Citation analysis for Monte Carlo Methods and Applications / De Gruyter

Citation Profile [Updated: 2024-11-03 20:16:59]

5 Years H Index

Impact Factor (IF)

5 Years IF

0.01

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
1995	0	0.22	0.06	0	17	17	6	1	1	0		0		1	100	1	0.06	0.09
1996	0	0.25	0	0	18	35	39		1	17		17			0		0	0.12
1997	0.06	0.25	0.04	0.06	17	52	16	2	3	35	2	35	2	2	100		0	0.11
1998	0.09	0.28	0.08	0.08	19	71	7	6	9	35	3	52	4	2	33.3	1	0.05	0.13
1999	0.03	0.31	0.05	0.01	16	87	11	4	13	36	1	71	1		0	1	0.06	0.15
2000	0	0.36	0.05	0.06	19	106	2	5	18	35		87	5	4	80		0	0.16
2001	0.03	0.39	0.08	0.09	39	145	10	11	29	35	1	89	8	7	63.6		0	0.17
2002	0.02	0.41	0.04	0.05	22	167	23	7	36	58	1	110	5	6	85.7		0	0.21
2003	0.08	0.44	0.07	0.04	22	189	23	14	50	61	5	115	5	5	35.7	1	0.05	0.22
2004	0.02	0.5	0.03	0.03	53	242	21	7	57	44	1	118	3	1	14.3		0	0.22
2005	0.04	0.51	0.03	0.03	14	256	45	8	65	75	3	155	4	6	75		0	0.24
2006	0.04	0.51	0.05	0.05	23	279	34	14	79	67	3	150	8	3	21.4	1	0.04	0.23
2007	0.16	0.46	0.06	0.08	16	295	4	17	96	37	6	134	11	4	23.5		0	0.2
2008	0.05	0.49	0.05	0.04	23	318	4	16	112	39	2	128	5	9	56.3		0	0.23
2009	0.03	0.48	0.05	0.06	17	335	24	17	129	39	1	129	8	6	35.3		0	0.24
2010	0.05	0.49	0.04	0.05	21	356	5	13	142	40	2	93	5	3	23.1		0	0.21
2011	0.03	0.52	0.02	0.03	17	373	16	8	150	38	1	100	3	1	12.5		0	0.24
2012	0.05	0.52	0.06	0.05	15	388	12	25	175	38	2	94	5	5	20		0	0.22
2013	0.06	0.56	0.07	0.05	15	403	0	27	202	32	2	93	5	3	11.1		0	0.24
2014	0.07	0.55	0.03	0.05	19	422	9	14	216	30	2	85	4	3	21.4		0	0.23
2015	0.12	0.55	0.06	0.09	23	445	1	25	241	34	4	87	8	7	28		0	0.23
2016	0.05	0.53	0.03	0.03	19	464	2	13	254	42	2	89	3	3	23.1		0	0.21
2017	0.02	0.54	0.02	0.01	20	484	2	10	264	42	1	91	1	3	30		0	0.22
2018	0.03	0.55	0.03	0.01	25	509	1	15	279	39	1	96	1	5	33.3		0	0.24
2019	0.02	0.57	0.02	0.02	26	535	3	13	292	45	1	106	2	3	23.1		0	0.23
2020	0.08	0.68	0.05	0.05	24	559	1	26	318	51	4	113	6	4	15.4		0	0.32
2021	0.04	0.81	0.02	0.02	22	581	0	12	330	50	2	114	2		0		0	0.3
2022	0	0.86	0.01	0	27	608	0	9	339	46		117			0		0	0.26
2023	0	0.92	0.01	0.01	19	627	0	7	346	49		124	1		0		0	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

#	Year	Title	Cited
1	2005	On the discretization schemes for the CIR (and Bessel squared) processes. (2005). Aurelien, Alfonsi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:355-384:n:5. Full description at Econpapers \|\| Download paper	23
2	2006	Balanced Milstein Methods for Ordinary SDEs. (2006). Kahl, Christian ; Christian, Kahl ; Henri, Schurz . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:143-170:n:2. Full description at Econpapers \|\| Download paper	22
3	1996	Stochastic algorithms for solving Smolouchovsky coagulation equation and applications to aerosol growth simulation.. (1996). Sabelfeld K. K., ; Levykin A. I., ; Kolodko A. A., ; Rogasinsky S. V., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:1:p:41-88:n:5. Full description at Econpapers \|\| Download paper	14
4	1996	The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density. (1996). Vlad, Bally ; Denis, TALAY . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:2:p:93-128:n:7. Full description at Econpapers \|\| Download paper	13
5	2003	Optimal quadratic quantization for numerics: the Gaussian case. (2003). Gilles, Pages ; Jacques, PRINTEMS . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:2:p:135-165:n:2. Full description at Econpapers \|\| Download paper	13
6	2004	Upper Bounds for Bermudan Style Derivatives. (2004). Kolodko A., ; Schoenmakers J., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:331-343:n:15. Full description at Econpapers \|\| Download paper	12
7	2011	A general method for debiasing a Monte Carlo estimator. (2011). McLeish, Don. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:301-315:n:1. Full description at Econpapers \|\| Download paper	12
8	2009	Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. (2009). Bardou O., ; Pages G., ; Frikha N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:173-210:n:1. Full description at Econpapers \|\| Download paper	11
9	2012	The identification of price jumps. (2012). KoÃÂenda, EvÃÂ¾en ; Hanousek, Jan ; Even, Koenda . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:53-77:n:2. Full description at Econpapers \|\| Download paper	10
10	1996	On the use of low discrepancy sequences in Monte Carlo methods. (1996). Bruno, Tuffin . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:4:p:295-320:n:4. Full description at Econpapers \|\| Download paper	9
11	2002	Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps. (2002). Platen, Eckhard ; Kestutis, Kubilius ; Eckhard, Platen . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:1:p:83-96:n:6. Full description at Econpapers \|\| Download paper	9
12	2009	Sparsified Randomization Algorithms for large systems of linear equations and a new version of the Random Walk on Boundary method. (2009). Sabelfeld K., ; Mozartova N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:257-284:n:5. Full description at Econpapers \|\| Download paper	8
13	2005	On global sensitivity analysis of quasi-Monte Carlo algorithms. (2005). SobolÃÂ´ I. M., ; Kucherenko S. S., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:1:p:83-92:n:4. Full description at Econpapers \|\| Download paper	8
14	2004	Adaptative Monte Carlo Method, A Variance Reduction Technique. (2004). Bouhari, Arouna . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:1:p:1-24:n:1. Full description at Econpapers \|\| Download paper	6
15	1997	Stochastic Lagrangian Models for Two-Particle Motion in Turbulent Flows. Numerical Results. (1997). Kurbanmuradov O., ; Koluhin D., ; Sabelfeld K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:3:p:199-224:n:3. Full description at Econpapers \|\| Download paper	6
16	1999	Applications of the balanced method to stochastic differential equations in filtering. (1999). Platen, Eckhard ; Paul, Fischer ; Eckhard, Platen . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:1:p:19-38:n:3. Full description at Econpapers \|\| Download paper	6
17	1997	Stochastic Lagrangian Models for Two-Particle Motion in Turbulent Flows. (1997). Sabelfeld K. K., ; Kurbanmuradov O., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:1:p:53-72:n:4. Full description at Econpapers \|\| Download paper	5
18	1997	Monte Carlo simulation of the coagulation processes governed by Smoluchowski equation with random coefficients. (1997). Sabelfeld K. K., ; Kolodko A. A., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:4:p:275-312:n:3. Full description at Econpapers \|\| Download paper	5
19	1995	Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres. (1995). Sabelfeld K. K., ; TALAY D., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:1:y:1995:i:1:p:1-34:n:2. Full description at Econpapers \|\| Download paper	5
20	2005	Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. (2005). Huyen, Pham ; Afef, Sellami ; Wolfgang, Runggaldier . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:1:p:57-81:n:5. Full description at Econpapers \|\| Download paper	4
21	2005	Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. (2005). Vlad, Bally ; Antonino, Zanette ; Lucia, Caramellino . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:2:p:97-133:n:1. Full description at Econpapers \|\| Download paper	4
22	2002	Minimal Entropy Approximations and Optimal Algorithms. (2002). Dan, Crisan ; Terry, Lyons . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:4:p:343-356:n:2. Full description at Econpapers \|\| Download paper	4
23	2002	Simulation of ruin probabilities for risk processes of Markovian type. (2002). Hansjorg, Albrecher ; Josef, Kantor . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:2:p:111-128:n:1. Full description at Econpapers \|\| Download paper	4
24	2011	Pricing of barrier options by marginal functional quantization. (2011). Sagna, Abass . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:371-398:n:3. Full description at Econpapers \|\| Download paper	4
25	2014	A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. (2014). Idris, Kharroubi ; Huyen, Pham ; Nicolas, Langrene . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:2:p:145-165:n:5. Full description at Econpapers \|\| Download paper	4
26	2003	A Lagrangian Stochastic Model for the Transport in Statistically Homogeneous Porous Media. (2003). Kurbanmuradov O., ; Vereecken H., ; Smidts O. F., ; Sabelfeld K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:4:p:341-366:n:4. Full description at Econpapers \|\| Download paper	4
27	1996	Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences. (1996). Igor, Radovi ; Tichy Robert F., ; SobolÃ¢â¬â¢ Ilya M., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:1:p:1-14:n:2. Full description at Econpapers \|\| Download paper	4
28	2006	An importance sampling method based on the density transformation of LÃÂ©vy processes. (2006). Reiichiro, Kawai . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:171-186:n:1. Full description at Econpapers \|\| Download paper	3
29	2001	A stochastic quantization method for nonlinear problems. (2001). Vlad, Bally ; Jacques, PRINTEMS ; Gilles, Pages. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:7:y:2001:i:1-2:p:21-34:n:14. Full description at Econpapers \|\| Download paper	3
30	2012	Stochastic approximation with averaging innovation applied to Finance. (2012). Sophie, Laruelle ; Gilles, Pages. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:1-51:n:1. Full description at Econpapers \|\| Download paper	3
31	1999	Discrepancy of sequences generated by piecewise monotone maps. (1999). Makoto, Mori . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:1:p:55-68:n:5. Full description at Econpapers \|\| Download paper	3
32	2005	Functional quantization for numerics with an application to option pricing. (2005). Gilles, Pages ; Jacques, PRINTEMS . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:407-446:n:6. Full description at Econpapers \|\| Download paper	3
33	2006	First Order Strong Approximations of Jump Diffusions. (2006). Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina ; Nicola, Bruti-Liberati ; Eckhard, Platen ; Christina, Nikitopoulos-Sklibosios . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:191-209:n:6. Full description at Econpapers \|\| Download paper	3
34	2003	Stochastic particle methods for Smoluchowski coagulation equation: variance reduction and error estimations. (2003). Kolodko A., ; Sabelfeld K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:4:p:315-339:n:3. Full description at Econpapers \|\| Download paper	3
35	2004	Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations. (2004). Egorov A. D., ; Zherelo A. V., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:257-264:n:8. Full description at Econpapers \|\| Download paper	3
36	2006	Stochastic Spectral and Fourier-Wavelet Methods for Vector Gaussian Random Fields. (2006). Kurbanmuradov O., ; Sabelfeld K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:5:p:395-445:n:8. Full description at Econpapers \|\| Download paper	3
37	2014	A benchmark study of the Wigner Monte Carlo method. (2014). Michel, Sellier Jean ; Siegfried, Selberherr ; Mihail, Nedjalkov ; Ivan, Dimov . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:1:p:43-51:n:4. Full description at Econpapers \|\| Download paper	2
38	2007	Mixed initial-boundary value problem in particle modeling of microelectronic devices. (2007). Nedjalkov M., ; Arsov G., ; Dimov I., ; Vasileska D., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:13:y:2007:i:4:p:299-331:n:4. Full description at Econpapers \|\| Download paper	2
39	2016	NinomiyaÃ¢â¬âVictoir scheme: Strong convergence, antithetic version and application to multilevel estimators. (2016). Gerbi, AL ; Emmanuelle, Clement ; Benjamin, JOURDAIN . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:22:y:2016:i:3:p:197-228:n:1. Full description at Econpapers \|\| Download paper	2
40	2009	A central limit theorem for the functional estimation of the spot volatility. (2009). Hoang-Long, Ngo ; Shigeyoshi, Ogawa . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:353-380:n:4. Full description at Econpapers \|\| Download paper	2
41	1998	Techniques for Monte Carlo Optimizing. (1998). Arsham H., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:4:y:1998:i:3:p:181-230:n:2. Full description at Econpapers \|\| Download paper	2
42	2010	Exact simulation of Bessel diffusions. (2010). Makarov Roman N., ; Devin, Glew . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:3-4:p:283-306:n:3. Full description at Econpapers \|\| Download paper	2
43	2003	Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model. (2003). Mantalos, Panagiotis. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:257-269:n:6. Full description at Econpapers \|\| Download paper	2
44	1999	Direct and Adjoint Monte Carlo Algorithms for the Footprint Problem. (1999). Kurbanmuradov O., ; Vesala T., ; Sabelfeld K., ; Rannik U., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:2:p:85-112:n:7. Full description at Econpapers \|\| Download paper	2
45	2009	Multiple stochastic volatility extension of the Libor market model and its implementation. (2009). Denis, Belomestny ; John, Schoenmakers ; Stanley, Mathew . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:285-310:n:1. Full description at Econpapers \|\| Download paper	2
46	2006	Stratified sampling and quasi-Monte Carlo simulation of LÃÂ©vy processes. (2006). Leobacher G., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:231-238:n:2. Full description at Econpapers \|\| Download paper	2
47	2008	Quasi-Monte Carlo methods for the Kou model. (2008). Jan, Baldeaux . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:14:y:2008:i:4:p:281-302:n:1. Full description at Econpapers \|\| Download paper	2
48	2010	Approximate formulas for expectations of functionals of solutions to stochastic differential equations. (2010). Egorov A., ; Sabelfeld K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:2:p:95-127:n:1. Full description at Econpapers \|\| Download paper	2
49	2003	Arithmetic average options in the hyperbolic model. (2003). Gerhard, Larcher ; Tichy Robert F., ; Martin, Predota . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:227-239:n:4. Full description at Econpapers \|\| Download paper	2
50	2007	Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity. (2007). Gilles, Pages. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:13:y:2007:i:1:p:37-70:n:3. Full description at Econpapers \|\| Download paper	2

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

#	Year	Title	Cited
1	2011	A general method for debiasing a Monte Carlo estimator. (2011). McLeish, Don. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:301-315:n:1. Full description at Econpapers \|\| Download paper	5
2	2009	Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. (2009). Bardou O., ; Pages G., ; Frikha N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:173-210:n:1. Full description at Econpapers \|\| Download paper	3
3	2005	Functional quantization for numerics with an application to option pricing. (2005). Gilles, Pages ; Jacques, PRINTEMS . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:407-446:n:6. Full description at Econpapers \|\| Download paper	2
4	2003	Optimal quadratic quantization for numerics: the Gaussian case. (2003). Gilles, Pages ; Jacques, PRINTEMS . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:2:p:135-165:n:2. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor:

Year	Title

Recent citations

Recent citations received in 2020

Year	Citing document

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	90	19
2	Monte Carlo Methods and Applications / De Gruyter	9	8
3	Post-Print / HAL	206	5
4	Working Papers / HAL	59	5
5	Physica A: Statistical Mechanics and its Applications / Elsevier	73	3
6	Mathematics and Computers in Simulation (MATCOM) / Elsevier	27	3
7			3
8	Risks / MDPI	18	3
9	TSE Working Papers / Toulouse School of Economics (TSE)	27	3
10	European Journal of Operational Research / Elsevier	132	2
11	Management Research and Practice / Research Centre in Public Administration and Public Services, Bucharest, Romania	7	2