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Citation Profile [Updated: 2024-11-03 20:16:59]
5 Years H Index
65
Impact Factor (IF)
0.98
5 Years IF
1.12
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
1991 0 0.1 0.17 0 12 12 430 1 2 0 0 1 100 1 0.08 0.05
1992 0 0.11 0.04 0 14 26 568 1 3 12 12 0 1 0.07 0.06
1993 0.12 0.13 0.17 0.12 16 42 407 7 10 26 3 26 3 3 42.9 2 0.13 0.06
1994 0.07 0.14 0.11 0.05 12 54 632 6 16 30 2 42 2 0 2 0.17 0.07
1995 0.39 0.22 0.42 0.37 17 71 766 30 46 28 11 54 20 0 8 0.47 0.09
1996 0.76 0.25 0.56 0.48 15 86 473 46 94 29 22 71 34 0 4 0.27 0.12
1997 0.59 0.25 0.67 0.64 17 103 1512 68 163 32 19 74 47 2 2.9 9 0.53 0.11
1998 0.59 0.28 0.72 0.56 14 117 479 84 247 32 19 77 43 5 6 4 0.29 0.13
1999 0.71 0.31 0.83 0.64 12 129 3098 105 354 31 22 75 48 5 4.8 7 0.58 0.15
2000 0.96 0.36 1.37 1.21 21 150 620 201 559 26 25 75 91 0 4 0.19 0.16
2001 1 0.39 1.21 1 15 165 532 197 759 33 33 79 79 0 3 0.2 0.17
2002 0.61 0.41 1.13 1.18 18 183 736 204 966 36 22 79 93 0 5 0.28 0.21
2003 0.67 0.44 1.31 1.13 19 202 375 261 1231 33 22 80 90 5 1.9 4 0.21 0.22
2004 1.08 0.5 1.65 1.53 21 223 673 363 1598 37 40 85 130 6 1.7 5 0.24 0.22
2005 0.83 0.51 1.57 1.04 19 242 577 377 1978 40 33 94 98 4 1.1 10 0.53 0.24
2006 1.2 0.51 1.57 1.11 26 268 849 420 2400 40 48 92 102 6 1.4 9 0.35 0.23
2007 0.93 0.46 1.66 1.04 16 284 378 466 2871 45 42 103 107 0 6 0.38 0.2
2008 0.95 0.49 1.61 1 25 309 765 493 3369 42 40 101 101 13 2.6 13 0.52 0.23
2009 0.88 0.48 1.72 1.08 14 323 360 556 3925 41 36 107 116 24 4.3 6 0.43 0.24
2014 0 0.55 2.32 2.36 16 339 379 786 7324 0 14 33 15 1.9 7 0.44 0.23
2015 1.19 0.55 2.14 1.19 28 367 351 785 8110 16 19 16 19 0 6 0.21 0.23
2016 1.14 0.53 2.44 1.14 33 400 532 970 9085 44 50 44 50 6 0.6 23 0.7 0.21
2017 1.26 0.54 2.03 1.34 35 435 333 879 9967 61 77 77 103 2 0.2 13 0.37 0.22
2018 1.53 0.55 2 1.49 36 471 222 943 10910 68 104 112 167 9 1 15 0.42 0.24
2019 1 0.57 1.95 1.44 24 495 292 963 11873 71 71 148 213 6 0.6 24 1 0.23
2020 1.18 0.68 2.06 1.37 34 529 229 1092 12965 60 71 156 213 34 3.1 19 0.56 0.32
2021 1.93 0.81 2.03 1.48 28 557 77 1129 14094 58 112 162 240 63 5.6 2 0.07 0.3
2022 1.27 0.86 1.76 1.2 13 570 20 1005 15099 62 79 157 189 16 1.6 3 0.23 0.26
2023 0.98 0.92 1.62 1.12 20 590 42 957 16056 41 40 135 151 19 2 11 0.55 0.27
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Delbaen, Freddy ; Heath, David ; Eber, Jean-Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

Full description at Econpapers || Download paper

2641
2A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406.

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747
31997Backward Stochastic Differential Equations in Finance. (1997). ElKaroui, N. ; Quenez, M. C. ; Peng, S. ; El Karoui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

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502
41995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

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434
5Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406.

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280
6Long memory in continuous‐time stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323.

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264
71997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

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246
82006A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151.

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228
91994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

Full description at Econpapers || Download paper

193
102002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

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186
111994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167.

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158
121997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

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154
132006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

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153
141992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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151
151991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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151
161993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375.

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149
172000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

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143
18AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476.

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141
191999Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348.

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136
202003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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132
212008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

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130
221992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pagès, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86.

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129
232000Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

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127
242004The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. (2004). Schachermayer, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:19-48.

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124
251993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276.

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124
261996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165.

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123
272002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

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122
281991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

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120
292019119
302002A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298.

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118
31Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods. (1997). Scott, Louis O.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:413-426.

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116
322004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480.

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115
331997Bond Market Structure in the Presence of Marked Point Processes. (1997). Кабанов, Юрий ; Runggaldier, Wolfgang ; Bjork, Tomas ; Kabanov, Yuri . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239.

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115
342005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

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113
352008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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111
362016COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918.

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110
372007THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14.

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109
381995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE. (1995). Sankarasubramanian, L. ; Ritchken, Peter . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72.

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105
392001The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims. (2001). Takahashi, Akihiko ; Kunitomo, Naoto. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:1:p:117-151.

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102
402009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

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102
411998Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65.

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101
421999Term Structure Models Driven by General Lévy Processes. (1999). Raible, Sebastian ; Eberlein, Ernst. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53.

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100
432005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26.

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98
441997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Wilmott, P. ; Whalley, A. E.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324.

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94
451998Robustness of the Black and Scholes Formula. (1998). el Karoui, Nicole ; Jeanblanc-Picque, Monique ; Shreve, Steven E.. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126.

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93
461997A Continuity Correction for Discrete Barrier Options. (1997). Glasserman, Paul ; Broadie, Mark ; Kou, Steven. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349.

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93
471997Contingent Claims and Market Completeness in a Stochastic Volatility Model. (1997). Touzi, Nizar ; Romano, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412.

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91
481996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL. (1996). Renault, Eric ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302.

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91
492004Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall. (2004). Scaillet, Olivier. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:115-129.

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91
502002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373.

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90
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11999Coherent Measures of Risk. (1999). Artzner, Philippe ; Delbaen, Freddy ; Heath, David ; Eber, Jean-Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228.

Full description at Econpapers || Download paper

442
21997Backward Stochastic Differential Equations in Finance. (1997). ElKaroui, N. ; Quenez, M. C. ; Peng, S. ; El Karoui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71.

Full description at Econpapers || Download paper

74
3201971
41995THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32.

Full description at Econpapers || Download paper

52
52016COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918.

Full description at Econpapers || Download paper

48
61991Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29.

Full description at Econpapers || Download paper

32
72008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426.

Full description at Econpapers || Download paper

30
81997The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155.

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29
92016RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Amini, Hamed ; Minca, Andreea ; Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365.

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29
101994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204.

Full description at Econpapers || Download paper

27
112015OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS. (2015). Espinosa, Gilles-Edouard ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:2:p:221-257.

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26
121997Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105.

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26
132020Network valuation in financial systems. (2020). D'Errico, Marco ; Caccioli, Fabio ; Bardoscia, Marco ; Barucca, Paolo ; Battiston, Stefano ; Caldarelli, Guido ; Visentin, Gabriele. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1181-1204.

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25
142002Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286.

Full description at Econpapers || Download paper

24
152008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Elyès ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292.

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24
162017THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL. (2017). Grasselli, Martino. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:4:p:1013-1034.

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23
172005ON THE AMERICAN OPTION PROBLEM. (2005). Peskir, Goran . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:169-181.

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23
182014MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Bjork, Tomas ; Yu, Xun ; Murgoci, Agatha . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24.

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23
192016A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Beiglbock, M ; Schachermayer, W ; Penkner, F ; Acciaio, B. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:233-251.

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22
202006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547.

Full description at Econpapers || Download paper

22
212000Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276.

Full description at Econpapers || Download paper

21
222003Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382.

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20
232006DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION. (2006). Shim, Gyoocheol ; Choi, Kyoung Jin. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:443-467.

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17
241998Complete Models with Stochastic Volatility. (1998). Rogers, Leonard ; Hobson, David G. ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48.

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16
251991Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14.

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16
262006A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151.

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16
272005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS. (2005). Pages, Gilles ; Bally, Vlad ; Printems, Jacques . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:119-168.

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15
282014LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY. (2014). Bayraktar, Erhan ; Ludkovski, Michael. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:4:p:627-650.

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15
291992Pricing Options With Curved Boundaries. (1992). Ikeda, Masayuki ; Kunitomo, Naoto. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:4:p:275-298.

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15
302009AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS. (2009). Chambers, Christopher. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:335-342.

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15
311994MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167.

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15
322016A NOTE ON THE QUANTILE FORMULATION. (2016). Xu, Zuoquan . In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:3:p:589-601.

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331992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pagès, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86.

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342020A regularity structure for rough volatility. (2020). Stemper, Benjamin ; Martin, Jorg ; Gassiat, Paul ; Friz, Peter K ; Bayer, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:782-832.

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352008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Dai, Min ; Zong, Jianping ; Kwok, Yue Kuen. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611.

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362000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52.

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372002Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123.

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382020Computational aspects of robust optimized certainty equivalents and option pricing. (2020). Drapeau, Samuel ; Bartl, Daniel ; Tangpi, Ludovic. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:287-309.

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391992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106.

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40201913
412009RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

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422005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437.

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432018PROFIT SHARING IN HEDGE FUNDS. (2018). He, Xuedong ; Kou, Steven. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:1:p:50-81.

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441998Robustness of the Black and Scholes Formula. (1998). el Karoui, Nicole ; Jeanblanc-Picque, Monique ; Shreve, Steven E.. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126.

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452008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH. (2008). Mingfeng, LI ; Linetsky, Vadim. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:337-384.

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462015OPTIMAL INSURANCE DESIGN UNDER RANK-DEPENDENT EXPECTED UTILITY. (2015). Bernard, Carole ; Yu, Xun ; Yan, Jia-An ; He, Xue Dong. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:154-186.

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471999Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348.

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481997The Valuation of American Options on Multiple Assets. (1997). Broadie, Mark ; Jerôme Detemple, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:241-286.

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492019Optimal trade execution in order books with stochastic liquidity. (2019). Schoneborn, Torsten ; Fruth, Antje ; Urusov, Mikhail . In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:507-541.

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502004Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall. (2004). Scaillet, Olivier. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:115-129.

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Citing documents used to compute impact factor: 40
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2023Mitigating Decentralized Finance Liquidations with Reversible Call Options. (2023). Zhou, Liyi ; Gervais, Arthur ; Jovanovic, Philipp ; Ernstberger, Jens ; Qin, Kaihua. In: Papers. RePEc:arx:papers:2303.15162.

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2023The four types of stablecoins: A comparative analysis. (2023). Beccuti, Juan ; Dietl, Helmut ; Pereira, Marco Henriques ; Hafner, Matthias. In: Papers. RePEc:arx:papers:2308.07041.

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2023Randomisation with moral hazard: a path to existence of optimal contracts. (2023). Possamai, Dylan ; Krvsek, Daniel. In: Papers. RePEc:arx:papers:2311.13278.

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2023Machine learning techniques in joint default assessment. (2022). luciano, elisa ; Semeraro, Patrizia ; Doria, Margherita. In: Papers. RePEc:arx:papers:2205.01524.

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2023Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. (2022). Gu, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2212.00336.

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2023Over-the-Counter Market Making via Reinforcement Learning. (2023). Xu, Haiqing ; Fang, Zhou. In: Papers. RePEc:arx:papers:2307.01816.

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2023Algorithmic market making in dealer markets with hedging and market impact. (2023). Gueant, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:41-79.

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2023Time-inconsistent contract theory. (2023). Possamai, Dylan ; Hern, Camilo. In: Papers. RePEc:arx:papers:2303.01601.

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2023Continuous-time incentives in hierarchies. (2023). Hubert, Emma. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00506-0.

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2023Markov risk mappings and risk-sensitive optimal prediction. (2023). Moriarty, John ; Martyr, Randall ; Kosmala, Tomasz. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:97:y:2023:i:1:d:10.1007_s00186-022-00802-z.

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2023International high-frequency arbitrage for cross-listed stocks. (2023). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002934.

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2023Deep stochastic optimization in finance. (2023). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00074-6.

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2023Deep learning algorithms for hedging with frictions. (2023). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-023-00075-z.

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2023Deep empirical risk minimization in finance: Looking into the future. (2023). Soner, Halil Mete ; Reppen, Anders Max. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:116-145.

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2023
2023L\evy bandits under Poissonian decision times. (2023). Yamazaki, Kazutoshi ; Jos'e-Luis P'erez, . In: Papers. RePEc:arx:papers:2301.07798.

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2023Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations. (2022). Balch, Tucker ; Zheng, Zeyu ; Xu, Mengda ; Vann, Jared ; Amrouni, Selim ; Spooner, Thomas ; Ganesh, Sumitra ; Ardon, Leo ; Vadori, Nelson ; Veloso, Manuela. In: Papers. RePEc:arx:papers:2210.07184.

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2023Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144.

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2023Optimal control of martingales in a radially symmetric environment. (2023). Robinson, Benjamin A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:159:y:2023:i:c:p:149-198.

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2023A reverse Expected Shortfall optimization formula. (2022). Guan, Yuanying ; Wang, Ruodu ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2203.02599.

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2023A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809.

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2023Stochastic Algorithms for Advanced Risk Budgeting. (2022). Gu, Olivier ; Fermanian, Jean-David ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2211.07212.

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2023Conditional generalized quantiles based on expected utility model and equivalent characterization of properties. (2023). Zhang, Ping ; Yang, Fan ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2301.12420.

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2023Optimal insurance with mean-deviation measures. (2023). Han, Xia ; Boonen, Tim J. In: Papers. RePEc:arx:papers:2312.01813.

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2023The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations. (2023). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00495-6.

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2023The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for ? ? ( 0 , 1 ) $\vartheta \in (0,1)$. (2023). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00496-5.

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2023Utility-based acceptability indices. (2023). , Mikl'Os ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2310.02014.

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2023Linear-Quadratic-Singular Stochastic Differential Games and Applications. (2023). Vepsaelaeinen, M ; Laine, Mikko ; Burnier, Yannis. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:678.

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2023
2023Sensitivity of multi-period optimization problems in adapted Wasserstein distance. (2022). Wiesel, Johannes ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2208.05656.

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2023Markov decision processes under model uncertainty. (2023). Iki, Mario ; Sester, Julian ; Neufeld, Ariel. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:618-665.

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2023Sensitivity of robust optimization problems under drift and volatility uncertainty. (2023). Neufeld, Ariel ; Bartl, Daniel ; Park, Kyunghyun. In: Papers. RePEc:arx:papers:2311.11248.

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2023Robust option pricing with volatility term structure -- An empirical study for variance options. (2023). Grass, Annemarie M. In: Papers. RePEc:arx:papers:2312.09201.

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2023Signature SDEs from an affine and polynomial perspective. (2023). Teichmann, Josef ; Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2302.01362.

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2023Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901.

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2023Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423.

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2023A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation. (2023). Warin, Xavier ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2307.16619.

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2023A change of variable formula with applications to multi-dimensional optimal stopping problems. (2023). de Angelis, Tiziano ; Cai, Cheng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:164:y:2023:i:c:p:33-61.

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Recent citations
Recent citations received in 2023

YearCiting document
2023Reinforcement Learning for Financial Index Tracking. (2023). He, Xue Dong ; Gong, Chenyin ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2308.02820.

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2023Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144.

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2023Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2023
2023Climate policies, macroprudential regulation, and the welfare cost of business cycles. (2023). Diluiso, Francesca ; Carli, Marco ; Annicchiarico, Barbara. In: Bank of England working papers. RePEc:boe:boeewp:1036.

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2023Multivariate stress scenario selection in interbank networks. (2023). Kwon, Eunji ; Kim, Kyoung-Kuk ; Ahn, Dohyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001185.

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2023.

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2023New Classes of Distortion Risk Measures and Their Estimation. (2023). Wang, Xiwen ; Sepanski, Jungsywan H. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:194-:d:1277752.

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2023Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-04119787.

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2023Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Xu, Huifu ; Wang, Wei. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x.

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2023A transform-based method for pricing Asian options under general two-dimensional models. (2023). Zeng, Pingping ; Zhang, Weinan. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:11:p:1677-1697.

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Recent citations received in 2022

YearCiting document
2022Designing Autonomous Markets for Stablecoin Monetary Policy. (2022). Schuldenzucker, Steffen ; Klages-Mundt, Ariah. In: Papers. RePEc:arx:papers:2212.12398.

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2022Optimal dividends under Markov-modulated bankruptcy level. (2022). Zhu, Shihao ; Schuhmann, Patrick ; Ferrari, Giorgio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:146-172.

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2022The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00489-4.

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Recent citations received in 2021

YearCiting document
2021Risk measures induced by efficient insurance contracts. (2021). Zitikis, Ricardas ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2109.00314.

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2021Proper solutions for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2112.06708.

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Recent citations received in 2020

YearCiting document
2020Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469.

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2020Double continuation regions for American options under Poisson exercise opportunities. (2020). Yamazaki, Kazutoshi ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2004.03330.

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2020The Hansen ratio in mean--variance portfolio theory. (2020). Vcern, Alevs. In: Papers. RePEc:arx:papers:2007.15980.

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2020Detecting and repairing arbitrage in traded option prices. (2020). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2008.09454.

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2020Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2020). Munari, Cosimo. In: Papers. RePEc:arx:papers:2009.04151.

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2020An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625.

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2020A Continuous-Time Model of Financial Clearing. (2020). Sonin, Konstantin. In: Working Papers. RePEc:bfi:wpaper:2020-101.

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

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2020Semimartingale theory of monotone mean–variance portfolio allocation. (2020). Černý, Aleš. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1168-1178.

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2020Dividend policy and capital structure of a defaultable firm. (2020). , Alex ; Lex, A ; Alex, . In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:961-994.

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2020A Continuous-Time Model of Financial Clearing. (2020). Sonin, Konstantin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15117.

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2020Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time. (2020). Jin, Zhuo ; Zhou, Zhou. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:100-108.

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2020Empirical analysis and forecasting of multiple yield curves. (2020). Lutkebohmert, Eva ; Gerhart, Christoph. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:59-78.

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2020Optimal stopping problems for running minima with positive discounting rates. (2020). Gapeev, Pavel V. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105849.

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2020Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints. (2020). Sass, Jorn ; Laudage, Christian ; Desmettre, Sascha. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:114-:d:437604.

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2020A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics. (2020). Szolgyenyi, Michaela ; Steinicke, Alexander ; Kremsner, Stefan. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:136-:d:459366.

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2020American Step Options. (2019). Moraux, Franck ; Abdou, Souleymane Laminou ; Detemple, Jerome ; De Temple, Jerome. In: Post-Print. RePEc:hal:journl:halshs-02283374.

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2020Network Risk in the European Sovereign CDS Market. (2020). Todorova, Zornitsa. In: The Review of Finance and Banking. RePEc:rfb:journl:v:12:y:2020:i:2:p:137-154.

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