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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Finance and Stochastics / Springer

0.84

Impact Factor

0.95

5-Years IF

29

5-Years H index

[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 IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.09000 (%)0.03
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.190100 (%)0.07
19960.23444146002 (4.3%)0.09
19970.271620100.53634414 (3.9%)100.630.09
19980.40.270.42141100.2426520820818 (6.8%)20.10.1
19990.620.310.562566320.483153723412324 (7.6%)30.120.13
20000.350.390.481783420.51209461666324 (1.9%)40.240.15
20010.50.410.5729112580.524114221834719 (4.6%)40.140.16
20020.430.430.5538150740.4948746201085927 (5.5%)60.160.19
20030.550.450.521501030.69673713067 (%)0.19
20040.710.510.68291791230.6933538271097430 (9%)60.210.21
20050.380.540.74322111610.7635729111138435 (9.8%)70.220.22
20060.80.520.84282391880.79223614912810724 (10.8%)20.070.21
20070.650.450.7272661920.7222660391278928 (12.4%)60.220.18
20080.420.480.66232892400.8314255231167622 (15.5%)70.30.2
20090.70.480.77233122580.83147503513910712 (8.2%)80.350.19
20100.70.440.9243363110.93108463213312015 (13.9%)40.170.16
20110.70.530.71293653220.8814547331258914 (9.7%)100.340.21
20120.720.580.83303953930.9993533812610413 (14%)80.270.22
20130.80.710.89314264891.157459471291158 (10.8%)90.290.25
20140.840.810.95314575221.144761511371305 (10.6%)170.550.28
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in 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: 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:

[Click on heading to sort table]

YearTitleCited
2002Convex measures of risk and trading constraints. (2002). Follmer, Hans . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447.

Full description at Econpapers || Download paper

157
1997LIBOR and swap market models and measures (*). (1997). . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330.

Full description at Econpapers || Download paper

125
1997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*). (1997). Guillaume, Dominique M. ; Muller, Ulrich A. ; Olsen, Richard B. ; Dave, Rakhal R. ; Pictet, Olivier V.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129.

Full description at Econpapers || Download paper

99
1999Hedging and liquidation under transaction costs in currency markets. (1999). Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

Full description at Econpapers || Download paper

76
2002Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61.

Full description at Econpapers || Download paper

70
2004Liquidity risk and arbitrage pricing theory. (2004). Protter, Philip ; etin, Umut . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341.

Full description at Econpapers || Download paper

66
2006Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

Full description at Econpapers || Download paper

58
1999Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

Full description at Econpapers || Download paper

54
2005Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561.

Full description at Econpapers || Download paper

54
2005Inf-convolution of risk measures and optimal risk transfer. (2005). El Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

Full description at Econpapers || Download paper

50
1999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

Full description at Econpapers || Download paper

47
1998Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347.

Full description at Econpapers || Download paper

45
2001A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82.

Full description at Econpapers || Download paper

43
2001The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341.

Full description at Econpapers || Download paper

42
2001Utility maximization in incomplete markets with random endowment. (2001). Wang, Hui ; Schachermayer, Walter . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272.

Full description at Econpapers || Download paper

41
2007Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

Full description at Econpapers || Download paper

39
1998Optimization of consumption with labor income. (1998). Jeanblanc-Picque, Monique ; El Karoui, Nicole . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440.

Full description at Econpapers || Download paper

38
2007The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

Full description at Econpapers || Download paper

37
2004Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206.

Full description at Econpapers || Download paper

36
2002Optimal stopping and perpetual options for Lévy processes. (2002). . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493.

Full description at Econpapers || Download paper

36
2005Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

Full description at Econpapers || Download paper

35
1997Continuous-time term structure models: Forward measure approach (*). (1997). Musiela, Marek ; Rutkowski, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291.

Full description at Econpapers || Download paper

34
2001The relaxed investor and parameter uncertainty. (2001). . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154.

Full description at Econpapers || Download paper

33
2000Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463.

Full description at Econpapers || Download paper

33
2004Vector-valued coherent risk measures. (2004). Meddeb, Moncef ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

Full description at Econpapers || Download paper

33
2001Analytical value-at-risk with jumps and credit risk. (2001). Duffie, Darrell ; PAN, JUN . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:155-180.

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31
2009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

Full description at Econpapers || Download paper

31
1997Processes of normal inverse Gaussian type. (1997). . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68.

Full description at Econpapers || Download paper

30
2002Optimal capital structure and endogenous default. (2002). Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263.

Full description at Econpapers || Download paper

30
2000Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146.

Full description at Econpapers || Download paper

29
2000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Hojgaard, Bjarne ; Asmussen, Soren ; Taksar, Michael . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

Full description at Econpapers || Download paper

29
1998Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Shiryaev, A. N. ; Jacod, J.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273.

Full description at Econpapers || Download paper

29
1996Irreversible investment and industry equilibrium (*). (1996). Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89.

Full description at Econpapers || Download paper

28
2007Optimal investments for risk- and ambiguity-averse preferences: a duality approach. (2007). . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:107-129.

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28
2001Coherent risk measures and good-deal bounds. (2001). Jaschke, Stefan ; Kuchler, Uwe . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200.

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28
2011Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

Full description at Econpapers || Download paper

27
1998Asymptotic arbitrage in large financial markets. (1998). Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172.

Full description at Econpapers || Download paper

27
2002An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; CLeMENT, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471.

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27
2002A multicurrency extension of the lognormal interest rate Market Models. (2002). . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:173-196.

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26
1999On dynamic measures of risk. (1999). Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:451-482.

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26
2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization. (2001). Ruschendorf, Ludger ; Goll, Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:4:p:557-581.

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25
1998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; SONER, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

Full description at Econpapers || Download paper

25
2005Pricing contingent claims with credit risk: Asymptotic expansion approach. (2005). Muroi, Yoshifumi . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:3:p:415-427.

Full description at Econpapers || Download paper

25
2004An example of indifference prices under exponential preferences. (2004). Musiela, Marek ; Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239.

Full description at Econpapers || Download paper

25
2008Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244.

Full description at Econpapers || Download paper

25
2006A super-replication theorem in Kabanov’s model of transaction costs. (2006). Campi, Luciano ; Schachermayer, Walter . In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:4:p:579-596.

Full description at Econpapers || Download paper

24
1997On the range of options prices (*). (1997). Eberlein, Ernst ; Jacod, Jean . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140.

Full description at Econpapers || Download paper

23
1998Portfolio optimisation with strictly positive transaction costs and impulse control. (1998). Korn, Ralf . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:85-114.

Full description at Econpapers || Download paper

23
2006A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim . In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330.

Full description at Econpapers || Download paper

23
2005Diversity and relative arbitrage in equity markets. (2005). Kardaras, Constantinos ; Fernholz, Robert ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27.

Full description at Econpapers || Download paper

23

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
2002Convex measures of risk and trading constraints. (2002). Follmer, Hans . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447.

Full description at Econpapers || Download paper

70
1998Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347.

Full description at Econpapers || Download paper

37
2006Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74.

Full description at Econpapers || Download paper

31
2004Liquidity risk and arbitrage pricing theory. (2004). Protter, Philip ; etin, Umut . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341.

Full description at Econpapers || Download paper

28
2011Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605.

Full description at Econpapers || Download paper

25
2007The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493.

Full description at Econpapers || Download paper

25
2004Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206.

Full description at Econpapers || Download paper

25
2009Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

Full description at Econpapers || Download paper

24
2005Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561.

Full description at Econpapers || Download paper

24
1999Hedging and liquidation under transaction costs in currency markets. (1999). Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248.

Full description at Econpapers || Download paper

23
1999Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273.

Full description at Econpapers || Download paper

23
2007Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50.

Full description at Econpapers || Download paper

20
2005Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492.

Full description at Econpapers || Download paper

20
2001A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82.

Full description at Econpapers || Download paper

19
2004Vector-valued coherent risk measures. (2004). Meddeb, Moncef ; Touzi, Nizar . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552.

Full description at Econpapers || Download paper

19
2013Model-independent bounds for option prices—a mass transport approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501.

Full description at Econpapers || Download paper

19
1997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*). (1997). Guillaume, Dominique M. ; Muller, Ulrich A. ; Olsen, Richard B. ; Dave, Rakhal R. ; Pictet, Olivier V.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129.

Full description at Econpapers || Download paper

18
1997LIBOR and swap market models and measures (*). (1997). . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330.

Full description at Econpapers || Download paper

16
2000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Hojgaard, Bjarne ; Asmussen, Soren ; Taksar, Michael . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324.

Full description at Econpapers || Download paper

15
2005Inf-convolution of risk measures and optimal risk transfer. (2005). El Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298.

Full description at Econpapers || Download paper

15
2000Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463.

Full description at Econpapers || Download paper

15
2006A super-replication theorem in Kabanov’s model of transaction costs. (2006). Campi, Luciano ; Schachermayer, Walter . In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:4:p:579-596.

Full description at Econpapers || Download paper

15
2002Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61.

Full description at Econpapers || Download paper

14
2006A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim . In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330.

Full description at Econpapers || Download paper

13
2002Optimal stopping and perpetual options for Lévy processes. (2002). . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493.

Full description at Econpapers || Download paper

13
1998Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; SONER, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397.

Full description at Econpapers || Download paper

12
2008Pricing by hedging and no-arbitrage beyond semimartingales. (2008). Bender, Christian ; Valkeila, Esko . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:4:p:441-468.

Full description at Econpapers || Download paper

12
2004Maturity cycles in implied volatility. (2004). Papanicolaou, George ; Sircar, Ronnie ; Solna, Knut ; Fouque, Jean-Pierre . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:451-477.

Full description at Econpapers || Download paper

12
1996Irreversible investment and industry equilibrium (*). (1996). Karatzas, Ioannis . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89.

Full description at Econpapers || Download paper

12
2001Utility maximization in incomplete markets with random endowment. (2001). Wang, Hui ; Schachermayer, Walter . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272.

Full description at Econpapers || Download paper

12
1998Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Shiryaev, A. N. ; Jacod, J.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273.

Full description at Econpapers || Download paper

12
2010Representation of the penalty term of dynamic concave utilities. (2010). Gianin, Emanuela Rosazza ; Peng, Shige ; Delbaen, Freddy ; RosazzaGianin, Emanuela . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472.

Full description at Econpapers || Download paper

11
1998Portfolio optimisation with strictly positive transaction costs and impulse control. (1998). Korn, Ralf . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:85-114.

Full description at Econpapers || Download paper

11
2008Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244.

Full description at Econpapers || Download paper

11
2013Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. (2013). Yang, Jingping ; Wang, Ruodu ; Peng, Liang . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:2:p:395-417.

Full description at Econpapers || Download paper

11
2002The cumulant process and Esschers change of measure. (2002). Shiryaev, Albert N. ; Kallsen, Jan . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428.

Full description at Econpapers || Download paper

11
2002Optimal capital structure and endogenous default. (2002). Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263.

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11
2012Market viability via absence of arbitrage of the first kind. (2012). Kardaras, Constantinos . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:651-667.

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11
2011Pension funds with a minimum guarantee: a stochastic control approach. (2011). Di Giacinto, Marina ; Federico, Salvatore . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:2:p:297-342.

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11
2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization. (2001). Ruschendorf, Ludger ; Goll, Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:4:p:557-581.

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10
2010Hedging variance options on continuous semimartingales. (2010). Carr, Peter ; Lee, Roger . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:2:p:179-207.

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10
1997Continuous-time term structure models: Forward measure approach (*). (1997). Musiela, Marek ; Rutkowski, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291.

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10
2001The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341.

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10
2000Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146.

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10
2012Irreversible investment in oligopoly. (2012). . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:2:p:207-224.

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9
1999Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel . In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412.

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9
2010Zero-intelligence realized variance estimation. (2010). Gatheral, Jim ; Oomen, Roel . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:2:p:249-283.

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9
2004An example of indifference prices under exponential preferences. (2004). Musiela, Marek ; Zariphopoulou, Thaleia . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239.

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9
2011Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654.

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9
2001Coherent risk measures and good-deal bounds. (2001). Jaschke, Stefan ; Kuchler, Uwe . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200.

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9

Citing documents used to compute impact factor 51:

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YearTitleSee
2014Duality Theory for Portfolio Optimisation under Transaction Costs. (2014). Czichowsky, Christoph ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1408.5989.

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[Citation Analysis]
2014Risk aggregation with dependence uncertainty. (2014). Bernard, Carole ; Jiang, Xiao ; Wang, Ruodu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:93-108.

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2014Characterizing mutual exclusivity as the strongest negative multivariate dependence structure. (2014). Lo, Ambrose ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:180-190.

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[Citation Analysis]
2014A General Duality Relation with Applications in Quantitative Risk Management. (2014). Embrechts, Paul ; Shahverdyan, Sergey ; Hauser, Raphael . In: Papers. RePEc:arx:papers:1410.0852.

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[Citation Analysis]
2014Transaction costs, trading volume, and the liquidity premium. (2014). Muhle-Karbe, Johannes ; Schachermayer, Walter ; Gerhold, Stefan ; Guasoni, Paolo . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:1-37.

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[Citation Analysis]
2014Asymptotic arbitrage with small transaction costs. (2014). Lepinette, Emmanuel ; Perez-Ostafe, Lavinia ; Klein, Irene . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:4:p:917-939.

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[Citation Analysis]
2014Non-Arbitrage up to Random Horizon for Semimartingale Models. (2014). Aksamit, Anna ; Choulli, Tahir ; Jeanblanc, Monique ; Deng, Jun . In: Papers. RePEc:arx:papers:1310.1142.

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[Citation Analysis]
2014On the characterisation of honest times that avoid all stopping times. (2014). Kardaras, Constantinos . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:373-384.

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[Citation Analysis]
2014On arbitrages arising with honest times. (2014). FONTANA, CLAUDIO ; Song, Shiqi ; Jeanblanc, Monique . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:515-543.

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2014A continuous auction model with insiders and random time of information release. (2014). Oksendal, Bernt ; Jos'e Manuel Corcuera, ; Di Nunno, Giulia ; Farkas, Gergely . In: Papers. RePEc:arx:papers:1411.2835.

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2014Multilevel approximation of backward stochastic differential equations. (2014). Becherer, Dirk ; Turkedjiev, Plamen . In: Papers. RePEc:arx:papers:1412.3140.

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2014A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities. (2014). Taflin, Erik ; Aktar, Yalccin . In: Papers. RePEc:arx:papers:1405.3566.

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2014Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk. (2014). Seifried, Frank Thomas ; Seiferling, Thomas ; Kraft, Holger . In: SAFE Working Paper Series. RePEc:zbw:safewp:52.

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2014Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure. (2014). Li, Duan ; Cui, Xiangyu . In: Papers. RePEc:arx:papers:1403.0718.

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2014A theory of Markovian time-inconsistent stochastic control in discrete time. (2014). Murgoci, Agatha ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:545-592.

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2014Martingale Inequalities and Deterministic Counterparts. (2014). Nutz, Marcel ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1401.4698.

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[Citation Analysis]
2014Robust hedging with proportional transaction costs. (2014). Soner, H. ; Dolinsky, Yan . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:327-347.

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[Citation Analysis]
2014Change of numeraire in the two-marginals martingale transport problem. (2014). Martini, Claude ; Campi, Luciano ; Laachir, Ismail . In: Papers. RePEc:arx:papers:1406.6951.

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2014Superreplication under model uncertainty in discrete time. (2014). Nutz, Marcel . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:4:p:791-803.

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2014Model-Independent Pricing of Asian Options via Optimal Martingale Transport. (2014). Stebegg, Florian . In: Papers. RePEc:arx:papers:1412.1429.

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[Citation Analysis]
2014Longevity risk, cost of capital and hedging for life insurers under Solvency II. (2014). Sherris, Michael ; Meyricke, Ramona . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:147-155.

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2014Volatility swaps and volatility options on discretely sampled realized variance. (2014). Lian, GuangHua ; Kalev, Petko S.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:47:y:2014:i:c:p:239-262.

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2014Optimal dividend strategies with time-inconsistent preferences. (2014). Chen, Shumin ; Li, Zhongfei ; Zeng, Yan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:46:y:2014:i:c:p:150-172.

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2014Partial information about contagion risk, self-exciting processes and portfolio optimization. (2014). Meinerding, Christoph ; Branger, Nicole ; Kraft, Holger . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:39:y:2014:i:c:p:18-36.

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2014BSDEs under partial information and financial applications. (2014). Cretarola, Alessandra ; Russo, Francesco ; Ceci, Claudia . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:8:p:2628-2653.

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2014Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Papers. RePEc:arx:papers:1406.6902.

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[Citation Analysis]
2014Irreversible Investment Under Lévy Uncertainty: An Equation for the Optimal Boundary. (2014). Ferrari, Giorgio ; Salminen, Paavo . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:530.

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[Citation Analysis]
2014Irreversible Investment under L\evy Uncertainty: an Equation for the Optimal Boundary. (2014). Ferrari, Giorgio ; Salminen, Paavo . In: Papers. RePEc:arx:papers:1411.2395.

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[Citation Analysis]
2014Representation of infinite dimensional forward price models in commodity markets. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1403.4111.

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[Citation Analysis]
2014Non-arbitrage for Informational Discrete Time Market Models. (2014). Deng, Jun ; Choulli, Tahir . In: Papers. RePEc:arx:papers:1407.1453.

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[Citation Analysis]
2014On arbitrages arising with honest times. (2014). FONTANA, CLAUDIO ; Song, Shiqi ; Jeanblanc, Monique . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:515-543.

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[Citation Analysis]
2014Pricing and hedging of variable annuities with state-dependent fees. (2014). Delong, ukasz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:24-33.

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[Citation Analysis]
2014BSDEs, càdlàg martingale problems and mean-variance hedging under basis risk. (2014). Laachir, Ismail ; Russo, Francesco . In: Working Papers. RePEc:hal:wpaper:hal-01086227.

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[Citation Analysis]
2014Model-Independent Pricing of Asian Options via Optimal Martingale Transport. (2014). Stebegg, Florian . In: Papers. RePEc:arx:papers:1412.1429.

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[Citation Analysis]
2014Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model. (2014). Chiarolla, Maria B. ; De Angelis, Tiziano . In: Papers. RePEc:arx:papers:1212.0781.

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[Citation Analysis]
2014Pricing and Hedging Long-Term Options. (2014). Park, Hyungbin . In: Papers. RePEc:arx:papers:1410.8160.

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[Citation Analysis]
2014Examining macroeconomic models through the lens of asset pricing. (2014). Borovika, Jaroslav ; Hansen, Lars Peter . In: Journal of Econometrics. RePEc:eee:econom:v:183:y:2014:i:1:p:67-90.

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2014Optimal dividend policy with random interest rates. (2014). Akyildirim, Erdin ; Soner, Mete H. ; Rochet, Jean-Charles ; Guney, Ethem I.. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:51:y:2014:i:c:p:93-101.

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2014A note on the condition of no unbounded profit with bounded risk. (2014). Takaoka, Koichiro ; Schweizer, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:393-405.

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2014A benchmark approach to risk-minimization under partial information. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:129-146.

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2014Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$. (2014). Song, Shiqi . In: Papers. RePEc:arx:papers:1405.4474.

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[Citation Analysis]
2014Duality Theory for Portfolio Optimisation under Transaction Costs. (2014). Czichowsky, Christoph ; Schachermayer, Walter . In: Papers. RePEc:arx:papers:1408.5989.

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[Citation Analysis]
2014Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension. (2014). Strong, Winslow . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:487-514.

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[Citation Analysis]
2014Pricing average options under time-changed Lévy processes. (2014). Yamazaki, Akira . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:1:p:79-111.

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[Citation Analysis]
2014Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps. (2014). Sgarra, Carlo ; Keller-Ressel, Martin ; Hubalek, Friedrich . In: Papers. RePEc:arx:papers:1407.2514.

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[Citation Analysis]
2014Volatility swaps and volatility options on discretely sampled realized variance. (2014). Lian, GuangHua ; Kalev, Petko S.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:47:y:2014:i:c:p:239-262.

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[Citation Analysis]
2014This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More gene. (2014). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf347.

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[Citation Analysis]
2014Asymptotic arbitrage with small transaction costs. (2014). Lepinette, Emmanuel ; Perez-Ostafe, Lavinia ; Klein, Irene . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:4:p:917-939.

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[Citation Analysis]
2014Updating the option implied probability of default methodology. (2014). Vilsmeier, Johannes . In: Discussion Papers. RePEc:zbw:bubdps:432014.

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[Citation Analysis]
2014Infinitesimal generators of q-Meixner processes. (2014). Wesoowski, Jacek ; Bryc, Wlodzimierz . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:915-926.

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[Citation Analysis]
2014Arbitrage in markets with bid-ask spreads. (2014). Rola, Przemyslaw . In: Papers. RePEc:arx:papers:1407.3372.

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Cites in year: CiY

Recent citations received in: 2014

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YearTitleSee
2014Law-invariant risk measures: extension properties and qualitative robustness. (2014). Munari, Cosimo ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3121.

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2014Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo . In: Papers. RePEc:arx:papers:1401.3133.

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[Citation Analysis]
2014Rebalancing with Linear and Quadratic Costs. (2014). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko . In: Papers. RePEc:arx:papers:1402.5306.

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[Citation Analysis]
2014Representation of infinite dimensional forward price models in commodity markets. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1403.4111.

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[Citation Analysis]
2014Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu . In: Papers. RePEc:arx:papers:1405.3769.

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[Citation Analysis]
2014Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$. (2014). Song, Shiqi . In: Papers. RePEc:arx:papers:1405.4474.

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[Citation Analysis]
2014Consistent Price Systems under Model Uncertainty. (2014). Bouchard, Bruno ; Nutz, Marcel . In: Papers. RePEc:arx:papers:1408.5510.

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[Citation Analysis]
2014Long Term Optimal Investment in Matrix Valued Factor Models. (2014). Xing, Hao ; Robertson, Scott . In: Papers. RePEc:arx:papers:1408.7010.

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[Citation Analysis]
2014Efficient price dynamics in a limit order market: an utility indifference approach. (2014). Fukasawa, Masaaki . In: Papers. RePEc:arx:papers:1410.8224.

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[Citation Analysis]
2014Risk measures with the CxLS property. (2014). Bellini, Fabio ; Bignozzi, Valeria ; Ziegel, Johanna F. ; Delbaen, Freddy . In: Papers. RePEc:arx:papers:1411.0426.

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[Citation Analysis]
2014Derivatives pricing in energy markets: an infinite dimensional approach. (2014). Benth, Fred Espen ; Kruhner, Paul . In: Papers. RePEc:arx:papers:1412.7943.

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[Citation Analysis]
2014Capital requirements with defaultable securities. (2014). Munari, Cosimo ; Farkas, Walter ; Koch-Medina, Pablo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:58-67.

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2014A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty. (2014). Bayraktar, Erhan ; Zhou, Zhou ; Zhang, Yuchong . In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:4:p:425-433:d:41048.

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[Citation Analysis]
2014Robust Fundamental Theorem for Continuous Processes. (2014). Biagini, Sara ; Nutz, Marcel ; Kardaras, Constantinos ; Bouchard, Bruno . In: Working Papers. RePEc:hal:wpaper:hal-01076062.

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2014Large Deviations for the Extended Heston Model: The Large-Time Case. (2014). Mijatovi, Aleksandar ; Jacquier, Antoine . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:21:y:2014:i:3:p:263-280.

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[Citation Analysis]
2014Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension. (2014). Strong, Winslow . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:487-514.

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[Citation Analysis]
2014On arbitrages arising with honest times. (2014). FONTANA, CLAUDIO ; Song, Shiqi ; Jeanblanc, Monique . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:515-543.

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Recent citations received in: 2013

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YearTitleSee
2013On arbitrages arising from honest times. (2013). FONTANA, CLAUDIO ; Song, Shiqi ; Jeanblanc, Monique . In: Papers. RePEc:arx:papers:1207.1759.

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2013Pricing American options via multi-level approximation methods. (2013). Belomestny, Denis ; Nagapetyan, Tigran ; Dickmann, Fabian . In: Papers. RePEc:arx:papers:1303.1334.

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[Citation Analysis]
2013A variation of the Canadisation algorithm for the pricing of American options driven by L\evy processes. (2013). Kleinert, Florian ; van Schaik, Kees . In: Papers. RePEc:arx:papers:1304.4534.

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[Citation Analysis]
2013Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes. (2013). Zhou, Enlu ; Zhu, Helin ; Ye, Fan . In: Papers. RePEc:arx:papers:1305.4321.

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[Citation Analysis]
2013Optimal robust bounds for variance options. (2013). Alexander M. G. Cox, ; Wang, Jiajie . In: Papers. RePEc:arx:papers:1308.4363.

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2013Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates. (2013). Wang, Bin ; Puccetti, Giovanni . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:821-828.

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2013Model uncertainty and VaR aggregation. (2013). Puccetti, Giovanni ; Embrechts, Paul ; Ruschendorf, Ludger . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:8:p:2750-2764.

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2013Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions *. (2013). Bouchard, Bruno ; Nutz, Marcel . In: Working Papers. RePEc:hal:wpaper:hal-00846830.

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[Citation Analysis]
2013On the game interpretation of a shadow price process in utility maximization problems under transaction costs. (2013). Rokhlin, Dmitry. In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:819-838.

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[Citation Analysis]

Recent citations received in: 2012

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YearTitleSee
2012A note on super-hedging for investor-producers. (2012). Huu, Adrien Nguyen . In: Papers. RePEc:arx:papers:1112.4740.

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2012A Note on A Family of Maximum Entropy Densities Matching Call Option Prices. (2012). Neri, Cassio ; Schneider, Lorenz . In: Papers. RePEc:arx:papers:1212.4279.

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2012On an Integral Equation for the Free Boundary of Stochastic, Irreversible Investment Problems. (2012). Ferrari, Giorgio . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:471.

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[Citation Analysis]
2012Symmetric equilibrium strategies in game theoretic real option models. (2012). Huisman, Kuno J. M., ; Thijssen, Jacco J. J., ; Kort, Peter M.. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:48:y:2012:i:4:p:219-225.

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2012On absolutely continuous compensators and nonlinear filtering equations in default risk models. (2012). etin, Umut . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:11:p:3619-3647.

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2012On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs. (2012). Paulsen, Jostein ; Bai, Lihua . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:12:p:4005-4027.

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2012A note on super-hedging for investor-producers. (2012). Huu, Adrien Nguyen . In: Working Papers. RePEc:hal:wpaper:hal-00653982.

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2012Model-independent hedging strategies for variance swaps. (2012). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:611-649.

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Recent citations received in: 2011

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2011Implied Volatility Surface: Construction Methodologies and Characteristics. (2011). Homescu, Cristian . In: Papers. RePEc:arx:papers:1107.1834.

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2011Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models. (2011). Mijatovic, Aleksandar ; Keller-Ressel, Martin ; Jacquier, Antoine . In: Papers. RePEc:arx:papers:1108.3998.

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2011The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi . In: Papers. RePEc:arx:papers:1109.6154.

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2011Monte Carlo methods via a dual approach for some discrete time stochastic control problems. (2011). Hambly, Ben ; Gyurko, Lajos Gergely ; Witte, Jan Hendrik . In: Papers. RePEc:arx:papers:1112.4351.

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2011On efficiency of mean-variance based portfolio selection in DC pension schemes. (2011). Vigna, Elena . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:154.

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2011Measure preserving derivatives and the pricing kernel puzzle. (2011). Beare, Brendan K.. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:47:y:2011:i:6:p:689-697.

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2011Investment/consumption problem in illiquid markets with regimes switching. (2011). Pham, Huyen ; Gassiat, Paul . In: Working Papers. RePEc:hal:wpaper:hal-00610214.

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2011On the existence of shadow prices. (2011). Benedetti, Giuseppe ; Campi, Luciano ; Muhle-Karbe, Johannes ; Kallsen, Jan . In: Working Papers. RePEc:hal:wpaper:hal-00645980.

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2011Pension funds with a minimum guarantee: a stochastic control approach. (2011). Di Giacinto, Marina ; Federico, Salvatore . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:2:p:297-342.

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2011The Small and Large Time Implied Volatilities in the Minimal Market Model. (2011). Platen, Eckhard ; Guo, Zhi . In: Research Paper Series. RePEc:uts:rpaper:297.

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