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Finance and Stochastics / Springer

Citation Profile [Updated: 2024-12-09 13:41:37]
5 Years H Index
55
Impact Factor (IF)
1
5 Years IF
1.17
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1996 0 0.25 0.75 0 4 4 73 4 0 0 0 0 0.12
1997 0 0.25 0.6 0 16 20 667 12 16 4 4 5 41.7 12 0.75 0.11
1998 0.65 0.28 0.39 0.65 21 41 643 16 32 20 13 20 13 0 2 0.1 0.13
1999 0.54 0.31 0.45 0.51 25 66 609 28 62 37 20 41 21 0 3 0.12 0.15
2000 0.39 0.36 0.55 0.55 17 83 427 45 108 46 18 66 36 4 8.9 2 0.12 0.16
2001 0.64 0.39 0.7 0.57 29 112 900 77 186 42 27 83 47 1 1.3 5 0.17 0.17
2002 0.54 0.41 0.63 0.63 38 150 1261 95 281 46 25 108 68 7 7.4 5 0.13 0.21
2004 0.92 0.5 0.93 0.87 29 179 851 167 590 38 35 109 95 0 9 0.31 0.22
2005 0.55 0.51 1.17 0.95 32 211 972 246 836 29 16 113 107 5 2 13 0.41 0.24
2006 1.16 0.51 1.14 1.06 35 246 689 280 1116 61 71 128 136 16 5.7 7 0.2 0.23
2007 0.76 0.47 1.06 0.79 27 273 776 289 1405 67 51 134 106 22 7.6 11 0.41 0.2
2008 0.52 0.49 1.11 0.77 24 297 417 327 1736 62 32 123 95 12 3.7 11 0.46 0.23
2009 1.02 0.48 1.24 0.88 23 320 413 394 2133 51 52 147 129 15 3.8 11 0.48 0.24
2010 0.87 0.49 1.31 1 24 344 395 450 2584 47 41 141 141 32 7.1 10 0.42 0.21
2011 0.89 0.52 1.27 0.84 29 373 528 469 3057 47 42 133 112 41 8.7 14 0.48 0.24
2012 0.83 0.52 1.24 0.87 30 403 477 497 3556 53 44 127 110 54 10.9 9 0.3 0.22
2013 1.08 0.56 1.44 1 31 434 488 624 4181 59 64 130 130 43 6.9 14 0.45 0.24
2014 0.89 0.55 1.51 1.01 31 465 482 703 4884 61 54 137 138 66 9.4 21 0.68 0.23
2015 1.13 0.55 1.59 1.12 31 496 350 786 5671 62 70 145 162 74 9.4 11 0.35 0.23
2016 1.29 0.53 1.72 1.14 34 530 302 911 6583 62 80 152 174 72 7.9 14 0.41 0.21
2017 1 0.54 1.67 1.16 33 563 430 942 7525 65 65 157 182 89 9.4 12 0.36 0.22
2018 1.13 0.55 1.51 1 31 594 371 898 8423 67 76 160 160 96 10.7 14 0.45 0.23
2019 1.55 0.57 1.43 1.2 30 624 228 891 9314 64 99 160 192 62 7 12 0.4 0.23
2020 1.3 0.68 1.44 1.25 30 654 171 944 10258 61 79 159 198 70 7.4 17 0.57 0.32
2021 1.23 0.8 1.43 1.36 25 679 91 973 11231 60 74 158 215 68 7 10 0.4 0.29
2022 0.95 0.84 1.21 1.26 27 706 55 856 12087 55 52 149 188 71 8.3 14 0.52 0.25
2023 1 0.86 1.19 1.17 29 735 28 872 12959 52 52 143 168 62 7.1 6 0.21 0.25
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
12002Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447.

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520
21997LIBOR and swap market models and measures (*). (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330.

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216
32006Generalized deviations in risk analysis. (2006). Uryasev, Stan ; Rockafellar, R. ; Zabarankin, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

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213
42005Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561.

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170
51998Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347.

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168
62007The numéraire portfolio in semimartingale financial models. (2007). Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

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159
72013Model-independent bounds for option prices—a mass transport approach. (2013). Henry-Labordere, Pierre ; Beiglbock, Mathias ; Penkner, Friedrich . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501.

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152
82005Inf-convolution of risk measures and optimal risk transfer. (2005). Barrieu, Pauline ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

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148
92004Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Etin, Umut ; Protter, Philip. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341.

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147
101997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*). (1997). Olsen, Richard ; Dacorogna, Michel ; Dave, Rakhal R. ; Pictet, Olivier V. ; Guillaume, Dominique M. ; Muller, Ulrich A.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129.

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138
111999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric ; Lions, Pierre-Louis. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

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136
121999Hedging and liquidation under transaction costs in currency markets. (1999). Кабанов, Юрий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

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130
132005Local martingales, bubbles and option prices. (2005). Hobson, David ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

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130
142007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Vives, Josep ; Leon, Jorge ; Alos, Elisa. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589.

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129
152007Moment explosions in stochastic volatility models. (2007). Piterbarg, Vladimir ; Andersen, Leif. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

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122
162002Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61.

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121
172001A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82.

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119
182004Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Touzi, Nizar ; Meddeb, Moncef . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

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113
192017On time-inconsistent stochastic control in continuous time. (2017). Murgoci, Agatha ; Khapko, Mariana ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0327-5.

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98
202002An analysis of a least squares regression method for American option pricing. (2002). Protter, Philip ; Clement, Emmanuelle ; Lamberton, Damien. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471.

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97
212006A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330.

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92
221997Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68.

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87
232009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

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86
242011Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654.

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86
252011Robust pricing and hedging of double no-touch options. (2011). Oboj, Jan ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

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85
262000Efficient hedging: Cost versus shortfall risk. (2000). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146.

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82
272001Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272.

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81
282004Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Haussmann, Ulrich ; Sass, Jorn. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577.

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80
292001The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341.

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79
302004Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Shreve, Steven ; Janeek, Karel. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206.

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76
312000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Asmussen, Soren ; Taksar, Michael ; jgaard, Bjarne Ho ; Hojgaard, Bjarne. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

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74
321998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Soner, Halil Mete ; Barles, Guy . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

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73
332002Optimal capital structure and endogenous default. (2002). Rogers, Leonard ; Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263.

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72
341999Quantile hedging. (1999). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

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72
352004An example of indifference prices under exponential preferences. (2004). Zariphopoulou, Thaleia ; Musiela, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239.

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71
362002Optimal stopping and perpetual options for Lévy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493.

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71
372001Coherent risk measures and good-deal bounds. (2001). Kuchler, Uwe ; Jaschke, Stefan . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200.

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71
381998Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Jacod, J. ; Shiryaev, A. N.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273.

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69
392008Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244.

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69
402015Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Embrechts, Paul ; Wang, Bin. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790.

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69
411997Continuous-time term structure models: Forward measure approach (*). (1997). Rutkowski, Marek ; Musiela, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291.

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67
422002The cumulant process and Esschers change of measure. (2002). Kallsen, Jan ; Shiryaev, Albert N.. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428.

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66
432010Representation of the penalty term of dynamic concave utilities. (2010). Peng, Shige ; Delbaen, Freddy ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472.

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65
442001Applications of Malliavin calculus to Monte-Carlo methods in finance. II. (2001). Lions, Pierre-Louis ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:201-236.

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62
452001Fractional Brownian motion, random walks and binary market models. (2001). Sottinen, Tommi. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:343-355.

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61
462008Optimal capital and risk allocations for law- and cash-invariant convex functions. (2008). Svindland, Gregor ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439.

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61
472005Diversity and relative arbitrage in equity markets. (2005). Fernholz, Robert ; Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27.

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60
482001The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154.

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59
492012Polynomial processes and their applications to mathematical finance. (2012). Keller-Ressel, Martin ; Teichmann, Josef ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740.

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59
502005Integro-differential equations for option prices in exponential Lévy models. (2005). Voltchkova, Ekaterina ; Cont, Rama. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:3:p:299-325.

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58
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12002Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447.

Full description at Econpapers || Download paper

92
22006Generalized deviations in risk analysis. (2006). Uryasev, Stan ; Rockafellar, R. ; Zabarankin, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

Full description at Econpapers || Download paper

43
32007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Vives, Josep ; Leon, Jorge ; Alos, Elisa. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589.

Full description at Econpapers || Download paper

40
42013Model-independent bounds for option prices—a mass transport approach. (2013). Henry-Labordere, Pierre ; Beiglbock, Mathias ; Penkner, Friedrich . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501.

Full description at Econpapers || Download paper

38
52017On time-inconsistent stochastic control in continuous time. (2017). Murgoci, Agatha ; Khapko, Mariana ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0327-5.

Full description at Econpapers || Download paper

37
61998Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347.

Full description at Econpapers || Download paper

30
72018The microstructural foundations of leverage effect and rough volatility. (2018). Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Euch, Omar. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z.

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30
82018Dynamic programming approach to principal–agent problems. (2018). Cvitanic, Jaksa ; Touzi, Nizar ; Possamai, Dylan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0344-4.

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29
92007The numéraire portfolio in semimartingale financial models. (2007). Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

Full description at Econpapers || Download paper

28
102011Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654.

Full description at Econpapers || Download paper

27
112005Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561.

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24
122019Incorporating signals into optimal trading. (2019). Neuman, Eyal ; Lehalle, Charles-Albert. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7.

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23
132017Optimal consumption and investment with Epstein–Zin recursive utility. (2017). Seifried, Frank Thomas ; Kraft, Holger ; Seiferling, Thomas . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0316-0.

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23
142008Optimal capital and risk allocations for law- and cash-invariant convex functions. (2008). Svindland, Gregor ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439.

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22
152017Hybrid scheme for Brownian semistationary processes. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5.

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21
162015Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Embrechts, Paul ; Wang, Bin. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790.

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21
172020Adapted Wasserstein distances and stability in mathematical finance. (2020). Eder, Manu ; Beiglbock, Mathias ; Bartl, Daniel ; Backhoff-Veraguas, Julio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00426-3.

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21
182004Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Haussmann, Ulrich ; Sass, Jorn. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577.

Full description at Econpapers || Download paper

19
192014A theory of Markovian time-inconsistent stochastic control in discrete time. (2014). Bjork, Tomas ; Murgoci, Agatha . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:545-592.

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19
202005Inf-convolution of risk measures and optimal risk transfer. (2005). Barrieu, Pauline ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

Full description at Econpapers || Download paper

18
212019Affine forward variance models. (2019). Keller-Ressel, Martin ; Gatheral, Jim. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00392-5.

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18
222001A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82.

Full description at Econpapers || Download paper

17
232009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

Full description at Econpapers || Download paper

16
241997LIBOR and swap market models and measures (*). (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330.

Full description at Econpapers || Download paper

16
252013Consumption-portfolio optimization with recursive utility in incomplete markets. (2013). Steffensen, Mogens ; Kraft, Holger ; Seifried, Frank . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:1:p:161-196.

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16
262005Local martingales, bubbles and option prices. (2005). Hobson, David ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

Full description at Econpapers || Download paper

15
272017Trading strategies generated by Lyapunov functions. (2017). Ruf, Johannes ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0332-8.

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15
282016Polynomial diffusions and applications in finance. (2016). Filipovi, Damir ; Larsson, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0304-4.

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15
292002An analysis of a least squares regression method for American option pricing. (2002). Protter, Philip ; Clement, Emmanuelle ; Lamberton, Damien. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471.

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14
302015Taylor approximation of incomplete Radner equilibrium models. (2015). Larsen, Kasper ; Choi, Jin . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:3:p:653-679.

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312022The 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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14
322017Consumption–investment optimization with Epstein–Zin utility in incomplete markets. (2017). Xing, Hao. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0297-z.

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14
332014Comparative and qualitative robustness for law-invariant risk measures. (2014). Kratschmer, Volker ; Zahle, Henryk ; Schied, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:271-295.

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14
342008Optimal lifetime consumption and investment under a drawdown constraint. (2008). Elie, Romuald ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:299-330.

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13
352020Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (2020). Angelis, Tiziano. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00407-1.

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13
362014Beyond cash-additive risk measures: when changing the numéraire fails. (2014). Farkas, Walter ; Koch-Medina, Pablo ; Munari, Cosimo. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:145-173.

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13
371999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric ; Lions, Pierre-Louis. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

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13
382018Optimal liquidation under stochastic liquidity. (2018). Frentrup, Peter ; Bilarev, Todor ; Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2.

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13
392018Equilibrium returns with transaction costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6.

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12
402002The cumulant process and Esschers change of measure. (2002). Kallsen, Jan ; Shiryaev, Albert N.. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428.

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12
412013Drift dependence of optimal trade execution strategies under transient price impact. (2013). Lorenz, Christopher ; Schied, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770.

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12
422017Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Scotti, Simone ; Ma, Chunhua ; Jiao, Ying. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7.

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12
432012Polynomial processes and their applications to mathematical finance. (2012). Keller-Ressel, Martin ; Teichmann, Josef ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740.

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12
442019The self-financing equation in limit order book markets. (2019). Webster, Kevin ; Carmona, Rene. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00398-z.

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452020Term structure modelling for multiple curves with stochastic discontinuities. (2020). Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana ; Fontana, Claudio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5.

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11
461998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Soner, Halil Mete ; Barles, Guy . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

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11
472018Risk measures based on behavioural economics theory. (2018). Cai, Jun ; Mao, Tiantian. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0358-6.

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10
482018Robust pricing–hedging dualities in continuous time. (2018). Oboj, Jan ; Hou, Zhaoxu. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9.

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10
492000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Asmussen, Soren ; Taksar, Michael ; jgaard, Bjarne Ho ; Hojgaard, Bjarne. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

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502001Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272.

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Citing documents used to compute impact factor: 52
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2023Analysis of optimal portfolios on finite and small-time horizons for a multi-dimensional correlated stochastic volatility model. (2023). Sengupta, Indranil ; Lin, Minglian. In: Papers. RePEc:arx:papers:2302.06778.

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2023Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Papers. RePEc:arx:papers:2311.15635.

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2023Optimal Investment in Defined Contribution Pension Schemes with Forward Utility Preferences. (2023). Chong, Wing Fung ; Hin, Kenneth Tsz. In: Papers. RePEc:arx:papers:2303.08462.

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2023Robust utility maximization with nonlinear continuous semimartingales. (2022). Niemann, Lars ; Criens, David. In: Papers. RePEc:arx:papers:2206.14015.

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2023Transaction time models in multi-state life insurance. (2022). Sandqvist, Oliver Lunding ; Furrer, Christian ; Buchardt, Kristian. In: Papers. RePEc:arx:papers:2209.06902.

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2023Is (independent) subordination relevant?. (2023). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2307.08628.

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2023Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models. (2023). Walter, Niklas ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2309.14784.

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2023Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z.

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2023Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. (2022). 'Alvaro Cartea, ; Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2206.14666.

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2023Generative Ornstein-Uhlenbeck Markets via Geometric Deep Learning. (2023). Hyndman, Cody ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2302.09176.

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2023D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556.

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2023Machine learning for option pricing: an empirical investigation of network architectures. (2023). Papazoglou-Hennig, Jonas ; Papapantoleon, Antonis ; van Mieghem, Laurens. In: Papers. RePEc:arx:papers:2307.07657.

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2023Strategic trading with information acquisition and long-memory stochastic liquidity. (2023). Kennedy, Adrian Patrick ; Ma, Guiyuan ; Li, Xiaolong ; Han, Jinhui. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:480-495.

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2023On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538.

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2023Aggregate Markov models in life insurance: Properties and valuation. (2023). Furrer, Christian ; Bladt, Mogens ; Ahmad, Jamaal. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:50-69.

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2023Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. (2023). Zhang, Qinyi ; Yu, Xiang ; Li, Xun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:25-45.

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2023Optimal dividend payout with path-dependent drawdown constraint. (2023). Fan, Jiacheng ; Guan, Chonghu ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2312.01668.

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2023Evolutionary finance: a model with endogenous asset payoffs. (2023). Vanaei, M J ; Hens, T ; Evstigneev, I V. In: Journal of Bioeconomics. RePEc:kap:jbioec:v:25:y:2023:i:2:d:10.1007_s10818-023-09335-9.

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2023Simulation of a L\evy process, its extremum, and hitting time of the extremum via characteristic functions. (2023). Levendorskii, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2312.03929.

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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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Recent citations received in 2023
YearCiting document
2023An elementary proof of the dual representation of Expected Shortfall. (2023). Munari, Cosimo ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2306.14506.

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2023Dynamic portfolio selection for nonlinear law-dependent preferences. (2023). Xia, Jianming ; Liang, Zongxia ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2311.06745.

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2023Detecting Toxic Flow. (2023). Duran-Martin, Gerardo ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2312.05827.

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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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Recent citations received in 2022
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2022Reinforcement Learning with Dynamic Convex Risk Measures. (2022). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2112.13414.

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2022Representation for martingales living after a random time with applications. (2022). Alharbi, Ferdoos ; Choulli, Tahir. In: Papers. RePEc:arx:papers:2203.11072.

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2022Economic Networks: Theory and Computation. (2022). Stachurski, John ; Sargent, Thomas J. In: Papers. RePEc:arx:papers:2203.11972.

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2022Log-optimal portfolio after a random time: Existence, description and sensitivity analysis. (2022). Choulli, Tahir ; Alharbi, Ferdoos. In: Papers. RePEc:arx:papers:2204.03798.

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2022Ensemble learning for portfolio valuation and risk management. (2022). Filipovi, Damir ; Boudabsa, Lotfi. In: Papers. RePEc:arx:papers:2204.05926.

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2022Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions. (2022). Pakkanen, Mikko S ; Wiese, Magnus ; Buehler, Hans ; Wood, Ben ; Murray, Phillip. In: Papers. RePEc:arx:papers:2207.07467.

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2022Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2211.00447.

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2022Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2212.08297.

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2022Portfolio choice with return predictability and small trading frictions. (2022). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000694.

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2022Extension of as-if-Markov modeling to scaled payments. (2022). Furrer, Christian ; Christiansen, Marcus C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:288-306.

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2022Explicit description of all deflators for market models under random horizon with applications to NFLVR. (2022). Yansori, Sina ; Choulli, Tahir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:230-264.

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2022Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03902513.

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Recent citations received in 2021
YearCiting document
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2021Measure-valued affine and polynomial diffusions. (2021). di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa ; Svaluto-Ferro, Sara. In: Papers. RePEc:arx:papers:2112.15129.

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2021Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167.

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2021Nonlinear expectations of random sets. (2021). Muhlemann, Anja ; Molchanov, Ilya. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00442-3.

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2021Set-valued risk measures as backward stochastic difference inclusions and equations. (2021). Feinstein, Zachary ; Ararat, Ain. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00445-0.

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2021Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach. (2021). Platen, Eckhard ; Grasselli, Martino ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:06/2021.

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Recent citations received in 2020
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2020Cournot-Nash equilibrium and optimal transport in a dynamic setting. (2020). Jia, Junchao ; Backhoff-Veraguas, Julio ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2002.08786.

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