Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2025-11-20 18:08:17]

5 Years H Index

Impact Factor (IF)

0.93

5 Years IF

1.22

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	0.11	0.12	0	17	17	572	1	2	0		0		1	100	1	0.06	0.06
1992	0	0.12	0.03	0	16	33	645	1	3	17		17			0	1	0.06	0.06
1993	0.09	0.13	0.17	0.09	21	54	457	8	12	33	3	33	3	4	50	3	0.14	0.06
1994	0.08	0.14	0.14	0.06	20	74	780	9	22	37	3	54	3	2	22.2	2	0.1	0.06
1995	0.29	0.22	0.38	0.31	19	93	866	35	57	41	12	74	23		0	8	0.42	0.09
1996	0.67	0.25	0.55	0.44	19	112	1326	60	119	39	26	93	41		0	4	0.21	0.11
1997	0.68	0.24	0.65	0.54	18	130	1672	83	204	38	26	95	51	3	3.6	9	0.5	0.11
1998	0.76	0.27	0.69	0.58	20	150	894	103	307	37	28	97	56	5	4.9	5	0.25	0.13
1999	0.76	0.29	0.82	0.68	16	166	3342	134	443	38	29	96	65	6	4.5	8	0.5	0.14
2000	1.03	0.34	1.36	1.27	28	194	1030	259	707	36	37	92	117	1	0.4	5	0.18	0.16
2001	0.77	0.38	1.24	1.06	20	214	639	262	972	44	34	101	107	3	1.1	4	0.2	0.17
2002	0.54	0.39	1.1	1.1	25	239	931	259	1234	48	26	102	112		0	5	0.2	0.2
2003	0.64	0.43	1.28	1	26	265	491	335	1573	45	29	109	109	10	3	6	0.23	0.21
2004	0.94	0.47	1.57	1.36	30	295	851	458	2036	51	48	115	156	13	2.8	6	0.2	0.21
2005	0.73	0.5	1.5	0.89	29	324	853	483	2523	56	41	129	115	8	1.7	17	0.59	0.23
2006	1.08	0.49	1.54	1.02	33	357	1096	548	3073	59	64	130	132	12	2.2	10	0.3	0.22
2007	0.89	0.44	1.62	0.91	27	384	721	615	3694	62	55	143	130	9	1.5	8	0.3	0.2
2008	1.12	0.47	1.62	1.04	30	414	877	665	4364	60	67	145	151	28	4.2	15	0.5	0.22
2009	0.75	0.46	1.64	0.99	22	436	582	716	5080	57	43	149	147	41	5.7	10	0.45	0.23
2014	0	0.53	2.18	2.55	16	452	407	984	9342	0		22	56	20	2	7	0.44	0.22
2015	1.19	0.53	2.03	1.19	28	480	396	974	10317	16	19	16	19		0	6	0.21	0.22
2016	1.16	0.5	2.4	1.16	33	513	595	1224	11547	44	51	44	51	8	0.7	23	0.7	0.2
2017	1.26	0.52	1.97	1.34	35	548	378	1078	12629	61	77	77	103	2	0.2	13	0.37	0.21
2018	1.53	0.53	1.97	1.5	37	585	259	1153	13782	68	104	112	168	17	1.5	15	0.41	0.22
2019	1.01	0.54	1.9	1.44	35	620	476	1181	14963	72	73	149	215	10	0.8	29	0.83	0.21
2020	1.21	0.64	2.1	1.36	47	667	387	1401	16364	72	87	168	229	52	3.7	24	0.51	0.3
2021	1.8	0.74	2.02	1.49	42	709	178	1430	17794	82	148	187	279	103	7.2	12	0.29	0.27
2022	1.18	0.74	1.73	1.21	30	739	89	1276	19070	89	105	196	237	56	4.4	9	0.3	0.22
2023	0.79	0.7	1.5	0.98	38	777	118	1169	20239	72	57	191	188	46	3.9	11	0.29	0.2
2024	0.93	0.82	1.62	1.22	8	785	12	1270	21509	68	63	192	234	21	1.7	3	0.38	0.24

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	1999	Coherent Measures of Risk. (1999). Artzner, Philippe ; Eber, Jean-Marc ; Delbaen, Freddy ; Heath, David. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers \|\| Download paper	2798
2	1996	A YIELDâFACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406. Full description at Econpapers \|\| Download paper	762
3	1997	Backward Stochastic Differential Equations in Finance. (1997). Peng, S. ; El Karoui, N. ; Quenez, M. C.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers \|\| Download paper	534
4	1995	THE 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	448
5	2000	Optimal Dynamic Portfolio Selection: Multiperiod MeanâVariance Formulation. (2000). Ng, Wan-Lung ; Li, Duan. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers \|\| Download paper	300
6	1998	Long memory in continuousâtime stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323. Full description at Econpapers \|\| Download paper	285
7	1997	The Market Model of Interest Rate Dynamics. (1997). Musiela, Marek ; Dariusz G¸atarek, ; Brace, Alan. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155. Full description at Econpapers \|\| Download paper	248
8	2006	A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151. Full description at Econpapers \|\| Download paper	233
9	1994	MODELING 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	211
10	2002	Monte 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	191
11	1997	Arbitrage 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. Full description at Econpapers \|\| Download paper	162
12	2006	MODEL 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	161
13	1994	MAXIMUM 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. Full description at Econpapers \|\| Download paper	159
14	2007	AN OLDâNEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Teboulle, Marc ; Ben-Tal, Aharon. In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers \|\| Download paper	157
15	1991	Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14. Full description at Econpapers \|\| Download paper	155
16	1992	ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Myneni, Ravi ; Carr, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106. Full description at Econpapers \|\| Download paper	155
17	1993	BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375. Full description at Econpapers \|\| Download paper	153
18	2000	The 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. Full description at Econpapers \|\| Download paper	150
19	2019	The characteristic function of rough Heston models. (2019). el Euch, Omar ; Rosenbaum, Mathieu. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:1:p:3-38. Full description at Econpapers \|\| Download paper	144
20	2008	BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Zhou, Xunyu ; Jin, Hanqing. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers \|\| Download paper	140
21	1999	Interest 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. Full description at Econpapers \|\| Download paper	136
22	2003	Stochastic Volatility for LÃ©vy Processes. (2003). Carr, Peter ; Yor, Marc ; Geman, Helyette ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382. Full description at Econpapers \|\| Download paper	135
23	1991	Universal 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	133
24	1992	DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1. (1992). Scheinkman, Jose ; PagÃ¨s, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86. Full description at Econpapers \|\| Download paper	132
25	2000	Pricing Via Utility Maximization and Entropy. (2000). Rouge, Richard ; el Karoui, Nicole. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276. Full description at Econpapers \|\| Download paper	130
26	1993	OPTIMAL 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. Full description at Econpapers \|\| Download paper	130
27	2016	COHERENCE 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	129
28	2002	Exponential Hedging and Entropic Penalties. (2002). Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick ; Stricker, Christophe . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123. Full description at Econpapers \|\| Download paper	129
29	1996	HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12. (1996). Jaksa Cvitanić, ; Karatzas, Ioannis. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165. Full description at Econpapers \|\| Download paper	126
30	2004	The 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. Full description at Econpapers \|\| Download paper	125
31	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃ¨s ; Schachermayer, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292. Full description at Econpapers \|\| Download paper	121
32	2002	A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298. Full description at Econpapers \|\| Download paper	121
33	2004	THE 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. Full description at Econpapers \|\| Download paper	121
34	2005	AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437. Full description at Econpapers \|\| Download paper	119
35	1997	Bond Market Structure in the Presence of Marked Point Processes. (1997). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Yuri ; Runggaldier, Wolfgang ; Bjork, Tomas. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239. Full description at Econpapers \|\| Download paper	118
36	1997	Pricing Stock Options in a JumpâDiffusion 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. Full description at Econpapers \|\| Download paper	117
37	2007	THE RANGE OF TRADED OPTION PRICES. (2007). Mark H. A. Davis, ; Hobson, David G.. In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14. Full description at Econpapers \|\| Download paper	114
38	1995	VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1. (1995). Ritchken, Peter ; Sankarasubramanian, L.. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72. Full description at Econpapers \|\| Download paper	109
39	2009	RISK MEASURES ON ORLICZ HEARTS. (2009). Li, Tianhui ; Cheridito, Patrick. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214. Full description at Econpapers \|\| Download paper	107
40	2001	The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims. (2001). Kunitomo, Naoto ; Takahashi, Akihiko. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:1:p:117-151. Full description at Econpapers \|\| Download paper	104
41	1998	Consumption 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. Full description at Econpapers \|\| Download paper	102
42	2004	Nonparametric 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. Full description at Econpapers \|\| Download paper	102
43	2014	MEANâVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Yu, Xun ; Bjork, Tomas ; Murgoci, Agatha. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers \|\| Download paper	101
44	1999	Term Structure Models Driven by General LÃ©vy Processes. (1999). Raible, Sebastian ; Eberlein, Ernst. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53. Full description at Econpapers \|\| Download paper	101
45	2005	DEFAULT 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. Full description at Econpapers \|\| Download paper	100
46	1997	An 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. Full description at Econpapers \|\| Download paper	97
47	1997	A Continuity Correction for Discrete Barrier Options. (1997). Kou, Steven ; Glasserman, Paul ; Broadie, Mark. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349. Full description at Econpapers \|\| Download paper	95
48	1998	Robustness of the Black and Scholes Formula. (1998). Shreve, Steven E. ; el Karoui, Nicole ; Jeanblanc-Picque, Monique . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126. Full description at Econpapers \|\| Download paper	95
49	2002	VALUATION 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. Full description at Econpapers \|\| Download paper	93
50	1996	OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1. (1996). Renault, Eric ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302. Full description at Econpapers \|\| Download paper	93

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

#	Year	Title	Cited
1	1999	Coherent Measures of Risk. (1999). Artzner, Philippe ; Eber, Jean-Marc ; Delbaen, Freddy ; Heath, David. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers \|\| Download paper	436
2	1997	Backward Stochastic Differential Equations in Finance. (1997). Peng, S. ; El Karoui, N. ; Quenez, M. C.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers \|\| Download paper	74
3	2019	The characteristic function of rough Heston models. (2019). el Euch, Omar ; Rosenbaum, Mathieu. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:1:p:3-38. Full description at Econpapers \|\| Download paper	66
4	1995	THE 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	53
5	1998	Long memory in continuousâtime stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323. Full description at Econpapers \|\| Download paper	51
6	2016	COHERENCE 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	49
7	2000	Optimal Dynamic Portfolio Selection: Multiperiod MeanâVariance Formulation. (2000). Ng, Wan-Lung ; Li, Duan. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers \|\| Download paper	46
8	2019	Mean field and nâagent games for optimal investment under relative performance criteria. (2019). Zariphopoulou, Thaleia ; Lacker, Daniel. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:4:p:1003-1038. Full description at Econpapers \|\| Download paper	44
9	1994	MODELING 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	43
10	2015	OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS. (2015). Touzi, Nizar ; Espinosa, Gilles-Edouard . In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:2:p:221-257. Full description at Econpapers \|\| Download paper	41
11	1991	Universal 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	35
12	2007	AN OLDâNEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Teboulle, Marc ; Ben-Tal, Aharon. In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers \|\| Download paper	34
13	1996	A YIELDâFACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406. Full description at Econpapers \|\| Download paper	32
14	2014	MEANâVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Yu, Xun ; Bjork, Tomas ; Murgoci, Agatha. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers \|\| Download paper	31
15	1997	Arbitrage 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. Full description at Econpapers \|\| Download paper	29
16	2008	BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Zhou, Xunyu ; Jin, Hanqing. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers \|\| Download paper	29
17	2017	THE 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. Full description at Econpapers \|\| Download paper	27
18	2023	Recent advances in reinforcement learning in finance. (2023). Xu, Renyuan ; Yang, Huining ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503. Full description at Econpapers \|\| Download paper	27
19	2016	A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Schachermayer, W ; Beiglbock, M ; Penkner, F ; Acciaio, B. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:233-251. Full description at Econpapers \|\| Download paper	25
20	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃ¨s ; Schachermayer, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292. Full description at Econpapers \|\| Download paper	25
21	2020	Network valuation in financial systems. (2020). Barucca, Paolo ; D'Errico, Marco ; Bardoscia, Marco ; Caldarelli, Guido ; Visentin, Gabriele ; Caccioli, Fabio ; Battiston, Stefano. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1181-1204. Full description at Econpapers \|\| Download paper	25
22	2016	RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Cont, Rama ; Amini, Hamed ; Minca, Andreea. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365. Full description at Econpapers \|\| Download paper	22
23	2006	MODEL 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	21
24	2002	Monte 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	21
25	2020	Meanâfield games with differing beliefs for algorithmic trading. (2020). Jaimungal, Sebastian ; Casgrain, Philippe. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:995-1034. Full description at Econpapers \|\| Download paper	19
26	1997	The Market Model of Interest Rate Dynamics. (1997). Musiela, Marek ; Dariusz G¸atarek, ; Brace, Alan. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155. Full description at Econpapers \|\| Download paper	19
27	2020	Computational aspects of robust optimized certainty equivalents and option pricing. (2020). Drapeau, Samuel ; Tangpi, Ludovic ; Bartl, Daniel. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:287-309. Full description at Econpapers \|\| Download paper	19
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29	2006	DISTRIBUTIONâINVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY. (2006). Weber, Stefan. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441. Full description at Econpapers \|\| Download paper	19
30	2000	Pricing Via Utility Maximization and Entropy. (2000). Rouge, Richard ; el Karoui, Nicole. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276. Full description at Econpapers \|\| Download paper	19
31	2020	Continuousâtime meanâvariance portfolio selection: A reinforcement learning framework. (2020). Yu, Xun ; Wang, Haoran. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1273-1308. Full description at Econpapers \|\| Download paper	18
32	2004	Nonparametric 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. Full description at Econpapers \|\| Download paper	18
33	2008	OPTIMAL PORTFOLIO, CONSUMPTIONâLEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY. (2008). Shin, Yong Hyun ; Choi, Kyoung Jin ; Shim, Gyoocheol. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:445-472. Full description at Econpapers \|\| Download paper	17
34	2005	ON THE AMERICAN OPTION PROBLEM. (2005). Peskir, Goran. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:169-181. Full description at Econpapers \|\| Download paper	17
35	1998	Complete Models with Stochastic Volatility. (1998). Rogers, Leonard ; L. C. G. Rogers, ; Hobson, David G.. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48. Full description at Econpapers \|\| Download paper	16
36	2020	A regularity structure for rough volatility. (2020). Friz, Peter K ; Gassiat, Paul ; Martin, Jorg ; Bayer, Christian ; Stemper, Benjamin. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:782-832. Full description at Econpapers \|\| Download paper	16
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38	2018	ROBUST UTILITY MAXIMIZATION WITH LÃâ°VY PROCESSES. (2018). Nutz, Marcel ; Neufeld, Ariel. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:1:p:82-105. Full description at Econpapers \|\| Download paper	15
39	2019	Optimal trade execution in order books with stochastic liquidity. (2019). Schoneborn, Torsten ; Urusov, Mikhail ; Fruth, Antje. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:507-541. Full description at Econpapers \|\| Download paper	15
40	2005	AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437. Full description at Econpapers \|\| Download paper	15
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42	2008	GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Dai, Min ; Kwok, Yue Kuen ; Zong, Jianping . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611. Full description at Econpapers \|\| Download paper	15
43	2023	Algorithmic market making in dealer markets with hedging and market impact. (2023). GuÃ©ant, Olivier ; Bergault, Philippe ; Gueant, Olivier ; Barzykin, Alexander. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:41-79. Full description at Econpapers \|\| Download paper	15
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Citing documents used to compute impact factor: 63

Year	Title
2024	A Mean Field Game approach for pollution regulation of competitive firms. (2024). Leocata, Marta ; Livieri, Giulia ; del Sarto, Gianmarco. In: Papers. RePEc:arx:papers:2407.12754. Full description at Econpapers \|\| Download paper
2024	Unwinding Toxic Flow with Partial Information. (2024). Boyce, Robert ; Neuman, Eyal ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2407.04510. Full description at Econpapers \|\| Download paper
2024	A Mean-Field Game of Market Entry. (2024). Horst, Ulrich ; Hager, Paul ; Fu, Guanxing. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:517. Full description at Econpapers \|\| Download paper
2024	Robo-advising: Optimal investment with mismeasured and unstable risk preferences. (2024). Keffert, Henk. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:378-392. Full description at Econpapers \|\| Download paper
2024	Robust decisions for heterogeneous agents via certainty equivalents. (2024). Schweizer, Nikolaus ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:317:y:2024:i:1:p:171-184. Full description at Econpapers \|\| Download paper
2024	Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time. (2024). Havrylenko, Yevhen ; Desmettre, Sascha ; Steffensen, Mogens ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2407.16525. Full description at Econpapers \|\| Download paper
2024	Solving Maxmin Optimization Problems via Population Games. (2024). Schumacher, Johannes ; Schweizer, Nikolaus ; Balter, Anne G. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:201:y:2024:i:2:d:10.1007_s10957-024-02415-4. Full description at Econpapers \|\| Download paper
2024	Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures. (2024). Chong, Wing Fung ; Zhu, Michael B ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2409.05103. Full description at Econpapers \|\| Download paper
2024	Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376. Full description at Econpapers \|\| Download paper
2024	Exact simulation of the Hull and White stochastic volatility model. (2024). Brignone, Riccardo ; Gonzato, Luca. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000538. Full description at Econpapers \|\| Download paper
2024	Uncertainty Propagation and Dynamic Robust Risk Measures. (2024). Pesenti, Silvana ; Moresco, Marlon ; Mailhot, M'Elina. In: Papers. RePEc:arx:papers:2308.12856. Full description at Econpapers \|\| Download paper
2024	Reinforcement Learning for Financial Index Tracking. (2024). He, Xuedong ; Peng, Xianhua ; Gong, Chenyin. In: Papers. RePEc:arx:papers:2308.02820. Full description at Econpapers \|\| Download paper
2024	Curriculum Learning and Imitation Learning for Model-free Control on Financial Time-series. (2024). Jang, Yuntae ; Koh, Woosung ; Kim, Woo Chang ; Choi, Insu ; Kang, Gimin. In: Papers. RePEc:arx:papers:2311.13326. Full description at Econpapers \|\| Download paper
2024	Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market. (2024). Li, Lingfei ; Wu, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001938. Full description at Econpapers \|\| Download paper
2024	Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy. (2024). Nakagawa, Kei ; Horikawa, Hiroaki. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001314. Full description at Econpapers \|\| Download paper
2024	Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2406.11886. Full description at Econpapers \|\| Download paper
2024	Is the difference between deep hedging and delta hedging a statistical arbitrage?. (2024). Franccois, Pascal ; Gauthier, Genevieve ; Fr'ed'eric Godin, ; Octavio, Carlos. In: Papers. RePEc:arx:papers:2407.14736. Full description at Econpapers \|\| Download paper
2024	Reinforcement Learning in High-frequency Market Making. (2024). Ding, Zihan ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.21025. Full description at Econpapers \|\| Download paper
2024	Fast Deep Hedging with Second-Order Optimization. (2024). Wood, Ben ; Gonon, Lukas ; Akkari, Amira ; Mueller, Konrad. In: Papers. RePEc:arx:papers:2410.22568. Full description at Econpapers \|\| Download paper
2024	Integrating Deep Learning and Reinforcement Learning for Enhanced Financial Risk Forecasting in Supply Chain Management. (2024). Yao, Fengtong ; Cui, Yuanfei. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:15:y:2024:i:4:d:10.1007_s13132-024-01946-5. Full description at Econpapers \|\| Download paper
2024	Markov decision processes with risk-sensitive criteria: an overview. (2024). Jakiewicz, Anna ; Buerle, Nicole. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:99:y:2024:i:1:d:10.1007_s00186-024-00857-0. Full description at Econpapers \|\| Download paper
2024	The impact of guarantee network on the risk of corporate stock price crash: Discussing the moderating effect of internal control quality. (2024). Weng, Yudong ; Wang, Ziqi ; Yu, Hongxiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pc:s1059056024007202. Full description at Econpapers \|\| Download paper
2024	Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. (2024). Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2302.07758. Full description at Econpapers \|\| Download paper
2024	Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029. Full description at Econpapers \|\| Download paper
2024	Price impact and long-term profitability of energy storage. (2024). Tankov, Peter ; Silvente, Redouane ; Dumitrescu, Roxana. In: Papers. RePEc:arx:papers:2410.12495. Full description at Econpapers \|\| Download paper
2024	Battery valuation on electricity intraday markets with liquidity costs. (2024). Warin, Xavier ; Deschatre, Thomas ; Cogn, Enzo. In: Papers. RePEc:arx:papers:2412.15959. Full description at Econpapers \|\| Download paper
2024	Optimal Investment with Costly Expert Opinions. (2024). Zhang, Yufei ; Merkel, Alexander ; Knochenhauer, Christoph. In: Papers. RePEc:arx:papers:2409.11569. Full description at Econpapers \|\| Download paper
2024	Cost-efficient payoffs under model ambiguity. (2024). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00547-z. Full description at Econpapers \|\| Download paper
2024	Zero-sum stopper vs. singular-controller games with constrained control directions. (2024). de Angelis, Tiziano ; Palczewski, Jan ; Bovo, Andrea. In: Papers. RePEc:arx:papers:2306.05113. Full description at Econpapers \|\| Download paper
2024	An Explicit Scheme for Pathwise XVA Computations. (2024). Cr, St'Ephane ; Abbas-Turki, Lokman ; Saadeddine, Bouazza ; Li, Botao. In: Papers. RePEc:arx:papers:2401.13314. Full description at Econpapers \|\| Download paper
2024	CVA Sensitivities, Hedging and Risk. (2024). Cr, St'Ephane ; Nguyen, Hoang ; Saadeddine, Bouazza ; Li, Botao. In: Papers. RePEc:arx:papers:2407.18583. Full description at Econpapers \|\| Download paper
2024	Option pricing in the Heston model with Physics inspired neural networks. (2024). Hainaut, Donatien ; Casas, Alex. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024002. Full description at Econpapers \|\| Download paper
2024	Option pricing in the Heston model with physics inspired neural networks. (2024). Casas, Alex ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:3:d:10.1007_s10436-024-00452-7. Full description at Econpapers \|\| Download paper
2024	Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2024). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784. Full description at Econpapers \|\| Download paper
2024	Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts. (2024). Wiedermann, Kristof ; Gerhold, Stefan ; Friesen, Martin. In: Papers. RePEc:arx:papers:2412.15971. Full description at Econpapers \|\| Download paper
2024	Deep reinforcement learning for portfolio selection. (2024). Atwi, Majed ; Olmo, Jose ; Jiang, Yifu. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000887. Full description at Econpapers \|\| Download paper
2024	Asset Pricing and Portfolio Investment Management Using Machine Learning: Research Trend Analysis Using Scientometrics. (2024). Ting, LI ; Heng, XU ; Chen, Chen ; Chao, Meng. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:18:y:2024:i:1:p:20:n:1033. Full description at Econpapers \|\| Download paper
2024	Computing the SSR. (2024). Friz, Peter K ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2406.16131. Full description at Econpapers \|\| Download paper
2024	Arbitrage opportunities and efficiency tests in crypto derivatives. (2024). Chen, XI ; Alexander, Carol ; Wang, Tianyi ; Deng, Jun. In: Journal of Financial Markets. RePEc:eee:finmar:v:71:y:2024:i:c:s138641812400048x. Full description at Econpapers \|\| Download paper
2024	An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans. (2024). Luu, Duc Thi ; Le, Nhat-Tan ; Nguyen, Minh-Quan ; Nguyen-An, Khuong. In: Papers. RePEc:arx:papers:2407.14728. Full description at Econpapers \|\| Download paper
2024	The Measure Preserving Martingale Sinkhorn Algorithm. (2024). Loeper, Gregoire. In: Papers. RePEc:arx:papers:2310.13797. Full description at Econpapers \|\| Download paper
2024	The mean-variance portfolio selection based on the average and current profitability of the risky asset. (2024). Li, YU ; Wu, Yuhan ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2408.07969. Full description at Econpapers \|\| Download paper
2024	Spanning Multi-Asset Payoffs With ReLUs. (2024). Cr, St'Ephane ; Bossu, S'Ebastien ; Nguyen, Hoang-Dung. In: Papers. RePEc:arx:papers:2403.14231. Full description at Econpapers \|\| Download paper
2024	Asymptotically efficient estimation of Ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations. (2024). Chiba, Kohei ; Takabatake, Tetsuya. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:27:y:2024:i:1:d:10.1007_s11203-023-09300-3. Full description at Econpapers \|\| Download paper
2024	Rough Volatility: Fact or Artefact?. (2024). Cont, Rama ; Das, Purba. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:86:y:2024:i:1:d:10.1007_s13571-024-00322-2. Full description at Econpapers \|\| Download paper
2024	On the spectral density of fractional OrnsteinâUhlenbeck processes. (2024). Yu, Jun ; Zhang, Chen ; Shi, Shuping. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002173. Full description at Econpapers \|\| Download paper
2024	Self-exciting price impact via negative resilience in stochastic order books. (2024). Ackermann, Julia ; Urusov, Mikhail ; Kruse, Thomas. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04973-0. Full description at Econpapers \|\| Download paper
2024	Robustness of Hilbert space-valued stochastic volatility models. (2024). Benth, Fred Espen ; Eyjolfsson, Heidar. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00542-4. Full description at Econpapers \|\| Download paper
2024	Stationary covariance regime for affine stochastic covariance models in Hilbert spaces. (2024). Friesen, Martin ; Karbach, Sven. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00543-3. Full description at Econpapers \|\| Download paper
2024	Joint Calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Cheng, Xue ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2404.16295. Full description at Econpapers \|\| Download paper
2024	Mean field equilibrium asset pricing model with habit formation. (2024). Sekine, Masashi ; Fujii, Masaaki. In: Papers. RePEc:arx:papers:2406.02155. Full description at Econpapers \|\| Download paper
2024	Nash equilibria in greenhouse gas offset credit markets. (2024). Jaimungal, Sebastian ; Welsh, Liam. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000382. Full description at Econpapers \|\| Download paper
2024	Optimal liquidation with high risk aversion and small linear price impact. (2024). Dolinsky, Yan ; Dolinskyi, Leonid. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-024-00435-3. Full description at Econpapers \|\| Download paper
2024	Price spread prediction in high-frequency pairs trading using deep learning architectures. (2024). Cheng, Li-Chen ; Liu, Yun-Ti ; Liou, Jyh-Hwa. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924007257. Full description at Econpapers \|\| Download paper
2024	Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks. (2024). Pokojovy, Michael ; Kopeliovich, Yaacov. In: Papers. RePEc:arx:papers:2411.09899. Full description at Econpapers \|\| Download paper
2024	Portfolio optimization with feedback strategies based on artificial neural networks. (2024). Kopeliovich, Yaacov ; Pokojovy, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012145. Full description at Econpapers \|\| Download paper
2024	Backtesting Framework for Concentrated Liquidity Market Makers on Uniswap V3 Decentralized Exchange. (2024). Yanovich, Yury ; Berezovskiy, Rostislav ; Urusov, Andrey. In: Papers. RePEc:arx:papers:2410.09983. Full description at Econpapers \|\| Download paper
2024	Automated Market Making: the case of Pegged Assets. (2024). Guilbert, Julien ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2411.08145. Full description at Econpapers \|\| Download paper
2024	Understanding the worst-kept secret of high-frequency trading. (2024). Pulido, Sergio ; Rosenbaum, Mathieu ; Sfendourakis, Emmanouil. In: Papers. RePEc:arx:papers:2307.15599. Full description at Econpapers \|\| Download paper
2024	Liquidity Dynamics in RFQ Markets and Impact on Pricing. (2024). Bergault, Philippe ; Gu, Olivier. In: Papers. RePEc:arx:papers:2309.04216. Full description at Econpapers \|\| Download paper
2024	A Mean Field Game between Informed Traders and a Broker. (2024). Bergault, Philippe. In: Papers. RePEc:arx:papers:2401.05257. Full description at Econpapers \|\| Download paper
2024	Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity. (2024). Bergault, Philippe ; Gu, Olivier ; Bertucci, Louis ; Guilbert, Julien ; Bouba, David. In: Papers. RePEc:arx:papers:2405.03496. Full description at Econpapers \|\| Download paper
2024	Automated Market Making and Decentralized Finance. (2024). Monga, Marcello. In: Papers. RePEc:arx:papers:2407.16885. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2024

Year	Citing document
2024	Sequential optimal contracting in continuous time. (2024). Bayraktar, Erhan ; Huang, Liwei ; Alvarez, Guillermo Alonso ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:2411.04262. Full description at Econpapers \|\| Download paper
2024	Neural Operators Can Play Dynamic Stackelberg Games. (2024). Yang, Xuwei ; Kratsios, Anastasis ; Ekren, Ibrahim ; Alvarez, Guillermo. In: Papers. RePEc:arx:papers:2411.09644. Full description at Econpapers \|\| Download paper
2024	Handling model risk with XVAs. (2024). Crpey, Stphane ; Bnzet, Cyril. In: Post-Print. RePEc:hal:journl:hal-03675291. Full description at Econpapers \|\| Download paper

Recent citations received in 2023

Year	Citing document
2023	Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers \|\| Download paper
2023	Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning. (2023). Shi, Yun ; Li, Xun ; Cui, Xiangyu ; Zhao, SI. In: Papers. RePEc:arx:papers:2312.15385. Full description at Econpapers \|\| Download paper
2023	Closedâloop Nash competition for liquidity. (2023). Neuman, Eyal ; Muhlekarbe, Johannes ; Micheli, Alessandro. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:4:p:1082-1118. Full description at Econpapers \|\| Download paper
2023	Climate 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. Full description at Econpapers \|\| Download paper
2023	Multivariate stress scenario selection in interbank networks. (2023). Kim, Kyoung-Kuk ; Kwon, Eunji ; Ahn, Dohyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001185. Full description at Econpapers \|\| Download paper
2023	Deep Reinforcement Learning for Dynamic Stock Option Hedging: A Review. (2023). Lawryshyn, Yuri ; Pickard, Reilly. In: Mathematics. RePEc:gam:jmathe:v:11:y:2023:i:24:p:4943-:d:1299173. Full description at Econpapers \|\| Download paper
2023	New 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. Full description at Econpapers \|\| Download paper
2023	Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-04119787. Full description at Econpapers \|\| Download paper
2023	Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Wang, Wei ; Xu, Huifu. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x. Full description at Econpapers \|\| Download paper
2023	Optimal stopping and impulse control in the presence of an anticipated regime switch. (2023). , Luis ; Sillanp, Wiljami. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:98:y:2023:i:2:d:10.1007_s00186-023-00838-9. Full description at Econpapers \|\| Download paper
2023	A transform-based method for pricing Asian options under general two-dimensional models. (2023). Zhang, Weinan ; Zeng, Pingping. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:11:p:1677-1697. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	Robust control problems of BSDEs coupled with value functions. (2022). Yang, Zhou ; Zhang, Jing ; Zhou, Chao. In: Papers. RePEc:arx:papers:2208.10735. Full description at Econpapers \|\| Download paper
2022	Robustness of Hilbert space-valued stochastic volatility models. (2022). Eyjolfsson, Heidar ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2211.16071. Full description at Econpapers \|\| Download paper
2022	Designing Autonomous Markets for Stablecoin Monetary Policy. (2022). Schuldenzucker, Steffen ; Klages-Mundt, Ariah. In: Papers. RePEc:arx:papers:2212.12398. Full description at Econpapers \|\| Download paper
2022	Optimal 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. Full description at Econpapers \|\| Download paper
2022	On stock-based loans. (2022). McWalter, Thomas A ; Ritchken, Peter H. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:52:y:2022:i:c:s1042957322000444. Full description at Econpapers \|\| Download paper
2022	The 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. Full description at Econpapers \|\| Download paper
2022	Optimal Control of Diffusion Processes with Terminal Constraint in Law. (2022). Daudin, Samuel. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:195:y:2022:i:1:d:10.1007_s10957-022-02053-8. Full description at Econpapers \|\| Download paper
2022	A two-player portfolio tracking game. (2022). Voss, Moritz. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:16:y:2022:i:4:d:10.1007_s11579-022-00324-6. Full description at Econpapers \|\| Download paper
2022	Signal-to-noise matrix and model reduction in continuous-time hidden Markov models. (2022). Ruderer, Leonie ; Sass, Jorn ; Leoff, Elisabeth. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:95:y:2022:i:2:d:10.1007_s00186-022-00784-y. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation. (2021). Yu, Xun ; He, Xuedong. In: Papers. RePEc:arx:papers:2105.01829. Full description at Econpapers \|\| Download paper
2021	Risk measures induced by efficient insurance contracts. (2021). Wang, Ruodu ; Zitikis, Ricardas. In: Papers. RePEc:arx:papers:2109.00314. Full description at Econpapers \|\| Download paper
2021	Proper solutions for Epstein-Zin Stochastic Differential Utility. (2021). Herdegen, Martin ; Jerome, Joseph ; Hobson, David. In: Papers. RePEc:arx:papers:2112.06708. Full description at Econpapers \|\| Download paper
2021	Consistent investment of sophisticated rankâdependent utility agents in continuous time. (2021). Hu, Ying ; Yu, Xun ; Jin, Hanqing. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:1056-1095. Full description at Econpapers \|\| Download paper
2021	Optimal stopping under model ambiguity: A timeâconsistent equilibrium approach. (2021). Huang, Yujui ; Yu, Xiang. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:979-1012. Full description at Econpapers \|\| Download paper
2021	In memoriam: Mark H. A. Davis and his contributions to mathematical finance. (2021). Zariphopoulou, Thaleia ; Oboj, Jan. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1099-1110. Full description at Econpapers \|\| Download paper
2021	Optimal reinsurance under the Î±-maxmin mean-variance criterion. (2021). Zhang, Liming ; Li, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:225-239. Full description at Econpapers \|\| Download paper
2021	A refined measure of conditional maximum drawdown. (2021). lo Cascio, Silvestro ; Rossello, Damiano. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:4:d:10.1057_s41283-021-00081-8. Full description at Econpapers \|\| Download paper
2021	CBI-time-changed LÃ©vy processes for multi-currency modeling. (2021). Gnoatto, Alessandro ; Szulda, Guillaume ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:14/2021. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	95	2853
2	Mathematical Finance / Wiley Blackwell	72	278
3	Insurance: Mathematics and Economics / Elsevier	58	260
4	European Journal of Operational Research / Elsevier	138	260
5	Finance and Stochastics / Springer	58	253
6	Mathematics / MDPI	18	241
7	Annals of Operations Research / Springer	53	151
8	Stochastic Processes and their Applications / Elsevier	49	143
9	Post-Print / HAL	216	108
10	Computational Economics / Springer	33	107
11	The North American Journal of Economics and Finance / Elsevier	52	97