Citation analysis for Monte Carlo Methods and Applications / De Gruyter

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

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	40		1	17		17			0		0	0.11
1997	0.06	0.24	0.04	0.06	17	52	16	2	3	35	2	35	2	2	100		0	0.11
1998	0.09	0.27	0.08	0.08	19	71	7	6	9	35	3	52	4	2	33.3	1	0.05	0.13
1999	0.03	0.29	0.05	0.01	16	87	11	4	13	36	1	71	1		0	1	0.06	0.14
2000	0	0.34	0.06	0.06	19	106	3	6	19	35		87	5	5	83.3		0	0.16
2001	0.03	0.38	0.08	0.09	39	145	11	11	30	35	1	89	8	7	63.6		0	0.17
2002	0.02	0.39	0.04	0.05	23	168	25	7	37	58	1	110	5	6	85.7		0	0.2
2003	0.08	0.43	0.07	0.04	22	190	28	14	51	62	5	116	5	5	35.7	1	0.05	0.21
2004	0.02	0.47	0.03	0.03	54	244	21	7	58	45	1	119	3	1	14.3		0	0.21
2005	0.04	0.5	0.03	0.03	15	259	48	8	66	76	3	157	4	6	75		0	0.23
2006	0.04	0.49	0.05	0.05	23	282	39	14	80	69	3	153	8	3	21.4	1	0.04	0.22
2007	0.16	0.44	0.06	0.08	17	299	4	17	97	38	6	137	11	4	23.5		0	0.2
2008	0.08	0.47	0.05	0.04	23	322	4	17	114	40	3	131	5	10	58.8		0	0.22
2009	0.03	0.46	0.05	0.06	18	340	26	17	131	40	1	132	8	6	35.3		0	0.23
2010	0.05	0.46	0.04	0.05	21	361	6	13	144	41	2	96	5	3	23.1		0	0.2
2011	0.03	0.51	0.02	0.03	17	378	16	8	152	39	1	102	3	1	12.5		0	0.24
2012	0.05	0.5	0.06	0.05	15	393	13	25	177	38	2	96	5	5	20		0	0.21
2013	0.06	0.54	0.07	0.05	15	408	0	27	204	32	2	94	5	3	11.1		0	0.24
2014	0.1	0.53	0.04	0.06	19	427	9	15	219	30	3	86	5	3	20		0	0.22
2015	0.12	0.53	0.06	0.09	23	450	3	25	244	34	4	87	8	7	28		0	0.22
2016	0.05	0.5	0.03	0.04	20	470	2	15	259	42	2	89	4	3	20		0	0.2
2017	0.02	0.52	0.02	0.01	21	491	2	11	270	43	1	92	1	3	27.3		0	0.21
2018	0.02	0.53	0.03	0.01	25	516	3	15	285	41	1	98	1	5	33.3		0	0.22
2019	0.02	0.54	0.03	0.02	26	542	3	14	299	46	1	108	2	3	21.4		0	0.21
2020	0.08	0.64	0.05	0.05	24	566	1	27	326	51	4	115	6	4	14.8		0	0.3
2021	0.04	0.74	0.02	0.03	22	588	0	14	340	50	2	116	4		0		0	0.27
2022	0	0.74	0.01	0	27	615	0	8	348	46		118			0		0	0.22
2023	0	0.7	0.01	0.01	19	634	0	8	356	49		124	1		0		0	0.2
2024	0	0.82	0.02	0.01	31	665	0	16	372	46		118	1	1	6.3		0	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	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 ; Henri, Schurz ; Christian, Kahl . 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	2003	Optimal quadratic quantization for numerics: the Gaussian case. (2003). Jacques, PRINTEMS ; Gilles, Pages. 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	17
4	1996	Stochastic algorithms for solving Smolouchovsky coagulation equation and applications to aerosol growth simulation.. (1996). Sabelfeld K. K., ; Rogasinsky S. V., ; Levykin A. I., ; Kolodko A. A., . 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	15
5	2009	Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. (2009). Pages G., ; Frikha N., ; Bardou O., . 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	13
6	1996	The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density. (1996). Denis, TALAY ; Vlad, Bally . 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
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	2004	Upper Bounds for Bermudan Style Derivatives. (2004). Schoenmakers J., ; Kolodko A., . 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
9	2002	Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps. (2002). Platen, Eckhard ; Eckhard, Platen ; Kestutis, Kubilius . 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	10
10	2012	The identification of price jumps. (2012). KoÄenda, EvÅ¾en ; 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
11	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
12	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
13	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
14	2006	Stratified sampling and quasi-Monte Carlo simulation of LÃ©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	7
15	1997	Stochastic Lagrangian Models for Two-Particle Motion in Turbulent Flows. Numerical Results. (1997). Sabelfeld K., ; Kurbanmuradov O., ; Koluhin D., . 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 ; Eckhard, Platen ; Paul, Fischer . 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	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
18	2005	Functional quantization for numerics with an application to option pricing. (2005). Jacques, PRINTEMS ; Gilles, Pages. 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	5
19	1995	Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres. (1995). TALAY D., ; Sabelfeld K. K., . 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	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
21	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
22	2005	Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. (2005). Antonino, Zanette ; Lucia, Caramellino ; Vlad, Bally . 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	5
23	2002	Minimal Entropy Approximations and Optimal Algorithms. (2002). Terry, Lyons ; Dan, Crisan. 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	5
24	2005	Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. (2005). Afef, Sellami ; Wolfgang, Runggaldier ; Huyen, Pham. 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
25	1996	Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences. (1996). Tichy Robert F., ; SobolÃ¢â¬â¢ Ilya M., ; Igor, Radovi . 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
26	2001	A stochastic quantization method for nonlinear problems. (2001). Jacques, PRINTEMS ; Gilles, Pages ; Vlad, Bally . 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	4
27	2012	Stochastic approximation with averaging innovation applied to Finance. (2012). Gilles, Pages ; Sophie, Laruelle . 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	4
28	2003	A Lagrangian Stochastic Model for the Transport in Statistically Homogeneous Porous Media. (2003). Vereecken H., ; Smidts O. F., ; Sabelfeld K., ; Kurbanmuradov O., . 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
29	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
30	2002	Simulation of ruin probabilities for risk processes of Markovian type. (2002). Josef, Kantor ; Hansjorg, Albrecher. 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
31	2014	A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. (2014). Huyen, Pham ; Nicolas, Langrene ; Idris, Kharroubi. 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
32	2003	Stochastic particle methods for Smoluchowski coagulation equation: variance reduction and error estimations. (2003). Sabelfeld K., ; Kolodko A., . 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
33	2006	First Order Strong Approximations of Jump Diffusions. (2006). Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina ; Eckhard, Platen ; Christina, Nikitopoulos-Sklibosios ; Nicola, Bruti-Liberati . 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	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
35	2004	Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations. (2004). Zherelo A. V., ; Egorov A. D., . 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). Sabelfeld K., ; Kurbanmuradov O., . 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	2006	An importance sampling method based on the density transformation of LÃ©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
38	2002	Edgeworth type expansions for Euler schemes for stochastic differential equations.. (2002). Enno, Mammen ; Valentin, Konakov . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:3:p:271-286:n:3. Full description at Econpapers \|\| Download paper	2
39	2018	Pricing barrier options in the Heston model using the HeathâPlaten estimator. (2018). Ralf, Korn ; Sema, Coskun. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:24:y:2018:i:1:p:29-41:n:4. Full description at Econpapers \|\| Download paper	2
40	2016	NinomiyaâVictoir scheme: Strong convergence, antithetic version and application to multilevel estimators. (2016). Benjamin, Jourdain ; Emmanuelle, Clement ; Gerbi, AL. 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
41	1998	Low discrepancy sequences generated by piecewise linear Maps. (1998). Makoto, Mori . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:4:y:1998:i:2:p:141-162:n:4. Full description at Econpapers \|\| Download paper	2
42	2009	On the simulation of Markov chain steady-state distribution using CFTP algorithm. (2009). Nasroallah A., ; Fakhouri H., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:2:p:91-105:n:1. Full description at Econpapers \|\| Download paper	2
43	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
44	2007	Mixed initial-boundary value problem in particle modeling of microelectronic devices. (2007). Vasileska D., ; Nedjalkov M., ; Dimov I., ; Arsov G., . 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
45	2009	A central limit theorem for the functional estimation of the spot volatility. (2009). Shigeyoshi, Ogawa ; Hoang-Long, Ngo . 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
46	2003	Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model. (2003). . 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
47	2000	Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation. (2000). Saisho Y., ; Kanagawa S., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:6:y:2000:i:2:p:105-114:n:1. Full description at Econpapers \|\| Download paper	2
48	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
49	2009	Multiple stochastic volatility extension of the Libor market model and its implementation. (2009). John, Schoenmakers ; Stanley, Mathew ; Denis, Belomestny . 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
50	2003	Arithmetic average options in the hyperbolic model. (2003). Tichy Robert F., ; Martin, Predota ; Gerhard, Larcher . 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 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2003	Optimal quadratic quantization for numerics: the Gaussian case. (2003). Jacques, PRINTEMS ; Gilles, Pages. 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	5
2	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	4
3	2005	Functional quantization for numerics with an application to option pricing. (2005). Jacques, PRINTEMS ; Gilles, Pages. 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
4	2012	Stochastic approximation with averaging innovation applied to Finance. (2012). Gilles, Pages ; Sophie, Laruelle . 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	2
5	2009	Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. (2009). Pages G., ; Frikha N., ; Bardou O., . 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	2
6	2015	Simulating from the Heston model: A gamma approximation scheme. (2015). Patrice, Gaillardetz ; Jean-Franois, Begin ; Mylene, Bedard . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:21:y:2015:i:3:p:205-231:n:5. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor:

Year	Title

Recent citations

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	95	26
2	Post-Print / HAL	216	8
3	Mathematics and Computers in Simulation (MATCOM) / Elsevier	27	5
4	Monte Carlo Methods and Applications / De Gruyter	10	5
5	Risks / MDPI	20	4
6	Stochastic Processes and their Applications / Elsevier	49	3
7	Mathematics / MDPI	18	3
8	TSE Working Papers / Toulouse School of Economics (TSE)	29	3
9	Physica A: Statistical Mechanics and its Applications / Elsevier	76	3
10	Working Papers / HAL	62	2
11	Management Research and Practice / Research Centre in Public Administration and Public Services, Bucharest, Romania	7	2