CPQF Working Paper Series / Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF)
Citation Profile [Updated: 2025-11-20 18:08:17]
5 Years H Index
8
Impact Factor (IF)
0
5 Years IF
0
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 | |
| 2004 | 0 | 0.6 | 0.5 | 0 | 2 | 2 | 17 | 1 | 1 | 0 | 0 | 1 | 100 | 1 | 0.5 | 0.36 | ||
| 2005 | 0.5 | 0.61 | 0.67 | 0.5 | 1 | 3 | 7 | 2 | 3 | 2 | 1 | 2 | 1 | 2 | 100 | 0 | 0.36 | |
| 2006 | 0.33 | 0.58 | 0.75 | 0.33 | 1 | 4 | 6 | 3 | 6 | 3 | 1 | 3 | 1 | 3 | 100 | 0 | 0.34 | |
| 2007 | 0 | 0.52 | 0 | 0 | 3 | 7 | 11 | 6 | 2 | 4 | 0 | 0 | 0.29 | |||||
| 2008 | 0 | 0.58 | 0.06 | 0 | 11 | 18 | 16 | 1 | 7 | 4 | 7 | 1 | 100 | 1 | 0.09 | 0.29 | ||
| 2009 | 0 | 0.59 | 0 | 0 | 4 | 22 | 10 | 7 | 14 | 18 | 0 | 0 | 0.33 | |||||
| 2010 | 0.07 | 0.52 | 0.11 | 0.15 | 5 | 27 | 9 | 3 | 10 | 15 | 1 | 20 | 3 | 0 | 0 | 0.3 | ||
| 2011 | 0.22 | 0.61 | 1.76 | 0.17 | 2 | 29 | 7 | 51 | 61 | 9 | 2 | 24 | 4 | 0 | 4 | 2 | 0.36 | |
| 2012 | 0.86 | 0.67 | 4.27 | 0.36 | 4 | 33 | 7 | 141 | 202 | 7 | 6 | 25 | 9 | 1 | 0.7 | 13 | 3.25 | 0.36 |
| 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 | 2004 | Cross currency swap valuation. (2004). Boenkost, Wolfram ; Schmidt, Wolfgang M.. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:2. Full description at Econpapers || Download paper | 14 |
| 2 | 2004 | Efficient computation of option price sensitivities for options of American style. (2004). Wystup, Uwe ; Wallner, Christian. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:1. Full description at Econpapers || Download paper | 13 |
| 3 | 2008 | Latin hypercube sampling with dependence and applications in finance. (2008). Packham, Natalie ; Schmidt, Wolfgang. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:15. Full description at Econpapers || Download paper | 13 |
| 4 | 2009 | FX volatility smile construction. (2009). Wystup, Uwe ; Reiswich, Dimitri. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:20. Full description at Econpapers || Download paper | 11 |
| 5 | 2010 | On the calibration of the Cheyette interest rate model. (2010). Wystup, Uwe ; Beyna, Ingo. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:25. Full description at Econpapers || Download paper | 10 |
| 6 | 2007 | Accelerating the calibration of stochastic volatility models. (2007). Kilin, Fiodar . In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:6. Full description at Econpapers || Download paper | 10 |
| 7 | 2008 | Foreign exchange symmetries. (2008). Wystup, Uwe. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:9. Full description at Econpapers || Download paper | 8 |
| 8 | 2008 | On the valuation of fader and discrete barrier options in Hestons Stochastic Volatility Model. (2008). Griebsch, Susanne ; Wystup, Uwe. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:17. Full description at Econpapers || Download paper | 8 |
| 9 | 2005 | On the cost of delayed currency fixing announcements. (2005). Wystup, Uwe ; Becker, Christoph. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:3. Full description at Econpapers || Download paper | 8 |
| 10 | 2011 | The trend is not your friend! Why empirical timing success is determined by the underlyings price characteristics and market efficiency is irrelevant. (2011). Walther, Ursula ; Scholz, Peter. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:29. Full description at Econpapers || Download paper | 8 |
| 11 | 2008 | Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen. (2008). Wystup, Uwe ; Weber, Andreas. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:13. Full description at Econpapers || Download paper | 8 |
| 12 | 2007 | Instalment options: a closed-form solution and the limiting case. (2007). Griebsch, Susanne ; Wystup, Uwe ; Kuhn, Christoph. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:5. Full description at Econpapers || Download paper | 8 |
| 13 | 2008 | Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen. (2008). Wystup, Uwe ; Weber, Andreas. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:12. Full description at Econpapers || Download paper | 8 |
| 14 | 2009 | Credit dynamics in a first passage time model with jumps. (2009). Packham, Natalie ; Schmidt, Wolfgang M. ; Schlogl, Lutz. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:21. Full description at Econpapers || Download paper | 7 |
| 15 | 2006 | Interest rate convexity and the volatility smile. (2006). Boenkost, Wolfram ; Schmidt, Wolfgang M.. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:4. Full description at Econpapers || Download paper | 7 |
| 16 | 2008 | Closed formula for options with discrete dividends and its derivatives. (2008). Wystup, Uwe ; Veiga, Carlos . In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:16. Full description at Econpapers || Download paper | 7 |
| 17 | 2010 | Investment certificates under German taxation: Benefit or burden for structured products performance?. (2010). Walther, Ursula ; Scholz, Peter. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:24. Full description at Econpapers || Download paper | 7 |
| 18 | 2011 | Characteristic functions in the Cheyette Interest Rate Model. (2011). Wystup, Uwe ; Beyna, Ingo. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:28. Full description at Econpapers || Download paper | 7 |
| 19 | 2009 | Credit gap risk in a first passage time model with jumps. (2009). Packham, Natalie ; Schmidt, Wolfgang M. ; Schlogl, Lutz. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:22. Full description at Econpapers || Download paper | 7 |
| 20 | 2008 | Forward-start options in the Barndorff-Nielsen-Shephard Model. (2008). Keller-Ressel, Martin ; Kilin, Fiodar . In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:18. Full description at Econpapers || Download paper | 7 |
| 21 | 2010 | Return distributions of equity-linked retirement plans. (2010). Wystup, Uwe ; Detering, Nils ; Weber, Andreas. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:27. Full description at Econpapers || Download paper | 7 |
| 22 | 2008 | Foreign exchange quanto options. (2008). Wystup, Uwe. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:10. Full description at Econpapers || Download paper | 6 |
| 23 | 2007 | Default swaps and hedging credit baskets. (2007). Schmidt, Wolfgang M.. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:7. Full description at Econpapers || Download paper | 6 |
| 24 | 2012 | The impact of network inhomogeneities on contagion and system stability. (2012). Walther, Ursula ; Hubsch, Arnd. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:32. Full description at Econpapers || Download paper | 6 |
| 25 | 2009 | Potential PCA interpretation problems for volatility smile dynamics. (2009). Tompkins, Robert ; Reiswich, Dimitri. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:19. Full description at Econpapers || Download paper | 6 |
| 26 | 2008 | Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen. (2008). Wystup, Uwe ; Becker, Christoph. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:8. Full description at Econpapers || Download paper | 5 |
| 27 | 2012 | Size matters! How position sizing determines risk and return of technical timing strategies. (2012). Scholz, Peter. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:31. Full description at Econpapers || Download paper | 5 |
| 28 | 2012 | Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?. (2012). Schmidt, Wolfgang M.. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:33. Full description at Econpapers || Download paper | 3 |
| 29 | 2010 | Unifying exotic option closed formulas. (2010). Wystup, Uwe ; Esquivel, Manuel L. ; Veiga, Carlos . In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:23. Full description at Econpapers || Download paper | 3 |
| 30 | 2012 | Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien. (2012). Wystup, Uwe ; Zhou, Qixiang ; Detering, Nils. In: CPQF Working Paper Series. RePEc:zbw:cpqfwp:30. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|
Citing documents used to
compute impact factor:
| Year | Title |
|---|
Recent citations
10 most frequent citing series