Citation analysis for Annals of Finance / Springer

Citation Profile [Updated: 2026-08-21 11:52:43]

5 Years H Index

Impact Factor (IF)

0.44

5 Years IF

0.51

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
2005	0	0.5	0.89	0	19	19	458	16	20	0		0			0	16	0.84	0.23
2006	0.89	0.49	0.59	0.89	22	41	146	23	44	19	17	19	17	3	13	6	0.27	0.22
2007	0.51	0.44	0.58	0.51	21	62	104	34	80	41	21	41	21	9	26.5	10	0.48	0.2
2008	0.33	0.47	0.61	0.58	23	85	191	51	132	43	14	62	36	4	7.8	11	0.48	0.22
2009	0.34	0.46	0.63	0.48	26	111	282	68	202	44	15	85	41	18	26.5	23	0.88	0.23
2010	0.45	0.46	0.57	0.52	27	138	254	77	280	49	22	111	58	20	26	9	0.33	0.2
2011	0.74	0.5	0.71	0.64	24	162	101	115	395	53	39	119	76	23	20	8	0.33	0.23
2012	0.59	0.5	0.53	0.55	24	186	250	98	493	51	30	121	67	12	12.2	4	0.17	0.21
2013	0.54	0.53	0.73	0.71	35	221	217	160	654	48	26	124	88	21	13.1	5	0.14	0.23
2014	0.76	0.52	0.68	0.66	25	246	124	167	821	59	45	136	90	31	18.6	5	0.2	0.22
2015	0.42	0.52	0.68	0.61	19	265	105	180	1001	60	25	135	83	19	10.6	6	0.32	0.21
2016	0.73	0.49	0.76	0.58	19	284	54	216	1217	44	32	127	74	19	8.8	1	0.05	0.2
2017	0.5	0.51	0.57	0.48	18	302	83	171	1389	38	19	122	59	20	11.7	3	0.17	0.2
2018	0.65	0.52	0.57	0.59	23	325	87	185	1574	37	24	116	68	17	9.2	6	0.26	0.22
2019	0.51	0.53	0.52	0.43	20	345	66	180	1755	41	21	104	45	15	8.3	4	0.2	0.21
2020	0.42	0.63	0.46	0.43	22	367	136	169	1924	43	18	99	43	20	11.8	9	0.41	0.3
2021	0.83	0.72	0.52	0.59	20	387	44	200	2124	42	35	102	60	11	5.5	2	0.1	0.26
2022	0.6	0.71	0.38	0.55	20	407	30	153	2277	42	25	103	57	9	5.9	2	0.1	0.21
2023	0.38	0.66	0.42	0.59	20	427	12	178	2455	40	15	105	62	13	7.3		0	0.19
2024	0.25	0.7	0.39	0.56	19	446	27	172	2627	40	10	102	57	4	2.3	4	0.21	0.2
2025	0.44	0.93	0.38	0.51	20	466	4	176	2803	39	17	101	52	11	6.3	1	0.05	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	2005	Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers \|\| Download paper	170
2	2009	A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers \|\| Download paper	130
3	2012	Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378. Full description at Econpapers \|\| Download paper	68
4	2005	A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224. Full description at Econpapers \|\| Download paper	68
5	2010	A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers \|\| Download paper	55
6	2009	Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311. Full description at Econpapers \|\| Download paper	52
7	2005	On user costs of risky monetary assets. (2005). Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:35-50. Full description at Econpapers \|\| Download paper	50
8	2012	Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Peng, Yue. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers \|\| Download paper	44
9	2008	Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28. Full description at Econpapers \|\| Download paper	43
10	2014	Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265. Full description at Econpapers \|\| Download paper	40
11	2005	Relative arbitrage in volatility-stabilized markets. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177. Full description at Econpapers \|\| Download paper	40
12	2006	Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers \|\| Download paper	38
13	2012	Estimation and pricing under long-memory stochastic volatility. (2012). Viens, Frederi ; Chronopoulou, Alexandra. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403. Full description at Econpapers \|\| Download paper	37
14	2013	An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215. Full description at Econpapers \|\| Download paper	36
15	2020	Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Kirkby, Lars J ; Nguyen, Duy. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0. Full description at Econpapers \|\| Download paper	33
16		Determinants of stock market volatility and risk premia. (2005). Motolese, Maurizio ; Kurz, Mordecai. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:109-147. Full description at Econpapers \|\| Download paper	31
17	2008	Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129. Full description at Econpapers \|\| Download paper	31
18		Minority self-employment in the United States and the impact of affirmative action programs. (2009). Blanchflower, David. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396. Full description at Econpapers \|\| Download paper	30
19	2010	The fundamental theorem of asset pricing for continuous processes under small transaction costs. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191. Full description at Econpapers \|\| Download paper	29
20	2005	On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles ; Feri, Francesco. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107. Full description at Econpapers \|\| Download paper	29
21	2013	Asset market games of survival: a synthesis of evolutionary and dynamic games. (2013). Schenk-HoppÃ©, Klaus ; Evstigneev, Igor ; AMIR, Rabah ; Schenk-Hoppe, Klaus. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144. Full description at Econpapers \|\| Download paper	26
22	2010	Robust consumption and portfolio choice for time varying investment opportunities. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:435-454. Full description at Econpapers \|\| Download paper	25
23	2010	Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315. Full description at Econpapers \|\| Download paper	24
24	2017	Analysis of variance based instruments for OrnsteinâUhlenbeck type models: swap and price index. (2017). Sengupta, Indranil ; Issaka, Aziz. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3. Full description at Econpapers \|\| Download paper	23
25	2011	On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). SÃ©vi, BenoÃ®t ; Chevallier, Julien. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29. Full description at Econpapers \|\| Download paper	21
26	2013	Measures of systemic risk and financial fragility in Korea. (2013). Tsomocos, Dimitrios ; Lee, Jong ; Ryu, Jaemin. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:757-786. Full description at Econpapers \|\| Download paper	21
27	2018	The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9. Full description at Econpapers \|\| Download paper	21
28	2006	A Time Series Analysis of Financial Fragility in the UK Banking System. (2006). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:1-21. Full description at Econpapers \|\| Download paper	21
29	2005	American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292. Full description at Econpapers \|\| Download paper	20
30	2010	On dividend restrictions and the collapse of the interbank market. (2010). Tsomocos, Dimitrios ; Peiris, Udara. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:455-473. Full description at Econpapers \|\| Download paper	20
31	2014	Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455. Full description at Econpapers \|\| Download paper	20
32	2008	Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454. Full description at Econpapers \|\| Download paper	19
33	2020	Proper measures of connectedness. (2020). Uberti, Pierpaolo ; Maggi, Mario ; Torrente, Maria-Laura. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:4:d:10.1007_s10436-020-00363-3. Full description at Econpapers \|\| Download paper	19
34	2015	Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241. Full description at Econpapers \|\| Download paper	19
35	2012	A two price theory of financial equilibrium with risk management implications. (2012). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:489-505. Full description at Econpapers \|\| Download paper	17
36	2015	Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382. Full description at Econpapers \|\| Download paper	17
37	2007	A multicriteria discrimination approach for the credit rating of Asian banks. (2007). Pasiouras, Fotios ; Gaganis, Chrysovalantis. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:3:p:351-367. Full description at Econpapers \|\| Download paper	16
38	2011	Central bank haircut policy. (2011). Molico, Miguel ; Chapman, James ; Chiu, Jonathan. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:319-348. Full description at Econpapers \|\| Download paper	16
39	2012	Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233. Full description at Econpapers \|\| Download paper	16
40	2006	Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von NeumannâGale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355. Full description at Econpapers \|\| Download paper	16
41	2008	Who controls Allianz?. (2008). Shorish, Jamsheed ; Ritzberger, Klaus ; Lang, Larry. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:75-103. Full description at Econpapers \|\| Download paper	15
42	2015	Diversity-weighted portfolios with negative parameter. (2015). Karatzas, Ioannis ; Vervuurt, Alexander . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:411-432. Full description at Econpapers \|\| Download paper	15
43	2010	Macroeconomics of bank interest spreads: evidence from Brazil. (2010). Sobrinho, Nelson. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:1:p:1-32. Full description at Econpapers \|\| Download paper	15
44	2008	Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. (2008). Bayraktar, Erhan. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429. Full description at Econpapers \|\| Download paper	15
45	2013	Dynamic capital structure and the contingent capital option. (2013). del Viva, Luca ; Barucci, Emilio. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:337-364. Full description at Econpapers \|\| Download paper	15
46	2013	Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?. (2013). Romaniuk, Katarzyna. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:573-588. Full description at Econpapers \|\| Download paper	15
47	2015	Asset pricing theory for two price economies. (2015). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:1-35. Full description at Econpapers \|\| Download paper	15
48	2011	Short term persistence in mutual fund market timing and stock selection abilities. (2011). Benos, Evangelos. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246. Full description at Econpapers \|\| Download paper	15
49	2008	Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Sun, Edward ; Fabozzi, Frank. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241. Full description at Econpapers \|\| Download paper	14
50	2019	Extreme-strike asymptotics for general Gaussian stochastic volatility models. (2019). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0338-z. Full description at Econpapers \|\| Download paper	14

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

#	Year	Title	Cited
1	2005	Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers \|\| Download paper	20
2	2012	Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378. Full description at Econpapers \|\| Download paper	16
3	2020	Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Kirkby, Lars J ; Nguyen, Duy. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0. Full description at Econpapers \|\| Download paper	14
4	2020	Proper measures of connectedness. (2020). Uberti, Pierpaolo ; Maggi, Mario ; Torrente, Maria-Laura. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:4:d:10.1007_s10436-020-00363-3. Full description at Econpapers \|\| Download paper	12
5	2024	Option pricing in the Heston model with physics inspired neural networks. (2024). Casas, Alex ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:3:d:10.1007_s10436-024-00452-7. Full description at Econpapers \|\| Download paper	11
6	2012	Estimation and pricing under long-memory stochastic volatility. (2012). Viens, Frederi ; Chronopoulou, Alexandra. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403. Full description at Econpapers \|\| Download paper	9
7	2018	The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9. Full description at Econpapers \|\| Download paper	9
8	2006	Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers \|\| Download paper	8
9	2009	A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers \|\| Download paper	7
10	2020	Asian options pricing in Hawkes-type jump-diffusion models. (2020). Brignone, Riccardo ; Sgarra, Carlo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00352-1. Full description at Econpapers \|\| Download paper	7
11	2010	A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers \|\| Download paper	7
12	2020	Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y. Full description at Econpapers \|\| Download paper	6
13	2014	Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265. Full description at Econpapers \|\| Download paper	6
14	2021	The Shapley value decomposition of optimal portfolios. (2021). Shalit, Haim. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00380-2. Full description at Econpapers \|\| Download paper	6
15	2018	Option pricing under fast-varying and rough stochastic volatility. (2018). Solna, Knut ; Garnier, Josselin. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4. Full description at Econpapers \|\| Download paper	6
16	2022	Optimal group size in microlending. (2022). Protter, Philip ; Quintos, Alejandra. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:1:d:10.1007_s10436-020-00382-0. Full description at Econpapers \|\| Download paper	6
17	2022	Portfolio selection in quantile decision models. (2022). Olmo, Jose ; Montes-Rojas, Gabriel ; Galvao, Antonio ; de Castro, Luciano. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:2:d:10.1007_s10436-021-00405-4. Full description at Econpapers \|\| Download paper	5
18	2015	Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382. Full description at Econpapers \|\| Download paper	5
19	2015	Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241. Full description at Econpapers \|\| Download paper	5
20	2005	A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224. Full description at Econpapers \|\| Download paper	5
21	2015	Dynamic portfolio selection with mispricing and model ambiguity. (2015). Li, Zhongfei ; Viens, Frederi ; Yi, BO ; Law, Baron. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:37-75. Full description at Econpapers \|\| Download paper	5
22	2020	The impact of financial crises on the environment in developing countries. (2020). Jalles, Joao. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:2:d:10.1007_s10436-019-00356-x. Full description at Econpapers \|\| Download paper	5
23	2017	An empirical analysis of organized crime, corruption and economic growth. (2017). Neanidis, Kyriakos ; Blackburn, Keith ; Rana, Maria Paola. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0299-7. Full description at Econpapers \|\| Download paper	4
24	2017	Novel advancements in the Markov chain stock model: analysis and inference. (2017). Barbu, Vlad Stefan ; Blasis, Riccardo ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0297-9. Full description at Econpapers \|\| Download paper	4
25	2019	Momentum and reversal in financial markets with persistent heterogeneity. (2019). Dindo, Pietro ; Bottazzi, Giulio ; Giachini, Daniele. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:4:d:10.1007_s10436-019-00353-0. Full description at Econpapers \|\| Download paper	4
26	2017	Does the Hurst index matter for option prices under fractional volatility?. (2017). Kijima, Masaaki ; Funahashi, Hideharu. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0289-1. Full description at Econpapers \|\| Download paper	4
27	2013	Regime-switching measure of systemic financial stress. (2013). Abdymomunov, Azamat. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:455-470. Full description at Econpapers \|\| Download paper	4
28	2017	Banking competition and welfare. (2017). Lucchetta, Marcella. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0288-2. Full description at Econpapers \|\| Download paper	4
29	2022	Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate. (2022). Zhang, Yumo. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:4:d:10.1007_s10436-022-00414-x. Full description at Econpapers \|\| Download paper	3
30	2009	Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311. Full description at Econpapers \|\| Download paper	3
31	2020	A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. (2020). Pesce, Marialaura ; Yannelis, Nicholas C ; Castro, Luciano I. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00349-w. Full description at Econpapers \|\| Download paper	3
32	2025	Climate stress test: bad (or good) news for the market? An event study analisys on euro zone banks. (2025). Torricelli, Costanza ; Ferrari, Fabio ; Pederzoli, Chiara. In: Annals of Finance. RePEc:kap:annfin:v:21:y:2025:i:1:d:10.1007_s10436-024-00459-0. Full description at Econpapers \|\| Download paper	3
33	2016	How suboptimal are linear sharing rules?. (2016). Nielsen, Jorgen Aase ; Jensen, Bjarne Astrup. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:2:d:10.1007_s10436-016-0279-3. Full description at Econpapers \|\| Download paper	3
34	2013	Dynamic capital structure and the contingent capital option. (2013). del Viva, Luca ; Barucci, Emilio. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:337-364. Full description at Econpapers \|\| Download paper	3
35	2022	Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors. (2022). Chevallier, Julien ; Nakhli, Mohamed Sahbi ; Dhaoui, Abderrazak. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:2:d:10.1007_s10436-021-00399-z. Full description at Econpapers \|\| Download paper	3
36	2012	Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Peng, Yue. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers \|\| Download paper	3
37	2023	A compositional analysis of systemic risk in European financial institutions. (2023). Porro, Francesco ; Fiori, Anna Maria. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00427-0. Full description at Econpapers \|\| Download paper	3
38	2020	Optimal trading of a basket of futures contracts. (2020). Leung, Tim ; Angoshtari, Bahman. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:2:d:10.1007_s10436-019-00357-w. Full description at Econpapers \|\| Download paper	3
39	2010	The two-fund separation theorem revisited. (2010). Wenzelburger, Jan. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:221-239. Full description at Econpapers \|\| Download paper	3
40	2013	Asset market games of survival: a synthesis of evolutionary and dynamic games. (2013). Schenk-HoppÃ©, Klaus ; Evstigneev, Igor ; AMIR, Rabah ; Schenk-Hoppe, Klaus. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144. Full description at Econpapers \|\| Download paper	3
41	2021	On modifications of the Bachelier model. (2021). Wan, Hongxi ; Melnikov, Alexander. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-020-00381-1. Full description at Econpapers \|\| Download paper	3
42	2020	A computable general equilibrium model for banking sector risk assessment in South Africa. (2020). Tsomocos, Dimitrios ; Seymore, Reyno ; Essel-Mensah, Kojo A ; Freitas, Allan. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:2:d:10.1007_s10436-020-00362-4. Full description at Econpapers \|\| Download paper	3
43	2024	Probability of no default for a microloan under uncertainty. (2024). Protter, Philip ; Boiquaye, Perpetual Andam. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:4:d:10.1007_s10436-024-00455-4. Full description at Econpapers \|\| Download paper	3
44	2020	Transparency and market discipline: evidence from the Russian interbank market. (2020). Semenova, Maria ; Guillemin, FranÃ§ois. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:2:d:10.1007_s10436-020-00361-5. Full description at Econpapers \|\| Download paper	3
45	2013	Technological advances and the decision to invest. (2013). Hansen, Simon ; Flor, Christian. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:383-420. Full description at Econpapers \|\| Download paper	3
46	2024	A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$ L 1 -pure jump additive processes and its application to portfolio optimization. (2024). Suzuki, Ryoichi ; Sakuma, Noriyoshi ; Handa, Masahiro. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:3:d:10.1007_s10436-024-00453-6. Full description at Econpapers \|\| Download paper	2
47	2009	Behavior in a simplified stock market: the status quo bias, the disposition effect and the ostrich effect. (2009). Kagel, John ; Brown, Alexander. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:1:p:1-14. Full description at Econpapers \|\| Download paper	2
48	2020	The price leadership share: a new measure of price discovery in financial markets. (2020). de Blasis, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00371-3. Full description at Econpapers \|\| Download paper	2
49	2009	Small firms in the SSBF. (2009). Krasa, Stefan. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:341-359. Full description at Econpapers \|\| Download paper	2
50	2022	A portfolio choice problem under risk capacity constraint. (2022). Zhu, Zimu ; Tian, Weidong. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:3:d:10.1007_s10436-021-00404-5. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 17

Year	Title
2025	Dynamic Information Acquisition, Investment, and Disclosure. (2025). Lee, Seung Y ; Marinovic, Ivn. In: Journal of Accounting Research. RePEc:bla:joares:v:63:y:2025:i:4:p:1547-1581. Full description at Econpapers \|\| Download paper
2025	Option pricing in a sentiment-biased stochastic volatility model. (2025). Patacca, Marco ; Fig-Talamanca, Gianna ; Cretarola, Alessandra. In: Annals of Finance. RePEc:kap:annfin:v:21:y:2025:i:1:d:10.1007_s10436-024-00448-3. Full description at Econpapers \|\| Download paper
2025	A fractional Hawkes process for illiquidity modeling. (2025). Dupret, Jean-Loup ; Hainaut, Donatien. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:1:d:10.1007_s11579-024-00379-7. Full description at Econpapers \|\| Download paper
2025	Governing professional microfinance associations: the Tanzanian case through the prism of institutional design. (2025). Caballero-Montes, Tristan ; Godfroid, Ccile. In: Review of Managerial Science. RePEc:spr:rvmgts:v:19:y:2025:i:2:d:10.1007_s11846-024-00767-9. Full description at Econpapers \|\| Download paper
2025	Turning Points in the CoreâPeriphery Displacement of Systemic Risk in the Eurozone: Constrained Weighted Compositional Clustering. (2025). Coenders, GermÃ ; Fiori, Anna Maria. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:21-:d:1575747. Full description at Econpapers \|\| Download paper
2025	Dollarization hysteresis, inflation jumps, and fear of inflation. (2025). Perez, Liu Mendoza ; Gil, Hamilton Galindo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:180:y:2025:i:c:s0165188925001605. 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	Why financial economics cannot explain financial management. (2025). CardÃ£o-Pito, Tiago ; Cardao-Pito, Tiago. In: International Review of Financial Analysis. RePEc:eee:finana:v:106:y:2025:i:c:s1057521925006453. Full description at Econpapers \|\| Download paper
2025	A new conceptual framework for SME financing and green performance and support in EU27. (2025). Marozzi, Marco. In: Annals of Finance. RePEc:kap:annfin:v:21:y:2025:i:4:d:10.1007_s10436-025-00471-y. Full description at Econpapers \|\| Download paper
2025	On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends. (2025). Babaei, Esmaeil. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:101:y:2025:i:1:d:10.1007_s00186-024-00881-0. Full description at Econpapers \|\| Download paper
2025	Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks. (2025). Kusuda, Koji ; Kikuchi, Kentaro ; Batbold, Bolorsuvd. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:2:d:10.1007_s10203-025-00527-8. Full description at Econpapers \|\| Download paper
2025	Deep Learning Option Pricing with Market Implied Volatility Surfaces. (2025). Cheung, Kin ; Lu, Egang ; Ding, Lijie. In: Papers. RePEc:arx:papers:2509.05911. Full description at Econpapers \|\| Download paper
2025	An uncertainty-aware physics-informed neural network solution for the Black-Scholes equation: a novel framework for option pricing. (2025). Kazemian, Sina ; Farhani, Ghazal ; Yazdi, Amirhessam. In: Papers. RePEc:arx:papers:2511.05519. Full description at Econpapers \|\| Download paper
2025	Solving Heterogeneous Agent Models with Physics-informed Neural Networks. (2025). Grzeskiewicz, Marta. In: Papers. RePEc:arx:papers:2511.20283. Full description at Econpapers \|\| Download paper
2025	Optimal control by policy improvements and constrained Gaussian process regressions. (2025). Dupret, Jean-Loup ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2025012. Full description at Econpapers \|\| Download paper
2025	Evaluating Nonprice Terms to Ration Microfinance Loans Based on Expected Loan Loss Function. (2025). Boiquaye, Perpetual Andam ; Gyamerah, Samuel Asante ; Salifu, Umoro Pharuk ; Sakyi-Yeboah, Enoch. In: Journal of Applied Mathematics. RePEc:wly:jnljam:v:2025:y:2025:i:1:n:6673908. Full description at Econpapers \|\| Download paper
2025	Bank risk in flux: policy interplay under uncertainty. (2025). Lucchetta, Marcella. In: Annals of Finance. RePEc:kap:annfin:v:21:y:2025:i:3:d:10.1007_s10436-025-00472-x. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2025

Year	Citing document
2025	Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective. (2025). Jarrow, Robert ; Grigorian, Karen. In: Papers. RePEc:arx:papers:2511.01486. Full description at Econpapers \|\| Download paper

Recent citations received in 2024

Year	Citing document
2024	American option pricing with model constrained Gaussian process regressions. (2024). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024023. Full description at Econpapers \|\| Download paper
2024	European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning. (2024). Gupta, Arvind Kumar ; Kumar, Arun ; Pasricha, Puneet ; Pande, Naman Krishna. In: Papers. RePEc:arx:papers:2410.10474. Full description at Econpapers \|\| Download paper
2024	On the relative performance of some parametric and nonparametric estimators of option prices. (2024). Marinelli, Carlo ; D'Addona, Stefano. In: Papers. RePEc:arx:papers:2412.00135. Full description at Econpapers \|\| Download paper
2024	Age-dependent robust strategic asset allocation with inflationâdeflation hedging demand. (2024). Kusuda, Koji ; Kikuchi, Kentaro. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:4:d:10.1007_s11579-024-00369-9. Full description at Econpapers \|\| Download paper

Recent citations received in 2023

Year	Citing document

Recent citations received in 2022

Year	Citing document
2022	Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models. (2022). Suaysom, Natchanon ; Lorig, Matthew. In: Papers. RePEc:arx:papers:2212.04425. Full description at Econpapers \|\| Download paper
2022	Exploring the causal links between investor sentiment and financial instability: A dynamic macro-financial analysis. (2022). Ayadi, Rim ; Nakhli, Mohamed Sahbi ; Sahut, Jean-Michel ; Gaies, Brahim. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:204:y:2022:i:c:p:290-303. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	100	151
2	Annals of Finance / Springer	23	58
3	The North American Journal of Economics and Finance / Elsevier	55	25
4	Insurance: Mathematics and Economics / Elsevier	59	21
5	European Journal of Operational Research / Elsevier	142	19
6	Finance Research Letters / Elsevier	96	17
7	International Review of Financial Analysis / Elsevier	95	16
8	International Review of Economics & Finance / Elsevier	68	15
9	Mathematics / MDPI	22	14
10	JRFM / MDPI	30	14
11	Finance and Stochastics / Springer	60	13