Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

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

5 Years H Index

Impact Factor (IF)

1.1

5 Years IF

1.07

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
1994	0	0.14	0.09	0	11	11	107	1	1	0		0		1	100	1	0.09	0.06
1995	0.27	0.22	0.12	0.27	14	25	304	3	4	11	3	11	3	2	66.7		0	0.09
1996	0	0.25	0	0	16	41	203		4	25		25			0		0	0.11
1997	0.27	0.24	0.25	0.27	14	55	92	14	18	30	8	41	11	9	64.3		0	0.11
1998	0.2	0.27	0.21	0.2	12	67	156	14	32	30	6	55	11	2	14.3	1	0.08	0.13
1999	0.12	0.29	0.2	0.16	15	82	151	16	48	26	3	67	11	8	50		0	0.14
2000	0.22	0.34	0.42	0.32	14	96	92	40	88	27	6	71	23	6	15	1	0.07	0.16
2001	0.17	0.38	0.24	0.23	13	109	47	26	114	29	5	71	16	7	26.9	1	0.08	0.17
2002	0.33	0.39	0.32	0.29	16	125	291	40	154	27	9	68	20	3	7.5		0	0.2
2003	0.1	0.43	0.45	0.3	16	141	312	64	218	29	3	70	21	2	3.1		0	0.21
2004	0.22	0.47	0.37	0.31	16	157	111	57	276	32	7	74	23		0	1	0.06	0.21
2005	0.41	0.5	0.41	0.45	15	172	423	69	347	32	13	75	34	5	7.2	6	0.4	0.23
2006	0.42	0.49	0.46	0.45	16	188	162	85	433	31	13	76	34	7	8.2	6	0.38	0.22
2007	0.55	0.44	0.51	0.56	23	211	342	107	540	31	17	79	44	5	4.7	3	0.13	0.2
2008	0.67	0.47	0.55	0.71	22	233	200	127	668	39	26	86	61	8	6.3	3	0.14	0.22
2009	0.29	0.46	0.46	0.43	24	257	207	116	785	45	13	92	40	11	9.5		0	0.23
2010	0.43	0.46	0.49	0.56	24	281	176	136	924	46	20	100	56	5	3.7	2	0.08	0.2
2011	0.31	0.51	0.5	0.42	23	304	148	149	1075	48	15	109	46	5	3.4	1	0.04	0.24
2012	0.21	0.5	0.61	0.52	21	325	139	198	1274	47	10	116	60	5	2.5	9	0.43	0.21
2013	0.64	0.54	0.75	0.73	27	352	120	265	1539	44	28	114	83		0	3	0.11	0.24
2014	0.42	0.53	0.63	0.53	21	373	141	236	1775	48	20	119	63		0	2	0.1	0.22
2015	0.4	0.53	0.65	0.52	22	395	132	255	2030	48	19	116	60	5	2	6	0.27	0.22
2016	0.65	0.5	0.69	0.61	19	414	65	284	2314	43	28	114	69	3	1.1		0	0.2
2017	0.37	0.52	0.62	0.47	18	432	75	266	2580	41	15	110	52		0		0	0.21
2018	0.27	0.53	0.62	0.38	22	454	90	283	2863	37	10	107	41	1	0.4	1	0.05	0.22
2019	0.48	0.54	0.64	0.53	18	472	126	302	3165	40	19	102	54		0	5	0.28	0.21
2020	0.68	0.64	0.64	0.64	20	492	104	314	3479	40	27	99	63	3	1	4	0.2	0.3
2021	0.82	0.74	0.6	0.59	20	512	60	307	3786	38	31	97	57		0	3	0.15	0.27
2022	0.73	0.74	0.45	0.66	17	529	38	237	4023	40	29	98	65		0		0	0.22
2023	0.49	0.7	0.45	0.61	12	541	32	241	4264	37	18	97	59		0	1	0.08	0.2
2024	1.1	0.82	0.56	1.07	12	553	5	310	4574	29	32	87	93		0		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	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, Ãlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	220
2	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Avellaneda, M. ; ParAS, A. ; Levy, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	195
3	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	165
4	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Alaton, Peter ; Stillberger, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	139
5	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	104
6	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Meyer-Brandis, Thilo ; Kallsen, Jan ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	99
7	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Glau, Kathrin ; Eberlein, Ernst ; Papapantoleon, Antonis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	68
8	2005	The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Dieci, Roberto. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers \|\| Download paper	66
9	2000	Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32. Full description at Econpapers \|\| Download paper	63
10	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Tompaidis, Stathis ; Manoliu, Mihaela. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	62
11	2006	Interpolation Methods for Curve Construction. (2006). Hagan, Patrick ; West, Graeme. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	57
12	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Elliott, Robert ; Chan, Leunglung. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	56
13	2005	Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers \|\| Download paper	55
14	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Baldeaux, Jan ; Badran, Alexander . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	52
15	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Schoneborn, Torsten ; Tehranchi, Michael. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	49
16	1994	Stock market bubbles in the laboratory. (1994). Smith, Vernon ; Porter, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers \|\| Download paper	47
17	1996	Binomial models for option valuation - examining and improving convergence. (1996). Reimer, Matthias ; Leisen, Dietmar. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	47
18	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Ninomiya, Syoiti ; Victoir, Nicolas. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	46
19	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	46
20	2002	Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers \|\| Download paper	44
21	1997	Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64. Full description at Econpapers \|\| Download paper	39
22	1999	Multigrid for American option pricing with stochastic volatility. (1999). Nigel Clarke, Kevin Parrott, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195. Full description at Econpapers \|\| Download paper	38
23	1999	Equivalent Black volatilities. (1999). Patrick S. Hagan, Diana E. Woodward, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:147-157. Full description at Econpapers \|\| Download paper	38
24	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	37
25	1998	A framework for valuing corporate securities. (1998). Ericsson, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers \|\| Download paper	37
26	2019	Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality. (2019). GuÃ©ant, Olivier ; Guant, Olivier ; Manziuk, Iuliia. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:5:p:387-452. Full description at Econpapers \|\| Download paper	36
27	2018	Enhancing trading strategies with order book signals. (2018). Jaimungal, Sebastian ; Donnelly, Ryan ; Cartea, Alvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:1-35. Full description at Econpapers \|\| Download paper	34
28	1996	Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. (1996). Avellaneda, Marco ; ParAS, Antonio . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52. Full description at Econpapers \|\| Download paper	34
29	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Carmona, Rene ; Ludkovski, Michael. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	33
30	2006	On the Distributional Characterization of Daily Log-Returns of a World Stock Index. (2006). Platen, Eckhard ; Fergusson, Kevin. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38. Full description at Econpapers \|\| Download paper	32
31	2003	On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. (2003). Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324. Full description at Econpapers \|\| Download paper	32
32	2017	Regime-switching stochastic volatility model: estimation and calibration to VIX options. (2017). Goutte, StÃ©phane ; Pham, Huyen ; Ismail, Amine. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:24:y:2017:i:1:p:38-75. Full description at Econpapers \|\| Download paper	32
33	2012	The Implied Market Price of Weather Risk. (2012). LÃ³pez Cabrera, Brenda ; HÃ¤rdle, Wolfgang. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:1:p:59-95. Full description at Econpapers \|\| Download paper	31
34	2019	Mean-Field Game Strategies for Optimal Execution. (2019). Huang, Xuancheng ; Jaimungal, Sebastian ; Nourian, Mojtaba. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:2:p:153-185. Full description at Econpapers \|\| Download paper	31
35	1998	General Black-Scholes models accounting for increased market volatility from hedging strategies. (1998). K. Ronnie Sircar, George Papanicolaou, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82. Full description at Econpapers \|\| Download paper	30
36	2004	On the pricing and hedging of volatility derivatives. (2004). Howison, Sam ; Rasmussen, Henrik ; Rafailidis, Avraam. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346. Full description at Econpapers \|\| Download paper	29
37	1998	The predictive power of price patterns. (1998). G. Caginalp, H. Laurent, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:181-205. Full description at Econpapers \|\| Download paper	29
38	2015	ADI Schemes for Pricing American Options under the Heston Model. (2015). Haentjens, Tinne ; In, Karel J. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:207-237. Full description at Econpapers \|\| Download paper	29
39	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, Ãlvaro ; Figueroa, Marcelo ; Geman, Helyette. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers \|\| Download paper	28
40	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Bouthemy, Sandrine ; Bardou, Olivier ; Pages, Gilles. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	28
41	2003	A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen ; Nielsen, Bjorn Fredrik . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers \|\| Download paper	27
42	2009	On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers \|\| Download paper	27
43	2007	Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Kufakunesu, Rodwell ; Groth, Martin ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363. Full description at Econpapers \|\| Download paper	27
44	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). FORSYTH, P. A. ; Labahn, G. ; Belanger, A. C.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	26
45	2005	Sharp Upper and Lower Bounds for Basket Options. (2005). Wang, Tai-Ho ; Laurence, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers \|\| Download paper	26
46	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	26
47	1996	Bond, futures and option evaluation in the quadratic interest rate model. (1996). Jamshidian, Farshid. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:2:p:93-115. Full description at Econpapers \|\| Download paper	26
48	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Cui, Zhenyu ; Bernard, Carole. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	26
49	2013	Modelling Asset Prices for Algorithmic and High-Frequency Trading. (2013). Cartea, Ãlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:6:p:512-547. Full description at Econpapers \|\| Download paper	24
50	1998	An explicit finite difference approach to the pricing of barrier options. (1998). Phelim P. Boyle, Yisong Tian, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:1:p:17-43. Full description at Econpapers \|\| Download paper	23

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

#	Year	Title	Cited
1	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Avellaneda, M. ; ParAS, A. ; Levy, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	23
2	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	21
3	2018	Enhancing trading strategies with order book signals. (2018). Jaimungal, Sebastian ; Donnelly, Ryan ; Cartea, Alvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:1-35. Full description at Econpapers \|\| Download paper	21
4	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, Ãlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	20
5	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Baldeaux, Jan ; Badran, Alexander . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	18
6	2019	Mean-Field Game Strategies for Optimal Execution. (2019). Huang, Xuancheng ; Jaimungal, Sebastian ; Nourian, Mojtaba. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:2:p:153-185. Full description at Econpapers \|\| Download paper	16
7	2019	Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality. (2019). GuÃ©ant, Olivier ; Guant, Olivier ; Manziuk, Iuliia. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:5:p:387-452. Full description at Econpapers \|\| Download paper	16
8	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	15
9	2017	Regime-switching stochastic volatility model: estimation and calibration to VIX options. (2017). Goutte, StÃ©phane ; Pham, Huyen ; Ismail, Amine. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:24:y:2017:i:1:p:38-75. Full description at Econpapers \|\| Download paper	15
10	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Glau, Kathrin ; Eberlein, Ernst ; Papapantoleon, Antonis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	14
11	2020	Non-parametric Pricing and Hedging of Exotic Derivatives. (2020). Lyons, Terry ; Nejad, Sina ; Arribas, Imanol Perez. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:6:p:457-494. Full description at Econpapers \|\| Download paper	13
12	2023	Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets. (2023). Monga, Marcello ; Drissi, Fayal ; Cartea, Alvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:30:y:2023:i:2:p:69-93. Full description at Econpapers \|\| Download paper	12
13	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Alaton, Peter ; Stillberger, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	12
14	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Elliott, Robert ; Chan, Leunglung. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	12
15	2021	Closed-form Approximations in Multi-asset Market Making. (2021). GuÃ©ant, Olivier ; Bergault, Philippe ; Gueant, Olivier ; Vieira, Douglas ; Evangelista, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:2:p:101-142. Full description at Econpapers \|\| Download paper	12
16	2022	The Role of Binance in Bitcoin Volatility Transmission. (2022). Alexander, Carol ; Heck, Daniel F ; Kaeck, Andreas. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:29:y:2022:i:1:p:1-32. Full description at Econpapers \|\| Download paper	11
17	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Ninomiya, Syoiti ; Victoir, Nicolas. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	11
18	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Meyer-Brandis, Thilo ; Kallsen, Jan ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	11
19	2023	Robust Risk-Aware Option Hedging. (2023). Jaimungal, Sebastian ; Wu, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:30:y:2023:i:3:p:153-174. Full description at Econpapers \|\| Download paper	11
20	2021	Double Deep Q-Learning for Optimal Execution. (2021). Jaimungal, Sebastian ; Ho, Franco ; Ning, Brian. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:4:p:361-380. Full description at Econpapers \|\| Download paper	10
21	2020	Detecting and Repairing Arbitrage in Traded Option Prices. (2020). Wang, Sheng ; Cohen, Samuel N ; Reisinger, Christoph. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:5:p:345-373. Full description at Econpapers \|\| Download paper	9
22	2019	Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies. (2019). Forsyth, Peter A ; Vetzal, Kenneth R. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:1:p:1-37. Full description at Econpapers \|\| Download paper	9
23	2021	Deep Learning for Market by Order Data. (2021). Zhang, Zihao ; Zohren, Stefan ; Lim, Bryan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:1:p:79-95. Full description at Econpapers \|\| Download paper	8
24	2022	Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals. (2022). Drissi, Fayal. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:29:y:2022:i:6:p:457-493. Full description at Econpapers \|\| Download paper	8
25	2011	Exchange Options Under Jump-Diffusion Dynamics. (2011). Cheang, Gerald ; Chiarella, Carl. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:3:p:245-276. Full description at Econpapers \|\| Download paper	8
26	2020	Spoofing and Price Manipulation in Order-Driven Markets. (2020). Wang, Yixuan ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:67-98. Full description at Econpapers \|\| Download paper	8
27	2018	A non-Gaussian OrnsteinâUhlenbeck model for pricing wind power futures. (2018). Benth, Fred Espen ; Pircalabu, Anca. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:36-65. Full description at Econpapers \|\| Download paper	8
28	2022	Optimal Execution: A Review. (2022). Donnelly, Ryan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:29:y:2022:i:3:p:181-212. Full description at Econpapers \|\| Download paper	8
29	1996	Binomial models for option valuation - examining and improving convergence. (1996). Reimer, Matthias ; Leisen, Dietmar. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	7
30	2020	Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models. (2020). Kalsi, Jasdeep ; Newbury, James ; Hambly, Ben. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:132-170. Full description at Econpapers \|\| Download paper	7
31	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	7
32	2014	Optimal Execution and Price Manipulations in Time-varying Limit Order Books. (2014). Acevedo, Jose Infante ; Alfonsi, Aurelien. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:3:p:201-237. Full description at Econpapers \|\| Download paper	7
33	2021	Structural Clustering of Volatility Regimes for Dynamic Trading Strategies. (2021). James, Nick ; Menzies, Max ; Francis, Gilad ; Prakash, Arjun. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:3:p:236-274. Full description at Econpapers \|\| Download paper	7
34	2014	Optimal Trade Execution Under Stochastic Volatility and Liquidity. (2014). Sepin, Tardu ; Cheridito, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:342-362. Full description at Econpapers \|\| Download paper	7
35	2011	Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model. (2011). Jacquier, Antoine ; Forde, Martin. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:6:p:517-535. Full description at Econpapers \|\| Download paper	6
36	2013	Modelling Asset Prices for Algorithmic and High-Frequency Trading. (2013). Cartea, Ãlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:6:p:512-547. Full description at Econpapers \|\| Download paper	6
37	2016	Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. (2016). Zheng, Wendong ; Zeng, Pingping. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:23:y:2016:i:5:p:344-373. Full description at Econpapers \|\| Download paper	6
38	2005	Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection. (2005). Ballestero, Enrique. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:1-15. Full description at Econpapers \|\| Download paper	6
39	2006	Interpolation Methods for Curve Construction. (2006). Hagan, Patrick ; West, Graeme. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	6
40	2021	Expected Utility Theory on General Affine GARCH Models. (2021). Escobar Anel, Marcos ; Zagst, Rudi ; Escobar-Anel, Marcos ; Spies, Ben. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:6:p:477-507. Full description at Econpapers \|\| Download paper	6
41	2020	Optimal Trading with Differing Trade Signals. (2020). Donnelly, Ryan ; Lorig, Matthew. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:4:p:317-344. Full description at Econpapers \|\| Download paper	5
42	2020	Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets. (2020). Jaimungal, Sebastian ; Shrivats, Arvind. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:99-131. Full description at Econpapers \|\| Download paper	5
43	1994	Stock market bubbles in the laboratory. (1994). Smith, Vernon ; Porter, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers \|\| Download paper	5
44	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Cui, Zhenyu ; Bernard, Carole. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	5
45	2023	Arbitrage-Free Neural-SDE Market Models. (2023). Wang, Sheng ; Cohen, Samuel N ; Reisinger, Christoph. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:30:y:2023:i:1:p:1-46. Full description at Econpapers \|\| Download paper	5
46	2015	Semi-Markov Model for Market Microstructure. (2015). Fodra, Pietro ; Pham, Huyen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:261-295. Full description at Econpapers \|\| Download paper	5
47	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Bouthemy, Sandrine ; Bardou, Olivier ; Pages, Gilles. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	5
48	2015	ADI Schemes for Pricing American Options under the Heston Model. (2015). Haentjens, Tinne ; In, Karel J. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:207-237. Full description at Econpapers \|\| Download paper	5
49	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Tompaidis, Stathis ; Manoliu, Mihaela. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	5
50	2021	Trading Signals in VIX Futures. (2021). Li, Thomas Nanfeng ; Avellaneda, Marco ; Wang, Gaozhan ; Papanicolaou, Andrew. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:3:p:275-298. Full description at Econpapers \|\| Download paper	4

Citing documents used to compute impact factor: 32

Year	Title
2024	Exchange market share, market makers, and murky behavior: The impact of no-fee trading on cryptocurrency market quality. (2024). Galati, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001390. Full description at Econpapers \|\| Download paper
2024	A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962. Full description at Econpapers \|\| Download paper
2024	Cross-exchange crypto risk: A high-frequency dynamic network perspective. (2024). Wang, Yifu ; Hardle, Wolfgang Karl ; Lu, Wanbo ; Ren, Rui ; Lin, Min-Bin. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001789. Full description at Econpapers \|\| Download paper
2024	Approaching multifractal complexity in decentralized cryptocurrency trading. (2024). Zd, Stanislaw Dro ; Stanisz, Tomasz ; Kwapie, Jaroslaw ; Kr, Marcin ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2411.05951. Full description at Econpapers \|\| Download paper
2024	Forecasting Bitcoin volatility using machine learning techniques. (2024). Urquhart, Andrew ; Sangiorgi, Ivan ; Huang, Zih-Chun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001306. Full description at Econpapers \|\| Download paper
2024	The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis. (2024). Yarovaya, Larisa ; Shahzad, Syed Jawad Hussain ; Anas, Muhammad. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00595-y. Full description at Econpapers \|\| Download paper
2024	A comparison of cryptocurrency volatility-benchmarking new and mature asset classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00646-y. Full description at Econpapers \|\| Download paper
2024	Technology and automation in financial trading: A bibliometric review. (2024). Cumming, Douglas ; Care, Rosella. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002642. 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	Automated Market Making and Decentralized Finance. (2024). Monga, Marcello. In: Papers. RePEc:arx:papers:2407.16885. Full description at Econpapers \|\| Download paper
2024	Optimal position-building strategies in competition. (2024). Chriss, Neil A. In: Papers. RePEc:arx:papers:2409.03586. Full description at Econpapers \|\| Download paper
2024	Strategic Learning and Trading in Broker-Mediated Markets. (2024). Aqsha, Alif ; Drissi, Fayccal. In: Papers. RePEc:arx:papers:2412.20847. Full description at Econpapers \|\| Download paper
2024	Consistent causal inference for high-dimensional time series. (2024). Cordoni, Francesco ; Sancetta, Alessio. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002537. Full description at Econpapers \|\| Download paper
2024	Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision. (2024). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2309.08431. 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	Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients. (2024). Davar, Parisa ; Garrido, Jose ; Fr'ed'eric Godin, . In: Papers. RePEc:arx:papers:2406.15612. 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	A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging. (2024). Wu, YI ; Xiao, BO ; Zhou, Xiang ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2411.09659. Full description at Econpapers \|\| Download paper
2024	Optimal hedging with variational preferences under convex risk measures. (2024). Righi, Marcelo. In: Papers. RePEc:arx:papers:2407.03431. Full description at Econpapers \|\| Download paper
2024	The Multivariate Fractional Ornstein-Uhlenbeck Process. (2024). Pigato, Paolo ; Dugo, Ranieri ; Giorgio, Giacomo. In: CEIS Research Paper. RePEc:rtv:ceisrp:581. 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	Universal randomised signatures for generative time series modelling. (2024). Walter, Niklas ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2406.10214. Full description at Econpapers \|\| Download paper
2024	Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface. (2024). Barucca, Paolo ; Phelan, Carolyn E ; Hoshisashi, Kentaro. In: Papers. RePEc:arx:papers:2411.02375. Full description at Econpapers \|\| Download paper
2024	Rough differential equations for volatility. (2024). Gasteratos, Ioannis ; Jacquier, Antoine ; Bonesini, Ofelia ; Ferrucci, Emilio. In: Papers. RePEc:arx:papers:2412.21192. Full description at Econpapers \|\| Download paper
2024	A Multi-step Approach for Minimizing Risk in Decentralized Exchanges. (2024). Gatta, Federico ; di Nosse, Daniele Maria. In: Papers. RePEc:arx:papers:2406.07200. Full description at Econpapers \|\| Download paper
2024	DeFi Arbitrage in Hedged Liquidity Tokens. (2024). Feinstein, Zachary ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:2409.11339. Full description at Econpapers \|\| Download paper
2024	Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761. Full description at Econpapers \|\| Download paper
2024	Risk-Neutral Generative Networks. (2024). Xian, Zhonghao ; Yan, Xing ; Wu, QI ; Leung, Cheuk Hang. In: Papers. RePEc:arx:papers:2405.17770. Full description at Econpapers \|\| Download paper
2024	On the Hull-White model with volatility smile for Valuation Adjustments. (2024). van der Zwaard, T ; Grzelak, L A ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2403.14841. Full description at Econpapers \|\| Download paper
2024	Simulating and analyzing a sparse order book: an application to intraday electricity markets. (2024). Cogn, Enzo ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2410.06839. Full description at Econpapers \|\| Download paper
2024	Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts. (2024). Bergault, Philippe ; Gu, Olivier ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2404.13754. Full description at Econpapers \|\| Download paper
2024	Stock Volume Forecasting with Advanced Information by Conditional Variational Auto-Encoder. (2024). Yang, Parley R ; Shestopaloff, Alexander Y. In: Papers. RePEc:arx:papers:2406.19414. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2024

Year	Citing document

Recent citations received in 2023

Year	Citing document
2023	Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document

Recent citations received in 2021

Year	Citing document
2021	Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units. (2021). Zhang, Zihao ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2105.10430. Full description at Econpapers \|\| Download paper
2021	Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time. (2021). James, Nick ; Menzies, Max. In: Papers. RePEc:arx:papers:2107.13926. Full description at Econpapers \|\| Download paper
2021	Correlating LÃ©vy processes with self-decomposability: applications to energy markets. (2021). Sabino, Piergiacomo ; Gardini, Matteo ; Sasso, Emanuela. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00352-9. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	95	687
2	Mathematics / MDPI	18	54
3	Computational Economics / Springer	33	49
4	Mathematical Finance / Wiley Blackwell	72	42
5	Energy Economics / Elsevier	175	41
6	Finance and Stochastics / Springer	58	34
7	European Journal of Operational Research / Elsevier	138	34
8	The North American Journal of Economics and Finance / Elsevier	52	29
9	Mathematics and Computers in Simulation (MATCOM) / Elsevier	27	27
10	Journal of Futures Markets / John Wiley & Sons, Ltd.	49	26
11	Decisions in Economics and Finance / Springer	11	23