7
22	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	7
23	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
24	2021	Structural Clustering of Volatility Regimes for Dynamic Trading Strategies. (2021). Francis, Gilad ; Menzies, Max ; James, Nick ; Prakash, Arjun. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:3:p:236-274. Full description at Econpapers \|\| Download paper	7
25	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	7
26	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	6
27	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
28	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
29	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
30	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	6
31	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	6
32	2012	On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates. (2012). Grzelak, Lech ; OOSTERLEE, CORNELIS W.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:1:p:1-35. Full description at Econpapers \|\| Download paper	6
33	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	6
34	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	6
35	2020	Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models. (2020). Newbury, James ; Kalsi, Jasdeep ; Hambly, Ben. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:132-170. 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	2020	Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection. (2020). Sengupta, Indranil ; Roberts, Michael. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:5:p:374-395. Full description at Econpapers \|\| Download paper	5
38	2020	Additive Processes with Bilateral Gamma Marginals. (2020). Wang, King ; Madan, Dilip B. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:3:p:171-188. Full description at Econpapers \|\| Download paper	5
39	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	5
40	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	5
41	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
42	2011	Exchange Options Under Jump-Diffusion Dynamics. (2011). Chiarella, Carl ; Cheang, Gerald . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:3:p:245-276. Full description at Econpapers \|\| Download paper	5
43	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
44	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
45	2013	A Simple Stochastic Rate Model for Rate Equity Hybrid Products. (2013). , Eberlein ; Adan, M. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:5:p:461-488. Full description at Econpapers \|\| Download paper	5
46	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	4
47	2005	Calibration of the SABR Model in Illiquid Markets. (2005). West, Graeme . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:371-385. Full description at Econpapers \|\| Download paper	4
48	2015	Semi-Markov Model for Market Microstructure. (2015). Fodra, Pietro ; Pham, Huyen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:261-295. Full description at Econpapers \|\| Download paper	4
49	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
50	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	4

Citing documents used to compute impact factor: 28

Year	Title
2022	Resemblence between non-Markovian and nonlinear point processes. (2022). Kaulakys, Bronislovas ; Kazakevivcius, Rytis ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:2205.07563. Full description at Econpapers \|\| Download paper
2022	Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes. (2022). Kaulakys, Bronislovas ; Kazakeviius, Rytis ; Kononovicius, Aleksejus. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922007111. Full description at Econpapers \|\| Download paper
2022	Principal agent mean field games in REC markets. (2021). Jaimungal, Sebastian ; Firoozi, Dena ; Shrivats, Arvind. In: Papers. RePEc:arx:papers:2112.11963. Full description at Econpapers \|\| Download paper
2022	Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416. 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	Mean Field Models to Regulate Carbon Emissions in Electricity Production. (2022). Lauriere, Mathieu ; Dayanikli, Goke ; Carmona, Rene. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:12:y:2022:i:3:d:10.1007_s13235-021-00422-y. Full description at Econpapers \|\| Download paper
2022	A mean?field game approach to equilibrium pricing in solar renewable energy certificate markets. (2022). Jaimungal, Sebastian ; Firoozi, Dena ; Shrivats, Arvind V. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:3:p:779-824. Full description at Econpapers \|\| Download paper
2022	Saddle-Point Approach to Large-Time Volatility Smile. (2022). Hirsa, Ali ; Yeung, Chun Yat. In: Papers. RePEc:arx:papers:2212.05671. Full description at Econpapers \|\| Download paper
2022	Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices. (2022). Pelagatti, Matteo ; Grossi, Luigi ; Golia, Silvia. In: Forecasting. RePEc:gam:jforec:v:5:y:2022:i:1:p:3-101:d:1020016. Full description at Econpapers \|\| Download paper
2022	Short- and long-term forecasting of electricity prices using embedding of calendar information in neural networks. (2022). Michaeli, Hendrik ; Schirra, Florian ; Ramentol, Enislay ; Wagner, Andreas. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851322000046. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph. In: Papers. RePEc:arx:papers:2209.07823. Full description at Econpapers \|\| Download paper
2022	Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148. 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	Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991. 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	. Full description at Econpapers \|\| Download paper
2022	A mean-field game of market-making against strategic traders. (2022). Possamai, Dylan ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2203.13053. Full description at Econpapers \|\| Download paper
2022	Multi-asset market making under the quadratic rough Heston. (2022). Zhang, Jianfei ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2212.10164. Full description at Econpapers \|\| Download paper
2022	Exchange option pricing under variance gamma-like models. (2022). Sabino, Piergiacomo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2207.00453. Full description at Econpapers \|\| Download paper
2022	Economic state classification and portfolio optimisation with application to stagflationary environments. (2022). Chin, Kevin ; Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2203.15911. Full description at Econpapers \|\| Download paper
2022	On financial market correlation structures and diversification benefits across and within equity sectors. (2022). Gottwald, Georg A ; Menzies, Max ; James, Nick. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122004551. Full description at Econpapers \|\| Download paper
2022	Economic state classification and portfolio optimisation with application to stagflationary environments. (2022). Chin, Kevin ; Menzies, Max ; James, Nick. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:164:y:2022:i:c:s0960077922008438. Full description at Econpapers \|\| Download paper
2022	Calibration for multivariate LÃ©vy-driven Ornstein-Uhlenbeck processes with applications to weak subordination. (2022). Lu, Kevin W. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:25:y:2022:i:2:d:10.1007_s11203-021-09254-4. Full description at Econpapers \|\| Download paper
2022	The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Papers. RePEc:arx:papers:2210.12393. Full description at Econpapers \|\| Download paper
2022	The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Working Papers. RePEc:hal:wpaper:hal-03827332. Full description at Econpapers \|\| Download paper
2022	Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters. (2021). Sengupta, Indranil ; Hui, Xianfei ; Sun, Baiqing ; Jiang, Hui. In: Papers. RePEc:arx:papers:2101.08984. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2022

Year	Citing document

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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	85	589
2	Energy Economics / Elsevier	157	45
3			43
4	Mathematical Finance / Wiley Blackwell	70	42
5	European Journal of Operational Research / Elsevier	128	38
6	Finance and Stochastics / Springer	53	37
7	Computational Economics / Springer	31	35
8	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	29	33
9	Insurance: Mathematics and Economics / Elsevier	54	28
10	Journal of Futures Markets / John Wiley & Sons, Ltd.	44	26
11	Physica A: Statistical Mechanics and its Applications / Elsevier	72	26