Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2026-06-12 21:57:20]

5 Years H Index

Impact Factor (IF)

2.17

5 Years IF

1.54

Data available in this report

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

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1991	0	0.11	0.12	0	17	17	594	1	2	0		0		1	100	1	0.06	0.06
1992	0	0.12	0.03	0	16	33	657	1	3	17		17			0	1	0.06	0.06
1993	0.09	0.13	0.17	0.09	21	54	470	8	12	33	3	33	3	4	50	3	0.14	0.06
1994	0.08	0.14	0.14	0.06	20	74	801	9	22	37	3	54	3	2	22.2	2	0.1	0.07
1995	0.29	0.22	0.38	0.31	19	93	887	35	57	41	12	74	23		0	8	0.42	0.1
1996	0.67	0.24	0.55	0.44	19	112	1355	60	119	39	26	93	41		0	4	0.21	0.11
1997	0.68	0.24	0.65	0.54	18	130	1742	83	204	38	26	95	51	3	3.6	9	0.5	0.11
1998	0.76	0.27	0.69	0.58	20	150	929	103	307	37	28	97	56	5	4.9	5	0.25	0.13
1999	0.76	0.29	0.82	0.68	16	166	3523	134	443	38	29	96	65	6	4.5	8	0.5	0.14
2000	1.06	0.34	1.37	1.28	28	194	1064	260	708	36	38	92	118	1	0.4	5	0.18	0.16
2001	0.77	0.38	1.24	1.06	20	214	653	262	973	44	34	101	107	3	1.1	4	0.2	0.17
2002	0.54	0.39	1.1	1.1	25	239	962	259	1235	48	26	102	112		0	5	0.2	0.21
2003	0.64	0.43	1.29	1	26	265	504	337	1576	45	29	109	109	10	3	6	0.23	0.21
2004	0.94	0.48	1.58	1.36	30	295	877	460	2041	51	48	115	156	13	2.8	6	0.2	0.22
2005	0.73	0.51	1.51	0.89	29	324	881	484	2529	56	41	129	115	8	1.7	17	0.59	0.23
2006	1.08	0.49	1.55	1.02	33	357	1134	550	3081	59	64	130	132	12	2.2	10	0.3	0.22
2007	0.89	0.44	1.61	0.91	27	384	750	614	3701	62	55	143	130	9	1.5	8	0.3	0.2
2008	1.12	0.47	1.62	1.04	30	414	939	667	4373	60	67	145	151	28	4.2	15	0.5	0.22
2009	0.75	0.46	1.65	0.99	22	436	612	719	5092	57	43	149	147	41	5.7	10	0.45	0.23
2014	0	0.52	2.26	2.55	16	452	435	1021	9421	0		22	56	20	2	8	0.5	0.22
2015	1.25	0.52	2.04	1.25	28	480	433	978	10400	16	20	16	20		0	7	0.25	0.22
2016	1.16	0.5	2.42	1.16	33	513	641	1234	11640	44	51	44	51	8	0.6	23	0.7	0.2
2017	1.26	0.51	1.98	1.35	35	548	410	1080	12724	61	77	77	104	2	0.2	13	0.37	0.2
2018	1.53	0.52	1.97	1.5	37	585	286	1154	13878	68	104	112	168	17	1.5	15	0.41	0.22
2019	1.03	0.53	1.91	1.45	35	620	551	1183	15061	72	74	149	216	10	0.8	29	0.83	0.21
2020	1.22	0.63	2.1	1.37	47	667	449	1404	16465	72	88	168	230	52	3.7	24	0.51	0.3
2021	1.83	0.72	2.05	1.51	42	709	231	1451	17916	82	150	187	282	104	7.2	13	0.31	0.26
2022	1.25	0.71	1.83	1.29	30	739	117	1355	19271	89	111	196	252	58	4.3	10	0.33	0.21
2023	0.89	0.67	1.59	1.05	38	777	181	1232	20503	72	64	191	201	52	4.2	10	0.26	0.19
2024	0.97	0.71	1.65	1.19	8	785	29	1297	21800	68	66	192	229	21	1.6	3	0.38	0.21
2025	2.17	0.93	1.8	1.54	26	811	39	1462	23262	46	100	165	254	4	0.3	21	0.81	0.27

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
SC:	selft citations in y to articles published in y-1 plus y-2
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series

#	Year	Title	Cited
1	1999	Coherent Measures of Risk. (1999). Artzner, Philippe ; Eber, Jean-Marc ; Delbaen, Freddy ; Heath, David. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers \|\| Download paper	2957
2	1996	A YIELDâFACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406. Full description at Econpapers \|\| Download paper	776
3	1997	Backward Stochastic Differential Equations in Finance. (1997). Peng, S. ; El Karoui, N. ; Quenez, M. C.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers \|\| Download paper	567
4	1995	THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32. Full description at Econpapers \|\| Download paper	457
5	2000	Optimal Dynamic Portfolio Selection: Multiperiod MeanâVariance Formulation. (2000). Ng, Wan-Lung ; Li, Duan. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers \|\| Download paper	315
6	1998	Long memory in continuousâtime stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323. Full description at Econpapers \|\| Download paper	298
7	1997	The Market Model of Interest Rate Dynamics. (1997). Musiela, Marek ; Dariusz G¸atarek, ; Brace, Alan. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155. Full description at Econpapers \|\| Download paper	255
8	2006	A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151. Full description at Econpapers \|\| Download paper	243
9	1994	MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204. Full description at Econpapers \|\| Download paper	219
10	2002	Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286. Full description at Econpapers \|\| Download paper	206
11	2007	AN OLDâNEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Teboulle, Marc ; Ben-Tal, Aharon. In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers \|\| Download paper	173
12	2019	The characteristic function of rough Heston models. (2019). el Euch, Omar ; Rosenbaum, Mathieu. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:1:p:3-38. Full description at Econpapers \|\| Download paper	171
13	1997	Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105. Full description at Econpapers \|\| Download paper	170
14	1994	MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167. Full description at Econpapers \|\| Download paper	165
15	2006	MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547. Full description at Econpapers \|\| Download paper	162
16	1991	Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14. Full description at Econpapers \|\| Download paper	158
17	1992	ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Myneni, Ravi ; Carr, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106. Full description at Econpapers \|\| Download paper	157
18	1993	BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375. Full description at Econpapers \|\| Download paper	157
19	2000	The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52. Full description at Econpapers \|\| Download paper	154
20	2008	BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Zhou, Xunyu ; Jin, Hanqing. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers \|\| Download paper	154
21	1991	Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29. Full description at Econpapers \|\| Download paper	146
22	2016	COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918. Full description at Econpapers \|\| Download paper	143
23	2003	Stochastic Volatility for LÃ©vy Processes. (2003). Carr, Peter ; Yor, Marc ; Geman, Helyette ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382. Full description at Econpapers \|\| Download paper	141
24	1999	Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348. Full description at Econpapers \|\| Download paper	137
25	1993	OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan . In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276. Full description at Econpapers \|\| Download paper	135
26	1992	DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1. (1992). Scheinkman, Jose ; PagÃ¨s, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86. Full description at Econpapers \|\| Download paper	135
27	2000	Pricing Via Utility Maximization and Entropy. (2000). Rouge, Richard ; el Karoui, Nicole. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276. Full description at Econpapers \|\| Download paper	134
28	2002	Exponential Hedging and Entropic Penalties. (2002). Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick ; Stricker, Christophe . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123. Full description at Econpapers \|\| Download paper	132
29	2004	The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. (2004). Schachermayer, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:19-48. Full description at Econpapers \|\| Download paper	130
30	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃ¨s ; Schachermayer, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292. Full description at Econpapers \|\| Download paper	130
31	2004	THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480. Full description at Econpapers \|\| Download paper	128
32	1996	HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12. (1996). Jaksa Cvitanić, ; Karatzas, Ioannis. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165. Full description at Econpapers \|\| Download paper	128
33	2005	AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437. Full description at Econpapers \|\| Download paper	127
34	2002	A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298. Full description at Econpapers \|\| Download paper	126
35	1997	Bond Market Structure in the Presence of Marked Point Processes. (1997). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Yuri ; Runggaldier, Wolfgang ; Bjork, Tomas. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239. Full description at Econpapers \|\| Download paper	119
36	1997	Pricing Stock Options in a JumpâDiffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods. (1997). Scott, Louis O.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:413-426. Full description at Econpapers \|\| Download paper	118
37	2014	MEANâVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Yu, Xun ; Bjork, Tomas ; Murgoci, Agatha. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers \|\| Download paper	116
38	2007	THE RANGE OF TRADED OPTION PRICES. (2007). Mark H. A. Davis, ; Hobson, David G.. In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14. Full description at Econpapers \|\| Download paper	115
39	2009	RISK MEASURES ON ORLICZ HEARTS. (2009). Li, Tianhui ; Cheridito, Patrick. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214. Full description at Econpapers \|\| Download paper	112
40	1995	VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1. (1995). Ritchken, Peter ; Sankarasubramanian, L.. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72. Full description at Econpapers \|\| Download paper	109
41	1998	Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65. Full description at Econpapers \|\| Download paper	108
42	2001	The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims. (2001). Kunitomo, Naoto ; Takahashi, Akihiko. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:1:p:117-151. Full description at Econpapers \|\| Download paper	105
43	2005	DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26. Full description at Econpapers \|\| Download paper	102
44	2004	Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall. (2004). Scaillet, Olivier. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:115-129. Full description at Econpapers \|\| Download paper	102
45	1999	Term Structure Models Driven by General LÃ©vy Processes. (1999). Raible, Sebastian ; Eberlein, Ernst. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53. Full description at Econpapers \|\| Download paper	102
46	2006	DISTRIBUTIONâINVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY. (2006). Weber, Stefan. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441. Full description at Econpapers \|\| Download paper	100
47	1997	A Continuity Correction for Discrete Barrier Options. (1997). Kou, Steven ; Glasserman, Paul ; Broadie, Mark. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349. Full description at Econpapers \|\| Download paper	100
48	1997	An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Wilmott, P. ; Whalley, A. E.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324. Full description at Econpapers \|\| Download paper	99
49	1998	Robustness of the Black and Scholes Formula. (1998). Shreve, Steven E. ; el Karoui, Nicole ; Jeanblanc-Picque, Monique . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126. Full description at Econpapers \|\| Download paper	96
50	1996	OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1. (1996). Renault, Eric ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302. Full description at Econpapers \|\| Download paper	95

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

#	Year	Title	Cited
1	1999	Coherent Measures of Risk. (1999). Artzner, Philippe ; Eber, Jean-Marc ; Delbaen, Freddy ; Heath, David. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers \|\| Download paper	412
2	2019	The characteristic function of rough Heston models. (2019). el Euch, Omar ; Rosenbaum, Mathieu. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:1:p:3-38. Full description at Econpapers \|\| Download paper	85
3	1997	Backward Stochastic Differential Equations in Finance. (1997). Peng, S. ; El Karoui, N. ; Quenez, M. C.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers \|\| Download paper	72
4	2016	COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918. Full description at Econpapers \|\| Download paper	46
5	1998	Long memory in continuousâtime stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323. Full description at Econpapers \|\| Download paper	43
6	2015	OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS. (2015). Touzi, Nizar ; Espinosa, Gilles-Edouard . In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:2:p:221-257. Full description at Econpapers \|\| Download paper	41
7	1995	THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32. Full description at Econpapers \|\| Download paper	40
8	2019	Mean field and nâagent games for optimal investment under relative performance criteria. (2019). Zariphopoulou, Thaleia ; Lacker, Daniel. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:4:p:1003-1038. Full description at Econpapers \|\| Download paper	40
9	2023	Recent advances in reinforcement learning in finance. (2023). Xu, Renyuan ; Yang, Huining ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503. Full description at Econpapers \|\| Download paper	38
10	2000	Optimal Dynamic Portfolio Selection: Multiperiod MeanâVariance Formulation. (2000). Ng, Wan-Lung ; Li, Duan. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers \|\| Download paper	38
11	1991	Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29. Full description at Econpapers \|\| Download paper	38
12	1994	MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204. Full description at Econpapers \|\| Download paper	35
13	1996	A YIELDâFACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406. Full description at Econpapers \|\| Download paper	33
14	2007	AN OLDâNEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Teboulle, Marc ; Ben-Tal, Aharon. In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers \|\| Download paper	32
15	2014	MEANâVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Yu, Xun ; Bjork, Tomas ; Murgoci, Agatha. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers \|\| Download paper	30
16	2008	BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Zhou, Xunyu ; Jin, Hanqing. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers \|\| Download paper	27
17	1997	Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105. Full description at Econpapers \|\| Download paper	27
18	2002	Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286. Full description at Econpapers \|\| Download paper	27
19	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃ¨s ; Schachermayer, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292. Full description at Econpapers \|\| Download paper	24
20	2020	Network valuation in financial systems. (2020). Barucca, Paolo ; D'Errico, Marco ; Bardoscia, Marco ; Caldarelli, Guido ; Visentin, Gabriele ; Caccioli, Fabio ; Battiston, Stefano. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1181-1204. Full description at Econpapers \|\| Download paper	22
21	2023	Algorithmic market making in dealer markets with hedging and market impact. (2023). GuÃ©ant, Olivier ; Bergault, Philippe ; Gueant, Olivier ; Barzykin, Alexander. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:41-79. Full description at Econpapers \|\| Download paper	21
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2025	Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics. (2025). Saunders, David ; Li, Bin ; Chen, Yuling Max. In: Papers. RePEc:arx:papers:2501.16659. Full description at Econpapers \|\| Download paper
2025	The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning. (2025). Wu, Yuhan ; Li, YU ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2505.07537. Full description at Econpapers \|\| Download paper
2025	Mean-Variance Stackelberg Games with Asymmetric Information. (2025). Huang, Yu-Jui ; Zhu, Shihao. In: Papers. RePEc:arx:papers:2509.03669. Full description at Econpapers \|\| Download paper
2025	Extended HJB Equation for Mean-Variance Stopping Problem: Vanishing Regularization Method. (2025). Dong, Yuchao ; Zheng, Harry. In: Papers. RePEc:arx:papers:2510.24128. Full description at Econpapers \|\| Download paper
2025	Exploratory Mean-Variance with Jumps: An Equilibrium Approach. (2025). Chen, Yuling Max ; Saunders, David ; Li, Bin. In: Papers. RePEc:arx:papers:2512.09224. Full description at Econpapers \|\| Download paper
2025	Relaxed Equilibria for Time-Inconsistent Markov Decision Processes. (2025). Bayraktar, Erhan ; Zhou, Zhou ; Wang, Zhenhua ; Huang, Yu-Jui. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:50:y:2025:i:4:p:2666-2687. Full description at Econpapers \|\| Download paper
2025	Polynomial Voting Rules. (2025). Tang, Wenpin ; Yao, David D. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:50:y:2025:i:1:p:90-106. Full description at Econpapers \|\| Download paper
2025	Universal portfolios in continuous time: an approach in pathwise It\^o calculus. (2025). Schied, Alexander ; Han, Xiyue. In: Papers. RePEc:arx:papers:2504.11881. Full description at Econpapers \|\| Download paper
2025	Pathwise analysis of log-optimal portfolios. (2025). Allan, Andrew L ; Kwossek, Anna P ; Promel, David J ; Liu, Chong. In: Papers. RePEc:arx:papers:2507.18232. Full description at Econpapers \|\| Download paper
2025	Portfolio time consistency and utility weighted discount rates. (2025). Pirvu, Traian A ; Mbodji, Oumar. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:2:d:10.1007_s11579-025-00382-6. Full description at Econpapers \|\| Download paper
2025	Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677. Full description at Econpapers \|\| Download paper
2025	Aggregation of downside risk and portfolio selection. (2025). Wenzelburger, Jan ; Spanaus, Conrad. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:119:y:2025:i:c:s0304406825000552. Full description at Econpapers \|\| Download paper
2025	Risk diversification and extreme risk mitigation. (2025). Bagnara, Matteo ; Vaucher, Benoit. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000714. Full description at Econpapers \|\| Download paper
2025	Variance strikes back: sub-game--perfect Nash equilibria in time-inconsistent $N$-player games, and their mean-field sequel. (2025). Possamai, Dylan ; Rossato, Chiara. In: Papers. RePEc:arx:papers:2512.08745. Full description at Econpapers \|\| Download paper
2025	HLOBâInformation persistence and structure in limit order books. (2025). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126623. Full description at Econpapers \|\| Download paper
2025	Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks. (2025). Fabre, Timoth'Ee ; Challet, Damien. In: Papers. RePEc:arx:papers:2504.15908. Full description at Econpapers \|\| Download paper
2025	Forecasting Intraday Volume in Equity Markets with Machine Learning. (2025). Cucuringu, Mihai ; Zhang, Chao ; Li, Kang. In: Papers. RePEc:arx:papers:2505.08180. Full description at Econpapers \|\| Download paper
2025	An Efficient deep learning model to Predict Stock Price Movement Based on Limit Order Book. (2025). Zhang, Ming ; Fang, Ran ; Yang, Jiahao ; Zhou, Jun. In: Papers. RePEc:arx:papers:2505.22678. Full description at Econpapers \|\| Download paper
2025	Order Book Filtration and Directional Signal Extraction at High Frequency. (2025). Maiti, Prithwish ; Jain, Shashi ; Anantha, Aditya Nittur. In: Papers. RePEc:arx:papers:2507.22712. Full description at Econpapers \|\| Download paper
2025	Deep reinforcement learning for optimal trading with partial information. (2025). Macri, Andrea ; Lillo, Fabrizio ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2511.00190. Full description at Econpapers \|\| Download paper
2025	Trading with Concave Price Impact and Impact DecayâTheory and Evidence. (2025). Hey, Natascha ; Webster, Kevin ; Muhle-Karbe, Johannes ; Mastromatteo, Iacopo. In: Operations Research. RePEc:inm:oropre:v:73:y:2025:i:3:p:1230-1247. Full description at Econpapers \|\| Download paper
2025	Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431. Full description at Econpapers \|\| Download paper
2025	Pontryagin-Guided Policy Optimization for Mertons Portfolio Problem. (2025). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:2412.13101. Full description at Econpapers \|\| Download paper
2025	Gaining efficiency in deep policy gradient method for continuous-time optimal control problems. (2025). Fahim, Arash ; Rahman, Md Arafatur. In: Papers. RePEc:arx:papers:2502.14141. Full description at Econpapers \|\| Download paper
2025	Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent. (2023). Sun, Yifan ; Zariphopoulou, Thaleia ; Liang, Gechun. In: Papers. RePEc:arx:papers:2401.00103. Full description at Econpapers \|\| Download paper
2025	Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach. (2024). Liang, Gechun ; Chong, Wing Fung. In: Papers. RePEc:arx:papers:2410.01378. Full description at Econpapers \|\| Download paper
2025	Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers \|\| Download paper
2025	Consistent time travel for realistic interactions with historical data: reinforcement learning for market making. (2025). Challet, Damien ; Ragel, Vincent. In: Papers. RePEc:arx:papers:2408.02322. Full description at Econpapers \|\| Download paper
2025	Market Making with Fads, Informed, and Uninformed Traders. (2025). , Leandro ; Mathieu, Adrien ; Barucci, Emilio. In: Papers. RePEc:arx:papers:2501.03658. Full description at Econpapers \|\| Download paper
2025	To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management. (2025). Gu, Olivier ; Bergault, Philippe ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2503.02496. Full description at Econpapers \|\| Download paper
2025	Optimal hedging of an informed broker facing many traders. (2025). Bergault, Philippe ; Cardaliaguet, Pierre ; Yan, Wenbin. In: Papers. RePEc:arx:papers:2506.08992. Full description at Econpapers \|\| Download paper
2025	Understanding the worst-kept secret of high-frequency trading. (2025). Pulido, Sergio ; Sfendourakis, Emmanouil ; Rosenbaum, Mathieu. In: Post-Print. RePEc:hal:journl:hal-04362236. Full description at Econpapers \|\| Download paper
2025	Optimal Quoting under Adverse Selection and Price Reading. (2025). Barzykin, Alexander ; Gu, Olivier ; Bergault, Philippe ; Lemmel, Malo. In: Papers. RePEc:arx:papers:2508.20225. Full description at Econpapers \|\| Download paper
2025	Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2025

Year	Citing document
2025	VIX options in the SABR model. (2025). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:2501.06398. Full description at Econpapers \|\| Download paper
2025	Martingale property and moment explosions in signature volatility models. (2025). Sotnikov, Dimitri ; Gassiat, Paul ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.17103. Full description at Econpapers \|\| Download paper
2025	Joint deep calibration of the 4-factor PDV model. (2025). Baschetti, Fabio ; Bormetti, Giacomo ; Rossi, Pietro. In: Papers. RePEc:arx:papers:2507.09412. Full description at Econpapers \|\| Download paper
2025	Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility. (2025). Chan, Patrick ; Zimbidis, Iosif ; Sircar, Ronnie. In: Papers. RePEc:arx:papers:2507.17162. Full description at Econpapers \|\| Download paper
2025	Hedging with memory: shallow and deep learning with signatures. (2025). , Louis-Amand ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2508.02759. Full description at Econpapers \|\| Download paper
2025	Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees. (2025). Bossu, Sebastien ; Grabchak, Michael. In: Papers. RePEc:arx:papers:2508.17014. Full description at Econpapers \|\| Download paper
2025	Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools. (2025). Mastrolia, Thibaut ; Wang, Hao. In: Papers. RePEc:arx:papers:2509.03916. Full description at Econpapers \|\| Download paper
2025	Branched Signature Model. (2025). Feng, QI ; Ali, Munawar. In: Papers. RePEc:arx:papers:2511.00018. Full description at Econpapers \|\| Download paper
2025	Contracting with discretionary bonuses. (2025). Huang, Liwei ; Ekren, Ibrahim ; Alvarez, Guillermo Alonso. In: Papers. RePEc:arx:papers:2511.23424. Full description at Econpapers \|\| Download paper
2025	Coordinated Mean-Field Control for Systemic Risk. (2025). Yamanaka, Toshiaki. In: Papers. RePEc:arx:papers:2512.04704. Full description at Econpapers \|\| Download paper
2025	Variance strikes back: sub-game--perfect Nash equilibria in time-inconsistent $N$-player games, and their mean-field sequel. (2025). Possamai, Dylan ; Rossato, Chiara. In: Papers. RePEc:arx:papers:2512.08745. Full description at Econpapers \|\| Download paper
2025	Global universal approximation with Brownian signatures. (2025). Ceylan, Mihriban ; Promel, David J. In: Papers. RePEc:arx:papers:2512.16396. Full description at Econpapers \|\| Download paper
2025	Stress testing OTC derivatives: Clearing reforms and market frictions. (2025). Casu, Barbara ; Katsoulis, Petros ; Kalotychou, Elena. In: Journal of Financial Stability. RePEc:eee:finsta:v:77:y:2025:i:c:s1572308925000178. Full description at Econpapers \|\| Download paper
2025	Global foreign exchange volatility, ambiguity, and currency carry trades. (2025). Sakemoto, Ryuta ; Asano, Takao ; Cai, Xiaojing. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001281. Full description at Econpapers \|\| Download paper
2025	4/2 rough and smooth. (2025). Yan, Tingjin ; Wang, Ling ; Yin, Jie ; Wong, Hoi Ying. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:181:y:2025:i:c:s0378426625001803. Full description at Econpapers \|\| Download paper
2025	Hedging with memory: shallow and deep learning with signatures. (2025). Grard, Louis-Amand ; Jaber, Eduardo Abi. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-05197836. Full description at Econpapers \|\| Download paper
2025	An Entropy Regularized BSDE Approach to Bermudan Options and Games. (2025). Chee, Daniel ; Li, Libo ; Frikha, Noufel. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-05265653. Full description at Econpapers \|\| Download paper
2025	Universal approximation theorems for continuous functions of cÃ dlÃ g paths and LÃ©vy-type signature models. (2025). Svaluto-Ferro, Sara ; Primavera, Francesca ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:2:d:10.1007_s00780-025-00557-5. Full description at Econpapers \|\| Download paper
2025	Equilibrium with heterogeneous information flows. (2025). Robertson, Scott. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:3:d:10.1007_s00780-025-00565-5. Full description at Econpapers \|\| Download paper

Recent citations received in 2024

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

Recent citations received in 2023

Year	Citing document
2023	Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning. (2023). Shi, Yun ; Li, Xun ; Cui, Xiangyu ; Zhao, SI. In: Papers. RePEc:arx:papers:2312.15385. Full description at Econpapers \|\| Download paper
2023	Closedâloop Nash competition for liquidity. (2023). Neuman, Eyal ; Muhlekarbe, Johannes ; Micheli, Alessandro. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:4:p:1082-1118. Full description at Econpapers \|\| Download paper
2023	Climate policies, macroprudential regulation, and the welfare cost of business cycles. (2023). Diluiso, Francesca ; Carli, Marco ; Annicchiarico, Barbara. In: Bank of England working papers. RePEc:boe:boeewp:1036. Full description at Econpapers \|\| Download paper
2023	Multivariate stress scenario selection in interbank networks. (2023). Kim, Kyoung-Kuk ; Kwon, Eunji ; Ahn, Dohyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001185. Full description at Econpapers \|\| Download paper
2023	Deep Reinforcement Learning for Dynamic Stock Option Hedging: A Review. (2023). Lawryshyn, Yuri ; Pickard, Reilly. In: Mathematics. RePEc:gam:jmathe:v:11:y:2023:i:24:p:4943-:d:1299173. Full description at Econpapers \|\| Download paper
2023	New Classes of Distortion Risk Measures and Their Estimation. (2023). Wang, Xiwen ; Sepanski, Jungsywan H. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:194-:d:1277752. Full description at Econpapers \|\| Download paper
2023	Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-04119787. Full description at Econpapers \|\| Download paper
2023	Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Wang, Wei ; Xu, Huifu. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x. Full description at Econpapers \|\| Download paper
2023	Optimal stopping and impulse control in the presence of an anticipated regime switch. (2023). , Luis ; Sillanp, Wiljami. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:98:y:2023:i:2:d:10.1007_s00186-023-00838-9. Full description at Econpapers \|\| Download paper
2023	A transform-based method for pricing Asian options under general two-dimensional models. (2023). Zhang, Weinan ; Zeng, Pingping. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:11:p:1677-1697. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	Robust control problems of BSDEs coupled with value functions. (2022). Yang, Zhou ; Zhang, Jing ; Zhou, Chao. In: Papers. RePEc:arx:papers:2208.10735. Full description at Econpapers \|\| Download paper
2022	Robustness of Hilbert space-valued stochastic volatility models. (2022). Eyjolfsson, Heidar ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2211.16071. Full description at Econpapers \|\| Download paper
2022	Designing Autonomous Markets for Stablecoin Monetary Policy. (2022). Schuldenzucker, Steffen ; Klages-Mundt, Ariah. In: Papers. RePEc:arx:papers:2212.12398. Full description at Econpapers \|\| Download paper
2022	On a Merton Problem with Irreversible Healthcare Investment. (2024). Zhu, Shihao ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:671. Full description at Econpapers \|\| Download paper
2022	Optimal dividends under Markov-modulated bankruptcy level. (2022). Zhu, Shihao ; Schuhmann, Patrick ; Ferrari, Giorgio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:146-172. Full description at Econpapers \|\| Download paper
2022	On stock-based loans. (2022). McWalter, Thomas A ; Ritchken, Peter H. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:52:y:2022:i:c:s1042957322000444. Full description at Econpapers \|\| Download paper
2022	The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00489-4. Full description at Econpapers \|\| Download paper
2022	Optimal Control of Diffusion Processes with Terminal Constraint in Law. (2022). Daudin, Samuel. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:195:y:2022:i:1:d:10.1007_s10957-022-02053-8. Full description at Econpapers \|\| Download paper
2022	A two-player portfolio tracking game. (2022). Voss, Moritz. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:16:y:2022:i:4:d:10.1007_s11579-022-00324-6. Full description at Econpapers \|\| Download paper
2022	Signal-to-noise matrix and model reduction in continuous-time hidden Markov models. (2022). Ruderer, Leonie ; Sass, Jorn ; Leoff, Elisabeth. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:95:y:2022:i:2:d:10.1007_s00186-022-00784-y. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	99	2810
2	Finance and Stochastics / Springer	59	244
3	European Journal of Operational Research / Elsevier	141	241
4	Mathematical Finance / Wiley Blackwell	74	239
5	Insurance: Mathematics and Economics / Elsevier	59	239
6	Mathematics / MDPI	22	219
7	Annals of Operations Research / Springer	55	138
8	Mathematics of Operations Research / INFORMS	62	132
9	Stochastic Processes and their Applications / Elsevier	49	121
10	Computational Economics / Springer	33	115
11	Operations Research / INFORMS	106	105