Citation analysis for Finance and Stochastics / Springer

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

5 Years H Index

Impact Factor (IF)

1.05

5 Years IF

1.12

Data available in this report

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

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1996	0	0.25	0.75	0	4	4	77		4	0		0			0		0	0.11
1997	0	0.24	0.6	0	16	20	702	12	16	4		4		5	41.7	12	0.75	0.11
1998	0.65	0.27	0.39	0.65	21	41	679	16	32	20	13	20	13		0	2	0.1	0.13
1999	0.59	0.29	0.48	0.56	25	66	620	30	64	37	22	41	23		0	3	0.12	0.14
2000	0.41	0.34	0.61	0.58	17	83	438	50	115	46	19	66	38	4	8	2	0.12	0.16
2001	0.64	0.38	0.71	0.57	29	112	929	78	194	42	27	83	47	1	1.3	5	0.17	0.17
2002	0.54	0.39	0.64	0.64	38	150	1308	96	290	46	25	108	69	7	7.3	5	0.13	0.2
2004	0.92	0.47	0.94	0.87	29	179	886	169	604	38	35	109	95		0	9	0.31	0.21
2005	0.55	0.5	1.18	0.96	32	211	1015	248	852	29	16	113	108	5	2	13	0.41	0.23
2006	1.16	0.49	1.15	1.06	35	246	724	282	1134	61	71	128	136	16	5.7	7	0.2	0.22
2007	0.76	0.44	1.06	0.79	27	273	828	290	1424	67	51	134	106	23	7.9	11	0.41	0.2
2008	0.52	0.47	1.11	0.77	24	297	438	327	1755	62	32	123	95	12	3.7	11	0.46	0.22
2009	1.06	0.46	1.28	0.9	23	320	429	407	2165	51	54	147	133	15	3.7	11	0.48	0.23
2010	0.87	0.46	1.32	1	24	344	415	454	2620	47	41	141	141	32	7	10	0.42	0.2
2011	0.89	0.51	1.29	0.85	29	373	561	476	3100	47	42	133	113	43	9	14	0.48	0.24
2012	0.83	0.5	1.26	0.87	30	403	503	506	3608	53	44	127	111	54	10.7	9	0.3	0.21
2013	1.08	0.54	1.46	1.01	31	434	531	631	4240	59	64	130	131	45	7.1	14	0.45	0.24
2014	0.89	0.53	1.52	1.01	31	465	524	706	4946	61	54	137	138	67	9.5	21	0.68	0.22
2015	1.13	0.53	1.6	1.12	31	496	379	792	5739	62	70	145	162	74	9.3	11	0.35	0.22
2016	1.29	0.5	1.74	1.14	34	530	336	920	6660	62	80	152	174	72	7.8	14	0.41	0.2
2017	1	0.52	1.67	1.15	33	563	492	941	7601	65	65	157	181	89	9.5	12	0.36	0.21
2018	1.19	0.53	1.54	1.03	31	594	436	913	8514	67	80	160	165	96	10.5	14	0.45	0.22
2019	1.58	0.54	1.45	1.21	30	624	276	905	9419	64	101	160	194	62	6.9	12	0.4	0.21
2020	1.36	0.64	1.49	1.28	30	654	211	975	10394	61	83	159	203	70	7.2	17	0.57	0.3
2021	1.28	0.74	1.47	1.41	25	679	120	1000	11394	60	77	158	223	69	6.9	11	0.44	0.27
2022	1	0.74	1.25	1.3	27	706	81	881	12275	55	55	149	194	72	8.2	12	0.44	0.22
2023	0.81	0.7	1.18	1.13	29	735	67	869	13144	52	42	143	161	63	7.2	12	0.41	0.2
2024	1.05	0.82	1.2	1.12	29	764	35	913	14057	56	59	141	158	78	8.5	14	0.48	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	2002	Convex 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	549
2	2006	Generalized 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	227
3	1997	*LIBOR 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	216
4	2005	Conditional 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. Full description at Econpapers \|\| Download paper	172
5	1998	Robust 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	170
6	2007	The numÃ©raire 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	169
7	1997	*From 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*. Full description at Econpapers \|\| Download paper	165
8	2013	Model-independent bounds for option pricesâa 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	162
9	2005	Inf-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	159
10	2004	Liquidity 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. Full description at Econpapers \|\| Download paper	149
11	2007	On 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	143
12	1999	Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers \|\| Download paper	140
13	1999	Hedging and liquidation under transaction costs in currency markets. (1999). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; KABANOV, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248. Full description at Econpapers \|\| Download paper	135
14	2005	Local 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	132
15	2007	Moment 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. Full description at Econpapers \|\| Download paper	130
16	2001	A 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	129
17	2002	Fourier 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. Full description at Econpapers \|\| Download paper	124
18	2004	Vector-valued coherent risk measures. (2004). Jouini, ElyÃ¨s ; Touzi, Nizar ; Meddeb, Moncef. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552. Full description at Econpapers \|\| Download paper	116
19	2017	On time-inconsistent stochastic control in continuous time. (2017). Bjork, Tomas ; Khapko, Mariana ; Murgoci, Agatha. 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	113
20	2002	An 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. Full description at Econpapers \|\| Download paper	104
21	2006	A jump to default extended CEV model: an application of Bessel processes. (2006). Linetsky, Vadim ; Carr, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330. Full description at Econpapers \|\| Download paper	95
22	2011	Asymptotic 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	93
23	1998	Option 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. Full description at Econpapers \|\| Download paper	93
24	2009	Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; SchÃ¶neborn, 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	88
25	1997	Processes of normal inverse Gaussian type. (1997). . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68. Full description at Econpapers \|\| Download paper	86
26	2011	Robust 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. Full description at Econpapers \|\| Download paper	86
27	2000	Efficient 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. Full description at Econpapers \|\| Download paper	85
28	2004	Optimizing 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	82
29	2001	The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341. Full description at Econpapers \|\| Download paper	81
30	2001	Utility 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. Full description at Econpapers \|\| Download paper	81
31	2015	Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Wang, Ruodu ; Embrechts, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790. Full description at Econpapers \|\| Download paper	78
32	2000	Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Asmussen, Soren ; Taksar, Michael ; Hojgaard, Bjarne. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324. Full description at Econpapers \|\| Download paper	77
33	2004	Asymptotic 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. Full description at Econpapers \|\| Download paper	77
34	2018	The microstructural foundations of leverage effect and rough volatility. (2018). Euch, Omar ; Rosenbaum, Mathieu ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z. Full description at Econpapers \|\| Download paper	76
35	2004	An 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. Full description at Econpapers \|\| Download paper	73
36	2002	Optimal stopping and perpetual options for LÃ©vy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493. Full description at Econpapers \|\| Download paper	73
37	1999	Quantile hedging. (1999). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273. Full description at Econpapers \|\| Download paper	72
38	2001	Coherent 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. Full description at Econpapers \|\| Download paper	72
39	2002	Optimal 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. Full description at Econpapers \|\| Download paper	72
40	1998	Local 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. Full description at Econpapers \|\| Download paper	71
41	2010	Representation of the penalty term of dynamic concave utilities. (2010). Peng, Shige ; Delbaen, Freddy ; Gianin, Emanuela Rosazza. In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472. Full description at Econpapers \|\| Download paper	70
42	2008	Dynamic 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. Full description at Econpapers \|\| Download paper	70
43	2002	The 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. Full description at Econpapers \|\| Download paper	69
44	1997	*Continuous-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*. Full description at Econpapers \|\| Download paper	67
45	2008	Optimal 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. Full description at Econpapers \|\| Download paper	67
46	2017	Hybrid scheme for Brownian semistationary processes. (2017). Pakkanen, Mikko S ; Bennedsen, Mikkel ; Lunde, Asger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5. Full description at Econpapers \|\| Download paper	65
47	2001	Applications 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. Full description at Econpapers \|\| Download paper	65
48	2018	Dynamic programming approach to principalâagent 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. Full description at Econpapers \|\| Download paper	65
49	2012	Polynomial 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. Full description at Econpapers \|\| Download paper	64
50	2005	Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. (2005). Brigo, Damiano ; Alfonsi, Aurelien. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:29-42. Full description at Econpapers \|\| Download paper	63

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

#	Year	Title	Cited
1	2002	Convex 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	91
2	2017	On time-inconsistent stochastic control in continuous time. (2017). Bjork, Tomas ; Khapko, Mariana ; Murgoci, Agatha. 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	41
3	2013	Model-independent bounds for option pricesâa 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	40
4	2007	On 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	39
5	2006	Generalized 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	38
6	2018	The microstructural foundations of leverage effect and rough volatility. (2018). Euch, Omar ; Rosenbaum, Mathieu ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z. Full description at Econpapers \|\| Download paper	35
7	2007	The numÃ©raire 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	27
8	2018	Dynamic programming approach to principalâagent 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. Full description at Econpapers \|\| Download paper	26
9	2017	Hybrid scheme for Brownian semistationary processes. (2017). Pakkanen, Mikko S ; Bennedsen, Mikkel ; Lunde, Asger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5. Full description at Econpapers \|\| Download paper	25
10	1998	Robust 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	25
11	2020	Adapted Wasserstein distances and stability in mathematical finance. (2020). Beiglbock, Mathias ; Eder, Manu ; Backhoff-Veraguas, Julio ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00426-3. Full description at Econpapers \|\| Download paper	25
12	2019	Incorporating signals into optimal trading. (2019). LEHALLE, Charles-Albert ; Neuman, Eyal. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7. Full description at Econpapers \|\| Download paper	25
13	2001	A 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	24
14	2017	Optimal consumption and investment with EpsteinâZin recursive utility. (2017). Seiferling, Thomas ; Kraft, Holger ; Seifried, Frank Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0316-0. Full description at Econpapers \|\| Download paper	23
15	2011	Asymptotic 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	23
16	2015	Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Wang, Ruodu ; Embrechts, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790. Full description at Econpapers \|\| Download paper	22
17	2005	Inf-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	22
18	2008	Optimal 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. Full description at Econpapers \|\| Download paper	21
19	2005	Conditional 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. Full description at Econpapers \|\| Download paper	19
20	2002	An 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. Full description at Econpapers \|\| Download paper	19
21	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	19
22	2017	Consumptionâinvestment optimization with EpsteinâZin 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. Full description at Econpapers \|\| Download paper	18
23	2021	Scenario-based risk evaluation. (2021). Wang, Ruodu ; Ziegel, Johanna F. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00460-9. Full description at Econpapers \|\| Download paper	18
24	2014	A 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. Full description at Econpapers \|\| Download paper	18
25	2013	Consumption-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. Full description at Econpapers \|\| Download paper	18
26	2004	Optimizing 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	17
27	2017	Trading 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. Full description at Econpapers \|\| Download paper	16
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30	2022	Optimal consumption with reference to past spending maximum. (2022). Li, Xun ; Yu, Xiang ; Deng, Shuoqing ; Pham, Huyen. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:2:d:10.1007_s00780-022-00475-w. Full description at Econpapers \|\| Download paper	14
31	1999	Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers \|\| Download paper	14
32	2013	Drift 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. Full description at Econpapers \|\| Download paper	13
33	2011	Gamma expansion of the Heston stochastic volatility model. (2011). Glasserman, Paul ; Kim, Kyoung-Kuk. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:2:p:267-296. Full description at Econpapers \|\| Download paper	13
34	2014	Comparative 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. Full description at Econpapers \|\| Download paper	13
35	2010	Representation of the penalty term of dynamic concave utilities. (2010). Peng, Shige ; Delbaen, Freddy ; Gianin, Emanuela Rosazza. In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472. Full description at Econpapers \|\| Download paper	12
36	2019	The self-financing equation in limit order book markets. (2019). Carmona, Rene ; Webster, Kevin. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00398-z. Full description at Econpapers \|\| Download paper	12
37	2011	Pension funds with a minimum guarantee: a stochastic control approach. (2011). Gozzi, Fausto ; federico, salvatore ; di Giacinto, Marina. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:2:p:297-342. Full description at Econpapers \|\| Download paper	12
38	2020	Term structure modelling for multiple curves with stochastic discontinuities. (2020). Grbac, Zorana ; Schmidt, Thorsten ; Gumbel, Sandrine ; Fontana, Claudio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5. Full description at Econpapers \|\| Download paper	12
39	2010	On optimal portfolio diversification with respect to extreme risks. (2010). Ruschendorf, Ludger ; Mainik, Georg . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:4:p:593-623. Full description at Econpapers \|\| Download paper	12
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42	2018	Robust pricingâhedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9. Full description at Econpapers \|\| Download paper	11
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45	2018	Optimal liquidation under stochastic liquidity. (2018). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2. Full description at Econpapers \|\| Download paper	11
46	2014	Beyond cash-additive risk measures: when changing the numÃ©raire 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. Full description at Econpapers \|\| Download paper	11
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48	2019	Affine 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. Full description at Econpapers \|\| Download paper	10
49	2017	Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7. Full description at Econpapers \|\| Download paper	10
50	2005	Local 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	10

Citing documents used to compute impact factor: 59

Year	Title
2024	Faking Brownian motion with continuous Markov martingales. (2024). Schachermayer, Walter ; Pammer, Gudmund ; Lowther, George ; Beiglbck, Mathias. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:1:d:10.1007_s00780-023-00526-w. Full description at Econpapers \|\| Download paper
2024	Exploratory Control with Tsallis Entropy for Latent Factor Models. (2024). Jaimungal, Sebastian ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2211.07622. 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	Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach. (2024). Nguyen, Thai ; Chau, Huy. In: Papers. RePEc:arx:papers:2412.10692. Full description at Econpapers \|\| Download paper
2024	Stochastic Approaches to Energy Markets: From Stochastic Differential Equations to Mean Field Games and Neural Network Modeling. (2024). di Persio, Luca ; Alruqimi, Mohammed ; Garbelli, Matteo. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:23:p:6106-:d:1536590. Full description at Econpapers \|\| Download paper
2024	Text mining arXiv: a look through quantitative finance papers. (2024). Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2401.01751. Full description at Econpapers \|\| Download paper
2024	Closed-loop and open-loop equilibrium of a class time-inconsistent linear-quadratic differential games. (2024). Ji, Wei. In: International Journal of Game Theory. RePEc:spr:jogath:v:53:y:2024:i:2:d:10.1007_s00182-024-00895-2. Full description at Econpapers \|\| Download paper
2024	Canonical insurance models: stochastic equations and comparison theorems. (2024). Furrer, Christian ; Christiansen, Marcus C. In: Papers. RePEc:arx:papers:2411.12522. Full description at Econpapers \|\| Download paper
2024	Multidimensional specific relative entropy between continuous martingales. (2024). Bellotto, Edoardo Kimani ; Backhoff, Julio. In: Papers. RePEc:arx:papers:2411.11408. Full description at Econpapers \|\| Download paper
2024	A mean field game approach to equilibrium consumption under external habit formation. (2024). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Papers. RePEc:arx:papers:2206.13341. Full description at Econpapers \|\| Download paper
2024	Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets. (2024). Lin, Minglian ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2302.06778. Full description at Econpapers \|\| Download paper
2024	Optimal ratcheting of dividend payout under Brownian motion surplus. (2024). Xu, Zuo Quan ; Guan, Chonghu. In: Papers. RePEc:arx:papers:2308.15048. Full description at Econpapers \|\| Download paper
2024	Optimal Consumption and Investment with Income Adjustment and Borrowing Constraints. (2024). Kim, Geonwoo ; Jeon, Junkee. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:22:p:3536-:d:1519427. Full description at Econpapers \|\| Download paper
2024	Stochastic optimal self-path-dependent control: A new type of variational inequality and its viscosity solution. (2024). Xu, Zuo Quan ; Guo, Mingxin. In: Papers. RePEc:arx:papers:2412.11383. Full description at Econpapers \|\| Download paper
2024	Dynamic Asset Allocation and Retirement Decision with Consumption Ratcheting and Effort Choice. (2024). Jeon, Junkee ; Kim, Geonwoo. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:23:p:3821-:d:1535312. Full description at Econpapers \|\| Download paper
2024	A mean field game approach to equilibrium consumption under external habit formation. (2024). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:178:y:2024:i:c:s0304414924001674. Full description at Econpapers \|\| Download paper
2024	Optimal consumption and investment with welfare constraints. (2024). Kwak, Minsuk ; Jeon, Junkee. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-024-00529-1. Full description at Econpapers \|\| Download paper
2024	Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon. (2024). Choulli, Tahir ; Lepinette, Emmanuel. In: Papers. RePEc:arx:papers:2401.05713. Full description at Econpapers \|\| Download paper
2024	Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon. (2024). Choulli, T ; Alsheyab, S. In: Papers. RePEc:arx:papers:2408.04758. Full description at Econpapers \|\| Download paper
2024	On convergence of forecasts in prediction markets. (2024). Badulina, Nina ; Zhitlukhin, Mikhail ; Shatilovich, Dmitry. In: Papers. RePEc:arx:papers:2402.16345. 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	On the number of terms in the COS method for European option pricing. (2024). Junike, Gero. In: Papers. RePEc:arx:papers:2303.16012. Full description at Econpapers \|\| Download paper
2024	Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations. (2024). Han, Yuchen ; Figueroa-Lopez, Jose E ; Boniece, Cooper B. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:176:y:2024:i:c:s0304414924001352. Full description at Econpapers \|\| Download paper
2024	Centre-free kurtosis orderings for asymmetric distributions. (2024). Eberl, Andreas ; Klar, Bernhard. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:1:d:10.1007_s00362-023-01403-6. Full description at Econpapers \|\| Download paper
2024	Ruin Probabilities with Investments in Random Environment: Smoothness. (2024). Kabanov, Yuri ; Antipov, Viktor. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:11:p:1705-:d:1405598. Full description at Econpapers \|\| Download paper
2024	The fundamental theorem of asset pricing with and without transaction costs. (2024). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571. Full description at Econpapers \|\| Download paper
2024	Modeling of Measurement Error in Financial Returns Data. (2024). Maama, Mohamed ; Mijatovi, Aleksandar ; Jasra, Ajay. In: Papers. RePEc:arx:papers:2408.07405. Full description at Econpapers \|\| Download paper
2024	Measure-valued affine and polynomial diffusions. (2024). Svaluto-Ferro, Sara ; di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:175:y:2024:i:c:s030441492400098x. Full description at Econpapers \|\| Download paper
2024	Statistical inference for rough volatility: Minimax Theory. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01214. Full description at Econpapers \|\| Download paper
2024	Weak error estimates for rough volatility models. (2024). Salkeld, William ; Wagenhofer, Thomas ; Friz, Peter K. In: Papers. RePEc:arx:papers:2212.01591. Full description at Econpapers \|\| Download paper
2024	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). , Shaun ; Jaber, Eduardo Abi ; Illand, Camille. In: Papers. RePEc:arx:papers:2212.08297. Full description at Econpapers \|\| Download paper
2024	Reconciling rough volatility with jumps. (2024). de Carvalho, Nathan ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2303.07222. Full description at Econpapers \|\| Download paper
2024	Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2024). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2306.05433. Full description at Econpapers \|\| Download paper
2024	Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models. (2024). Lin, Xuyang ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2405.02170. Full description at Econpapers \|\| Download paper
2024	Reconciling rough volatility with jumps. (2024). de Carvalho, Nathan ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-04295416. Full description at Econpapers \|\| Download paper
2024	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Jaber, Eduardo Abi ; Li, Shaun Xiaoyuan ; Illand, Camille. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03902513. Full description at Econpapers \|\| Download paper
2024	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-03902513. Full description at Econpapers \|\| Download paper
2024	Pricing and hedging autocallable products by Markov chain approximation. (2024). Zhang, Gongqiu ; Li, Lingfei ; Cui, Yeda. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:3:d:10.1007_s11147-024-09206-z. Full description at Econpapers \|\| Download paper
2024	On the pricing of vulnerable Parisian options. (2024). Liu, Zheng ; Yao, Jing ; Qian, Linyi. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010250. Full description at Econpapers \|\| Download paper
2024	Risk, utility and sensitivity to large losses. (2024). Khan, Nazem ; Herdegen, Martin ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2405.12154. Full description at Econpapers \|\| Download paper
2024	Optimal Execution under Incomplete Information. (2024). Ly, Vathana ; Hafsi, Yadh ; Chevalier, Etienne. In: Papers. RePEc:arx:papers:2411.04616. Full description at Econpapers \|\| Download paper
2024	Principal-Multiagents problem under equivalent changes of measure: General study and an existence result. (2024). Hernndez-Santibez, Nicols. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:177:y:2024:i:c:s0304414924001546. Full description at Econpapers \|\| Download paper
2024	Deep Learning Methods for S Shaped Utility Maximisation with a Random Reference Point. (2024). Zheng, Harry ; Davey, Ashley. In: Papers. RePEc:arx:papers:2410.05524. Full description at Econpapers \|\| Download paper
2024	The economics of self-protection. (2024). Peter, Richard. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:49:y:2024:i:1:d:10.1057_s10713-023-00094-1. Full description at Econpapers \|\| Download paper
2024	A Mean Field Game Approach to Relative Investment-Consumption Games with Habit Formation. (2024). Liang, Zongxia ; Zhang, Keyu. In: Papers. RePEc:arx:papers:2401.15659. Full description at Econpapers \|\| Download paper
2024	A mean field game model of green economy. (2024). Ren, Lianhai ; Zhang, Jingguo. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00118-z. Full description at Econpapers \|\| Download paper
2024	A mean field game approach to relative investmentâconsumption games with habit formation. (2024). Liang, Zongxia ; Zhang, Keyu. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:4:d:10.1007_s11579-024-00360-4. Full description at Econpapers \|\| Download paper
2024	Nash equilibria for relative investors with (non)linear price impact. (2024). Gll, Tamara ; Buerle, Nicole. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:1:d:10.1007_s11579-024-00356-0. Full description at Econpapers \|\| Download paper
2024	Semistatic robust utility indifference valuation and robust integral functionals. (2024). Owari, Keita. In: Papers. RePEc:arx:papers:2402.18872. Full description at Econpapers \|\| Download paper
2024	On entropy martingale optimal transport theory. (2024). Frittelli, Marco ; Gianin, Emanuela Rosazza ; Doldi, Alessandro. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-023-00432-y. Full description at Econpapers \|\| Download paper
2024	Explicit Computations for Delayed Semistatic Hedging. (2024). Dolinsky, Yan ; Zuk, OR. In: Papers. RePEc:arx:papers:2308.10550. Full description at Econpapers \|\| Download paper
2024	Latency Tradeoffs in Blockchain Capacity Management. (2024). Fabi, Michele. In: Working Papers. RePEc:crs:wpaper:2024-10. Full description at Econpapers \|\| Download paper
2024	Robust insurance design with distortion risk measures. (2024). Jiang, Wenjun ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:2:p:694-706. Full description at Econpapers \|\| Download paper
2024	Variance insurance contracts. (2024). Chi, Yichun ; Yu, Xun ; Zhuang, Sheng Chao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:62-82. 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	Catastrophe insurance decision making when the science is uncertain. (2024). Bradley, Richard. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:122508. Full description at Econpapers \|\| Download paper
2024	Quantifying dimensional change in stochastic portfolio theory. (2024). Bayraktar, Erhan ; Tilva, Abhishek ; Kim, Dong Han. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:977-1021. Full description at Econpapers \|\| Download paper
2024	Research on Identification and Correction of Fund Investment Style Drift Based on FSD Model. (2024). Du, Huayun ; Li, Jizu ; Zhang, Zhicheng ; Guo, Yanyu. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10534-9. Full description at Econpapers \|\| Download paper
2024	Dispersion-constrained martingale SchrÃ¶dinger problems and the exact joint S&P 500/VIX smile calibration puzzle. (2024). Guyon, Julien. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:1:d:10.1007_s00780-023-00524-y. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2024

Year	Citing document
2024	Risk premium and rough volatility. (2024). Bonesini, Ofelia ; Jacquier, Antoine ; Muguruza, Aitor. In: Papers. RePEc:arx:papers:2403.11897. Full description at Econpapers \|\| Download paper
2024	Risk, utility and sensitivity to large losses. (2024). Khan, Nazem ; Herdegen, Martin ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2405.12154. Full description at Econpapers \|\| Download paper
2024	Heat modulated affine stochastic volatility models for forward curve dynamics. (2024). Karbach, Sven. In: Papers. RePEc:arx:papers:2409.13070. Full description at Econpapers \|\| Download paper
2024	Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Yuan, BO ; Jacquier, Antoine ; Pede, Nicola. In: Papers. RePEc:arx:papers:2411.19317. Full description at Econpapers \|\| Download paper
2024	Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures. (2024). Wang, Ruodu ; Ren, Qinghua ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2412.00655. Full description at Econpapers \|\| Download paper
2024	Quantiles under ambiguity and risk sharing. (2024). Liu, Peng ; Wang, Ruodu ; Mao, Tiantian. In: Papers. RePEc:arx:papers:2412.19546. Full description at Econpapers \|\| Download paper
2024	Are reference measures of law-invariant functionals unique?. (2024). Liebrich, Felix-Benedikt. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:129-141. Full description at Econpapers \|\| Download paper
2024	Hedging with physical or cash settlement under transient multiplicative price impact. (2024). Bilarev, Todor ; Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-024-00531-7. Full description at Econpapers \|\| Download paper
2024	Reducing ObizhaevaâWang-type trade execution problems to LQ stochastic control problems. (2024). Kruse, Thomas ; Urusov, Mikhail ; Ackermann, Julia. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00537-1. 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	Human capital and portfolio choice: borrowing constraint and reversible retirement. (2024). Kwak, Minsuk ; Koo, Hyeng Keun ; Jeon, Junkee. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:1:d:10.1007_s11579-024-00362-2. Full description at Econpapers \|\| Download paper

Recent citations received in 2023

Year	Citing document
2023	An elementary proof of the dual representation of Expected Shortfall. (2023). Herdegen, Martin ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2306.14506. Full description at Econpapers \|\| Download paper
2023	Optimal dividend strategies for a catastrophe insurer. (2023). Azcue, Pablo ; Muler, Nora ; Albrecher, Hansjoerg. In: Papers. RePEc:arx:papers:2311.05781. Full description at Econpapers \|\| Download paper
2023	Dynamic portfolio selection for nonlinear law-dependent preferences. (2023). Liang, Zongxia ; Xia, Jianming ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2311.06745. Full description at Econpapers \|\| Download paper
2023	Randomisation with moral hazard: a path to existence of optimal contracts. (2023). Possamai, Dylan ; Krvsek, Daniel. In: Papers. RePEc:arx:papers:2311.13278. Full description at Econpapers \|\| Download paper
2023	Optimal dividend payout with path-dependent drawdown constraint. (2023). Xu, Zuo Quan ; Fan, Jiacheng ; Guan, Chonghu. In: Papers. RePEc:arx:papers:2312.01668. Full description at Econpapers \|\| Download paper
2023	Detecting Toxic Flow. (2023). , Leandro ; Duran-Martin, Gerardo ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2312.05827. 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	Semistatic robust utility indifference valuation and robust integral functionals. (2023). Owari, Keita. In: CARF F-Series. RePEc:cfi:fseres:cf577. Full description at Econpapers \|\| Download paper
2023	Optimisation of drawdowns by generalised reinsurance in the classical risk model. (2023). Brinker, Leonie Violetta ; Schmidli, Hanspeter. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:2:d:10.1007_s10203-023-00402-4. Full description at Econpapers \|\| Download paper
2023	The infinite-horizon investmentâconsumption problem for EpsteinâZin stochastic differential utility. I: Foundations. (2023). Herdegen, Martin ; Jerome, Joseph ; Hobson, David. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00495-6. Full description at Econpapers \|\| Download paper
2023	The infinite-horizon investmentâconsumption problem for EpsteinâZin stochastic differential utility. II: Existence, uniqueness and verification for Ï â ( 0 , 1 ) $\vartheta \in (0,1)$. (2023). Herdegen, Martin ; Jerome, Joseph ; Hobson, David. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00496-5. Full description at Econpapers \|\| Download paper
2023	An elementary proof of the dual representation of Expected Shortfall. (2023). Munari, Cosimo ; Herdegen, Martin. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:17:y:2023:i:4:d:10.1007_s11579-023-00346-8. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	Reinforcement Learning with Dynamic Convex Risk Measures. (2022). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2112.13414. Full description at Econpapers \|\| Download paper
2022	Representation for martingales living after a random time with applications. (2022). Choulli, Tahir ; Alharbi, Ferdoos. In: Papers. RePEc:arx:papers:2203.11072. Full description at Econpapers \|\| Download paper
2022	Economic Networks: Theory and Computation. (2022). Sargent, Thomas ; Stachurski, John. In: Papers. RePEc:arx:papers:2203.11972. Full description at Econpapers \|\| Download paper
2022	Log-optimal portfolio after a random time: Existence, description and sensitivity analysis. (2022). Choulli, Tahir ; Alharbi, Ferdoos. In: Papers. RePEc:arx:papers:2204.03798. Full description at Econpapers \|\| Download paper
2022	Ensemble learning for portfolio valuation and risk management. (2022). Boudabsa, Lotfi ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2204.05926. Full description at Econpapers \|\| Download paper
2022	Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions. (2022). Murray, Phillip ; Pakkanen, Mikko S ; Wiese, Magnus ; Buehler, Hans ; Wood, Ben. In: Papers. RePEc:arx:papers:2207.07467. Full description at Econpapers \|\| Download paper
2022	Portfolio choice with return predictability and small trading frictions. (2022). Zhu, Song-Ping ; Ma, Guiyuan ; Siu, Chi Chung. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000694. Full description at Econpapers \|\| Download paper
2022	Extension of as-if-Markov modeling to scaled payments. (2022). Christiansen, Marcus C ; Furrer, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:288-306. Full description at Econpapers \|\| Download paper
2022	Explicit description of all deflators for market models under random horizon with applications to NFLVR. (2022). Choulli, Tahir ; Yansori, Sina. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:230-264. Full description at Econpapers \|\| Download paper
2022	Stochastic Modelling of Lassa Fever Epidemic Disease. (2022). Pawowski, Witold ; Ahmed, Nauman ; Rafiq, Muhammad ; Mohsin, Muhammad ; Alqarni, Manal M ; Awrejcewicz, Jan ; Hamam, Haneen ; Mahmoud, Emad E ; Raza, Ali. In: Mathematics. RePEc:gam:jmathe:v:10:y:2022:i:16:p:2919-:d:887344. Full description at Econpapers \|\| Download paper
2022	Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03835948. Full description at Econpapers \|\| Download paper
2022	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Jaber, Eduardo Abi ; Illand, Camille. In: Working Papers. RePEc:hal:wpaper:hal-03902513. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140. Full description at Econpapers \|\| Download paper
2021	Measure-valued affine and polynomial diffusions. (2021). Svaluto-Ferro, Sara ; di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2112.15129. Full description at Econpapers \|\| Download paper
2021	Set-Valued T -Translative Functions and Their Applications in Finance. (2021). Heyde, Frank ; Hamel, Andreas H. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:18:p:2270-:d:636294. Full description at Econpapers \|\| Download paper
2021	RETRACTED: Implementation of Stochastic Analysis in Corporate Decision-Making Models. (2021). Liu, Zhi-Jiang ; Kot, Sebastian ; Tsvetkova, Liudmila ; Lu, Jin-Biao ; Tulenty, Dmitry. In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:9:p:1041-:d:548528. Full description at Econpapers \|\| Download paper
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167. Full description at Econpapers \|\| Download paper
2021	Nonlinear expectations of random sets. (2021). Molchanov, Ilya ; Muhlemann, Anja. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00442-3. Full description at Econpapers \|\| Download paper
2021	Set-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. Full description at Econpapers \|\| Download paper
2021	Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach. (2021). Platen, Eckhard ; Gnoatto, Alessandro ; Grasselli, Martino. In: Working Papers. RePEc:ver:wpaper:06/2021. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	95	2613
2	Finance and Stochastics / Springer	58	383
3	Mathematical Finance / Wiley Blackwell	72	220
4	Stochastic Processes and their Applications / Elsevier	49	186
5	Insurance: Mathematics and Economics / Elsevier	58	172
6	European Journal of Operational Research / Elsevier	138	131
7	Mathematics / MDPI	18	126
8	Post-Print / HAL	216	97
9	Annals of Operations Research / Springer	53	79
10	Center for Mathematical Economics Working Papers / Center for Mathematical Economics, Bielefeld University	16	70
11	LSE Research Online Documents on Economics / London School of Economics and Political Science, LSE Library	137	64