Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2023-11-03 08:28:08]

5 Years H Index

Impact Factor (IF)

1.22

5 Years IF

1.25

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	0.1	0.12	0	17	17	523	1	2	0		0		1	100	1	0.06	0.05
1992	0	0.11	0.03	0	16	33	615	1	3	17		17			0	1	0.06	0.05
1993	0.09	0.13	0.15	0.09	21	54	434	8	11	33	3	33	3	4	50	3	0.14	0.06
1994	0.08	0.14	0.12	0.06	20	74	727	9	20	37	3	54	3	2	22.2	2	0.1	0.07
1995	0.29	0.22	0.38	0.31	19	93	816	35	55	41	12	74	23		0	8	0.42	0.1
1996	0.67	0.25	0.55	0.44	19	112	1278	60	117	39	26	93	41		0	4	0.21	0.12
1997	0.68	0.24	0.65	0.54	18	130	1540	83	201	38	26	95	51	3	3.6	9	0.5	0.11
1998	0.76	0.28	0.69	0.58	20	150	818	103	304	37	28	97	56	5	4.9	5	0.25	0.13
1999	0.76	0.3	0.82	0.68	16	166	2977	134	440	38	29	96	65	6	4.5	8	0.5	0.15
2000	1.03	0.36	1.36	1.27	28	194	955	259	704	36	37	92	117	1	0.4	5	0.18	0.16
2001	0.77	0.38	1.25	1.07	20	214	605	264	971	44	34	101	108	3	1.1	4	0.2	0.17
2002	0.56	0.41	1.1	1.11	25	239	869	260	1234	48	27	102	113		0	5	0.2	0.21
2003	0.64	0.44	1.28	1	26	265	458	335	1573	45	29	109	109	10	3	6	0.23	0.22
2004	0.94	0.49	1.57	1.36	30	295	787	458	2036	51	48	115	156	13	2.8	6	0.2	0.22
2005	0.73	0.5	1.49	0.88	29	324	799	481	2520	56	41	129	113	8	1.7	17	0.59	0.23
2006	1.02	0.5	1.5	0.98	33	357	998	532	3054	59	60	130	127	12	2.3	10	0.3	0.22
2007	0.87	0.46	1.6	0.9	27	384	657	610	3670	62	54	143	129	9	1.5	8	0.3	0.2
2008	1.12	0.49	1.61	1.03	30	414	782	663	4338	60	67	145	150	28	4.2	15	0.5	0.23
2009	0.72	0.47	1.62	0.97	22	436	522	706	5044	57	41	149	145	41	5.8	10	0.45	0.24
2014	0	0.55	2.16	2.45	16	452	356	973	9261	0		22	54	20	2.1	7	0.44	0.23
2015	1.19	0.55	2.03	1.19	28	480	324	971	10233	16	19	16	19		0	6	0.21	0.23
2016	1.14	0.53	2.37	1.14	33	513	471	1208	11447	44	50	44	50	8	0.7	22	0.67	0.21
2017	1.26	0.54	1.98	1.34	35	548	307	1079	12530	61	77	77	103	2	0.2	13	0.37	0.22
2018	1.53	0.56	1.97	1.5	37	585	196	1155	13685	68	104	112	168	17	1.5	15	0.41	0.24
2019	1.03	0.58	1.9	1.46	35	620	340	1180	14865	72	74	149	218	10	0.8	29	0.83	0.23
2020	1.18	0.7	2.08	1.35	47	667	231	1385	16250	72	85	168	227	52	3.8	24	0.51	0.33
2021	1.82	0.87	2.04	1.5	42	709	82	1449	17699	82	149	187	281	103	7.1	11	0.26	0.32
2022	1.22	1	1.81	1.25	24	733	22	1326	19025	89	109	196	245	38	2.9	9	0.38	0.31

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 ; Delbaen, Freddy ; Heath, David ; Eber, Jean-Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers \|\| Download paper	2463
2	1996	A YIELD-FACTOR 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	738
3	1997	Backward Stochastic Differential Equations in Finance. (1997). ElKaroui, N. ; Quenez, M. C. ; Peng, S. ; El Karoui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers \|\| Download paper	474
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	414
5	2000	Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers \|\| Download paper	268
6	1998	Long memory in continuousÃ¢â¬Âtime 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	241
7	1997	The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155. Full description at Econpapers \|\| Download paper	234
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	225
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	176
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	174
11	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	153
12	1993	BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375. Full description at Econpapers \|\| Download paper	147
13	1992	ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106. Full description at Econpapers \|\| Download paper	146
14	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	145
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	144
16	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	141
17	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	139
18	2007	AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers \|\| Download paper	135
19	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	128
20	2003	Stochastic Volatility for LÃÂ©vy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382. Full description at Econpapers \|\| Download paper	127
21	1992	DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; PagÃÆÃÂ¨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	126
22	2000	Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276. Full description at Econpapers \|\| Download paper	123
23	2008	BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers \|\| Download paper	122
24	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	122
25	1996	HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165. Full description at Econpapers \|\| Download paper	121
26	2002	Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123. Full description at Econpapers \|\| Download paper	120
27	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	119
28	1997	Pricing Stock Options in a JumpÃ¢â¬ÂDiffusion 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	115
29	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	114
30	1997	Bond Market Structure in the Presence of Marked Point Processes. (1997). ÃÅ¡ÃÂ°ÃÂ±ÃÂ°ÃÂ½ÃÂ¾ÃÂ², ÃÂ®Ãâ¬ÃÂ¸ÃÂ¹ ; Runggaldier, Wolfgang ; Bjork, Tomas ; Kabanov, Yuri . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239. Full description at Econpapers \|\| Download paper	113
31	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	113
32	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	111
33	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	107
34	1995	VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE. (1995). Sankarasubramanian, L. ; Ritchken, Peter . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72. Full description at Econpapers \|\| Download paper	104
35	2007	THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14. Full description at Econpapers \|\| Download paper	104
36	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃÆÃÂ¨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	103
37	2001	The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims. (2001). Takahashi, Akihiko ; Kunitomo, Naoto. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:1:p:117-151. Full description at Econpapers \|\| Download paper	101
38	1999	Term Structure Models Driven by General LÃÂ©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	98
39	2009	RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214. Full description at Econpapers \|\| Download paper	98
40	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	98
41	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	97
42	2019		96
43	1997	A Continuity Correction for Discrete Barrier Options. (1997). Glasserman, Paul ; Broadie, Mark ; Kou, Steven. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349. Full description at Econpapers \|\| Download paper	92
44	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	91
45	1998	Robustness of the Black and Scholes Formula. (1998). el Karoui, Nicole ; Jeanblanc-Picque, Monique ; Shreve, Steven E.. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126. Full description at Econpapers \|\| Download paper	90
46	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	90
47	1996	OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL. (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	90
48	2002	VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373. Full description at Econpapers \|\| Download paper	87
49	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	86
50	1997	Contingent Claims and Market Completeness in a Stochastic Volatility Model. (1997). Touzi, Nizar ; Romano, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:399-412. Full description at Econpapers \|\| Download paper	85

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 ; Delbaen, Freddy ; Heath, David ; Eber, Jean-Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers \|\| Download paper	474
2	1997	Backward Stochastic Differential Equations in Finance. (1997). ElKaroui, N. ; Quenez, M. C. ; Peng, S. ; El Karoui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers \|\| Download paper	85
3	2019		72
4	2000	Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers \|\| Download paper	58
5	1996	A YIELD-FACTOR 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	54
6	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	52
7	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
8	1998	Long memory in continuousÃ¢â¬Âtime 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	45
9	2007	AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers \|\| Download paper	36
10	2016	RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Amini, Hamed ; Minca, Andreea ; Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365. Full description at Econpapers \|\| Download paper	33
11	2019	Mean field and nÃ¢â¬Âagent 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	31
12	2016	A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Beiglbock, M ; Schachermayer, W ; Penkner, F ; Acciaio, B. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:233-251. Full description at Econpapers \|\| Download paper	30
13	2008	BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers \|\| Download paper	30
14	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	29
15	1997	The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155. Full description at Econpapers \|\| Download paper	28
16	2014	MEANÃ¢â¬âVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Bjork, Tomas ; Yu, Xun ; Murgoci, Agatha . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers \|\| Download paper	27
17	2000	Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276. Full description at Econpapers \|\| Download paper	26
18	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	25
19	2006	DISTRIBUTION-INVARIANT 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	25
20	2019		25
21	2005	ON THE AMERICAN OPTION PROBLEM. (2005). Peskir, Goran . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:169-181. Full description at Econpapers \|\| Download paper	24
22	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	24
23	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	23
24	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	23
25	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃÆÃÂ¨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	23
26	2007	THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14. Full description at Econpapers \|\| Download paper	22
27	2003	Stochastic Volatility for LÃÂ©vy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382. Full description at Econpapers \|\| Download paper	22
28	2009	RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214. Full description at Econpapers \|\| Download paper	21
29	2020	Network valuation in financial systems. (2020). D'Errico, Marco ; Caccioli, Fabio ; Bardoscia, Marco ; Barucca, Paolo ; Battiston, Stefano ; Caldarelli, Guido ; Visentin, Gabriele. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1181-1204. Full description at Econpapers \|\| Download paper	21
30	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	21
31	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	20
32	2017	THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL. (2017). Grasselli, Martino. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:4:p:1013-1034. Full description at Econpapers \|\| Download paper	20
33	2015	OPTIMAL INSURANCE DESIGN UNDER RANK-DEPENDENT EXPECTED UTILITY. (2015). Bernard, Carole ; Yu, Xun ; Yan, Jia-An ; He, Xue Dong. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:1:p:154-186. Full description at Econpapers \|\| Download paper	20
34	2015	OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS. (2015). Espinosa, Gilles-Edouard ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:2:p:221-257. Full description at Econpapers \|\| Download paper	20
35	2006	RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES. (2006). Scandolo, Giacomo ; Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:4:p:589-612. Full description at Econpapers \|\| Download paper	20
36	2020	MeanÃ¢â¬Âfield games with differing beliefs for algorithmic trading. (2020). Jaimungal, Sebastian ; Casgrain, Philippe. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:995-1034. Full description at Econpapers \|\| Download paper	19
37	2005	A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS. (2005). Pages, Gilles ; Bally, Vlad ; Printems, Jacques . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:119-168. Full description at Econpapers \|\| Download paper	18
38	2002	Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123. Full description at Econpapers \|\| Download paper	18
39	1992	Pricing Options With Curved Boundaries. (1992). Ikeda, Masayuki ; Kunitomo, Naoto. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:4:p:275-298. Full description at Econpapers \|\| Download paper	18
40	2008	PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÃâ°VY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH. (2008). Mingfeng, LI ; Linetsky, Vadim. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:337-384. Full description at Econpapers \|\| Download paper	18
41	2001	The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims. (2001). Takahashi, Akihiko ; Kunitomo, Naoto. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:1:p:117-151. Full description at Econpapers \|\| Download paper	18
42	2018	ROBUST UTILITY MAXIMIZATION WITH LÃÆÃ¢â¬Â°VY PROCESSES. (2018). Neufeld, Ariel ; Nutz, Marcel. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:1:p:82-105. Full description at Econpapers \|\| Download paper	16
43	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	16
44	2006	DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION. (2006). Shim, Gyoocheol ; Choi, Kyoung Jin. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:443-467. Full description at Econpapers \|\| Download paper	16
45	1992	DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; PagÃÆÃÂ¨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	16
46	2016	A NOTE ON THE QUANTILE FORMULATION. (2016). Xu, Zuoquan . In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:3:p:589-601. Full description at Econpapers \|\| Download paper	16
47	2009	AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS. (2009). Chambers, Christopher. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:335-342. Full description at Econpapers \|\| Download paper	16
48	2017	TRADING WITH SMALL PRICE IMPACT. (2017). Moreau, Ludovic ; Soner, Mete H ; Muhle-Karbe, Johannes. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:2:p:350-400. Full description at Econpapers \|\| Download paper	16
49	2014	ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS. (2014). Pallavicini, Andrea ; Brigo, Damiano ; Capponi, Agostino. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146. Full description at Econpapers \|\| Download paper	16
50	2008	OPTIMAL PORTFOLIO, CONSUMPTION-LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY. (2008). Shim, Gyoocheol ; Shin, Yong Hyun ; Choi, Kyoung Jin. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:445-472. Full description at Econpapers \|\| Download paper	16

Citing documents used to compute impact factor: 109

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2022	Optimal time-consistent reinsurance and investment strategies for a jumpâdiffusion financial market without cash. (2022). Liang, Zhibin ; Zhang, Caibin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001820. Full description at Econpapers \|\| Download paper
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2022	CBI-time-changed LÃ©vy processes. (2022). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:05/2022. Full description at Econpapers \|\| Download paper
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2022	The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Working Papers. RePEc:hal:wpaper:hal-03827332. Full description at Econpapers \|\| Download paper
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2022	Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416. Full description at Econpapers \|\| Download paper
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2022	A mean-field game of market-making against strategic traders. (2022). Possamai, Dylan ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2203.13053. Full description at Econpapers \|\| Download paper
2022	Optimal brokerage contracts in Almgren-Chriss model with multiple clients. (2022). Webster, Kevin ; Nadtochiy, Sergey ; Alvarez, Guillermo Alonso. In: Papers. RePEc:arx:papers:2204.05403. Full description at Econpapers \|\| Download paper
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2022	Two sided efficient frontiers at multiple time horizons. (2022). Wang, King ; Madan, Dilip B. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:3:d:10.1007_s10436-022-00411-0. Full description at Econpapers \|\| Download paper
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2022	Constrained optimal stopping under a regime-switching model. (2022). Takenaka, Masahiko ; Arai, Takuji. In: Papers. RePEc:arx:papers:2204.07914. Full description at Econpapers \|\| Download paper
2022	Star-shaped Risk Measures. (2021). Wang, Ruodu ; Tebaldi, Claudio ; Maccheroni, Fabio ; Cattelan, Giacomo ; Castagnoli, Erio . In: Papers. RePEc:arx:papers:2103.15790. Full description at Econpapers \|\| Download paper
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2022	Non-asymptotic rates for the estimation of risk measures. (2020). Tangpi, Ludovic ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2003.10479. Full description at Econpapers \|\| Download paper
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2022	A Quantum Mechanics for interest rate derivatives markets. (2022). Bueno-Guerrero, Alberto. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010808. Full description at Econpapers \|\| Download paper
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2022	Jacobi stochastic volatility factor for the LIBOR market model. (2022). Arrouy, Pierre-Edouard ; Boumezoued, Alexandre ; Lapeyre, Bernard ; Mehalla, Sophian. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00488-5. Full description at Econpapers \|\| Download paper
2022	Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact. (2021). Moshe, Shir ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:2111.00451. Full description at Econpapers \|\| Download paper
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2022	Large and moderate deviations for stochastic Volterra systems. (2020). Pannier, Alexandre ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2004.10571. Full description at Econpapers \|\| Download paper
2022	Large and moderate deviations for stochastic Volterra systems. (2022). Pannier, Alexandre ; Jacquier, Antoine. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:149:y:2022:i:c:p:142-187. Full description at Econpapers \|\| Download paper
2022	RKHS regularization of singular local stochastic volatility McKean-Vlasov models. (2022). Bayer, Christian ; Schoenmakers, John ; Butkovsky, Oleg ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2203.01160. Full description at Econpapers \|\| Download paper
2022	From Bachelier to Dupire via optimal transport. (2022). Schachermayer, Walter ; Pammer, Gudmund ; Beiglbock, Mathias. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00466-3. Full description at Econpapers \|\| Download paper
2022	Calibration of local?stochastic volatility models by optimal transport. (2022). Wang, Shiyi ; Loeper, Gregoire ; Guo, Ivan. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:46-77. Full description at Econpapers \|\| Download paper
2022	Before and after default: information and optimal portfolio via anticipating calculus. (2022). D'Auria, Bernardo ; di Nunno, Giulia ; Salmeron, Jose Antonio. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:35411. Full description at Econpapers \|\| Download paper
2022	Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation. (2022). Escobar Anel, Marcos ; Zagst, Rudi ; Kschonnek, Michel ; Escobar-Anel, Marcos. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:95:y:2022:i:1:d:10.1007_s00186-022-00772-2. Full description at Econpapers \|\| Download paper
2022	Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models. (2022). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2205.15905. Full description at Econpapers \|\| Download paper
2022	Local volatility under rough volatility. (2022). Pigato, Paolo ; Friz, Peter K ; de Marco, Stefano ; Bourgey, Florian. In: Papers. RePEc:arx:papers:2204.02376. Full description at Econpapers \|\| Download paper
2022	Short-time asymptotics for non self-similar stochastic volatility models. (2022). Pigato, Paolo ; Pacchiarotti, Barbara ; Giorgio, Giacomo. In: Papers. RePEc:arx:papers:2204.10103. Full description at Econpapers \|\| Download paper
2022	Rough-Heston Local-Volatility Model. (2022). Pallavicini, Andrea ; Longoni, Riccardo ; Dall'Acqua, Enrico. In: Papers. RePEc:arx:papers:2206.09220. Full description at Econpapers \|\| Download paper
2022	Statistical inference for rough volatility: Minimax Theory. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01214. Full description at Econpapers \|\| Download paper
2022	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2212.08297. Full description at Econpapers \|\| Download paper
2022	Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03902513. Full description at Econpapers \|\| Download paper
2022	Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991. Full description at Econpapers \|\| Download paper
2022	L\evy models amenable to efficient calculations. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2207.02359. Full description at Econpapers \|\| Download paper
2022	Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2207.02858. Full description at Econpapers \|\| Download paper
2022	Efficient evaluation of expectations of functions of a stable L\evy process and its extremum. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2209.12349. Full description at Econpapers \|\| Download paper
2022	Efficient evaluation of double-barrier options and joint cpdf of a L\evy process and its two extrema. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2211.07765. Full description at Econpapers \|\| Download paper
2022	Systemic risk in interbank networks: disentangling balance sheets and network effects. (2021). Cimini, Giulio ; Ferracci, Alessandro. In: Papers. RePEc:arx:papers:2109.14360. Full description at Econpapers \|\| Download paper
2022	PageRank centrality and algorithms for weighted, directed networks. (2022). Yan, Jun ; Wang, Tiandong ; Zhang, Panpan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:586:y:2022:i:c:s0378437121007111. Full description at Econpapers \|\| Download paper
2022	NetVIX â A network volatility index of financial markets. (2022). Giudici, Paolo ; Ahelegbey, Daniel Felix. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000917. Full description at Econpapers \|\| Download paper
2022	Systemic liquidity contagion in the European interbank market. (2022). Paolotti, Daniela ; di Matteo, Tiziana ; Brandi, Giuseppe ; Macchiati, Valentina ; Cimini, Giulio ; Caldarelli, Guido. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:17:y:2022:i:2:d:10.1007_s11403-021-00338-1. Full description at Econpapers \|\| Download paper
2022	Contagion accounting in stress-testing. (2022). Kok, Christoffer ; Huser, Anne-Caroline ; Aldasoro, Iaki. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000598. Full description at Econpapers \|\| Download paper
2022	Systemic risk: a network approach. (2022). Hasse, Jean-Baptiste. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:1:d:10.1007_s00181-021-02131-2. Full description at Econpapers \|\| Download paper
2022	When does portfolio compression reduce systemic risk?. (2022). Maria, Luitgard Anna. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:3:p:727-778. Full description at Econpapers \|\| Download paper
2022	Fire sales and ex ante valuation of systemic risk: A financial equilibrium networks approach. (2022). Bougheas, Spiros ; Spencer, Adam Hal. In: Discussion Papers. RePEc:not:notcfc:2022/04. Full description at Econpapers \|\| Download paper
2022	Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach. (2022). Bougheas, Spiros ; Spencer, Adam Hal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10111. Full description at Econpapers \|\| Download paper
2022	Non-banks contagion and the uneven mitigation of climate risk. (2022). Sydow, Matthias ; Gourdel, Regis. In: Working Paper Series. RePEc:ecb:ecbwps:20222757. Full description at Econpapers \|\| Download paper
2022	Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach. (2022). Bougheas, Spiros ; Spencer, Adam. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:544. Full description at Econpapers \|\| Download paper
2022	A deep learning approach to data-driven model-free pricing and to martingale optimal transport. (2021). Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2103.11435. Full description at Econpapers \|\| Download paper
2022	Ordering and inequalities for mixtures on risk aggregation. (2022). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:421-451. Full description at Econpapers \|\| Download paper
2022	The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146. Full description at Econpapers \|\| Download paper
2022	Risk Concentration and the Mean-Expected Shortfall Criterion. (2021). Wu, Qinyu ; Wang, Ruodu ; Han, Xia. In: Papers. RePEc:arx:papers:2108.05066. Full description at Econpapers \|\| Download paper
2022	Sensitivity Measures Based on Scoring Functions. (2022). Fissler, Tobias ; Pesenti, Silvana M. In: Papers. RePEc:arx:papers:2203.00460. Full description at Econpapers \|\| Download paper
2022	Quasi-convexity in mixtures for generalized rank-dependent functions. (2022). Wu, Qinyu ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.03425. Full description at Econpapers \|\| Download paper
2022	Dividend predictability and higher moment risk premia. (2022). Al-Jaaf, Aty. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:2:d:10.1057_s41260-021-00244-y. Full description at Econpapers \|\| Download paper
2022	Representation for martingales living after a random time with applications. (2022). Alharbi, Ferdoos ; Choulli, Tahir. In: Papers. RePEc:arx:papers:2203.11072. Full description at Econpapers \|\| Download paper
2022	Log-optimal portfolio after a random time: Existence, description and sensitivity analysis. (2022). Choulli, Tahir ; Alharbi, Ferdoos. In: Papers. RePEc:arx:papers:2204.03798. Full description at Econpapers \|\| Download paper
2022	Log-optimal and numÃ©raire portfolios for market models stopped at a random time. (2022). Yansori, Sina ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00477-8. Full description at Econpapers \|\| Download paper
2022	Explicit description of all deflators for market models under random horizon with applications to NFLVR. (2022). Yansori, Sina ; Choulli, Tahir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:230-264. Full description at Econpapers \|\| Download paper
2022	Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs. (2022). Rutkowski, Marek ; Liu, Ruyi. In: Papers. RePEc:arx:papers:2212.12854. Full description at Econpapers \|\| Download paper
2022	Vulnerable European and American Options in a Market Model with Optional Hazard Process. (2022). Rutkowski, Marek ; Liu, Ruyi. In: Papers. RePEc:arx:papers:2212.12860. Full description at Econpapers \|\| Download paper
2022	Bi-revealed utilities in a defaultable universe : a new point of view on consumption.. (2023). Mohamed, Mrad ; Caroline, Hillairet ; Karoui, EL. In: Working Papers. RePEc:hal:wpaper:hal-03919186. Full description at Econpapers \|\| Download paper
2022	Production Capacity Reserve Strategy of Emergency Medical Supplies: Incentive Model for Nonprofit Organizations. (2022). Tan, Manyi ; Sun, Manjing ; Lin, Yong ; Xu, Huyang ; Xiao, Hua. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:18:p:11612-:d:916185. Full description at Econpapers \|\| Download paper
2022	Can maker-taker fees prevent algorithmic cooperation in market making?. (2022). Han, Bingyan. In: Papers. RePEc:arx:papers:2211.00496. Full description at Econpapers \|\| Download paper
2022	Multi-asset market making under the quadratic rough Heston. (2022). Zhang, Jianfei ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2212.10164. Full description at Econpapers \|\| Download paper
2022	Mean Field Models to Regulate Carbon Emissions in Electricity Production. (2022). Lauriere, Mathieu ; Dayanikli, Goke ; Carmona, Rene. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:12:y:2022:i:3:d:10.1007_s13235-021-00422-y. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	Prediction Method for Office Building Energy Consumption Based on an Agent-Based Model Considering OccupantâEquipment Interaction Behavior. (2022). He, Qing ; Wang, Zhiyao ; Tian, Zhe ; Chen, Wanyue ; Pan, Xiao ; Ding, Yan. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:22:p:8689-:d:977663. Full description at Econpapers \|\| Download paper
2022	Portfolio choice with return predictability and small trading frictions. (2022). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000694. Full description at Econpapers \|\| Download paper
2022	Deep Stochastic Optimization in Finance. (2022). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Papers. RePEc:arx:papers:2205.04604. Full description at Econpapers \|\| Download paper
2022	Ergodic robust maximization of asymptotic growth under stochastic volatility. (2022). Teichmann, Josef ; Larsson, Martin ; Koch, Benedikt ; Itkin, David. In: Papers. RePEc:arx:papers:2211.15628. Full description at Econpapers \|\| Download paper
2022	Risk measures induced by efficient insurance contracts. (2022). Zitikis, Riardas ; Wang, Ruodu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:56-65. Full description at Econpapers \|\| Download paper
2022	Empirical tail conditional allocation and its consistency under minimal assumptions. (2022). Zitikis, R ; Su, J ; Gribkova, N V. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:74:y:2022:i:4:d:10.1007_s10463-021-00813-3. Full description at Econpapers \|\| Download paper
2022	Inter?temporal mutual?fund management. (2022). Li, Yiqun ; Cheung, Ka Chun ; Bensoussan, Alain ; Phillip, Sheung Chi. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:3:p:825-877. Full description at Econpapers \|\| Download paper
2022	Nonparametric Adaptive Robust Control Under Model Uncertainty. (2022). Bayraktar, Erhan ; Chen, Tao. In: Papers. RePEc:arx:papers:2202.10391. Full description at Econpapers \|\| Download paper
2022	Optimal Investment and Equilibrium Pricing under Ambiguity. (2022). Schneider, Paul ; Anthropelos, Michail. In: Papers. RePEc:arx:papers:2206.10489. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2022

Year	Citing document
2022	Robust control problems of BSDEs coupled with value functions. (2022). Zhou, Chao ; Zhang, Jing ; Yang, Zhou. 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	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). Ritchken, Peter H ; McWalter, Thomas A. 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
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2022	Signal-to-noise matrix and model reduction in continuous-time hidden Markov models. (2022). Sass, Jorn ; Ruderer, Leonie ; 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

Recent citations received in 2021

Year	Citing document
2021	Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation. (2021). He, Xuedong ; Yu, Xun. In: Papers. RePEc:arx:papers:2105.01829. Full description at Econpapers \|\| Download paper
2021	Risk measures induced by efficient insurance contracts. (2021). Zitikis, Ricardas ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2109.00314. Full description at Econpapers \|\| Download paper
2021	Proper solutions for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2112.06708. Full description at Econpapers \|\| Download paper
2021	Consistent investment of sophisticated rank?dependent utility agents in continuous time. (2021). Yu, Xun ; Jin, Hanqing ; Hu, Ying. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:1056-1095. Full description at Econpapers \|\| Download paper
2021	Optimal stopping under model ambiguity: A time?consistent equilibrium approach. (2021). Yu, Xiang ; Huang, Yujui. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:979-1012. Full description at Econpapers \|\| Download paper
2021	In memoriam: Mark H. A. Davis and his contributions to mathematical finance. (2021). Zariphopoulou, Thaleia ; Oboj, Jan. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1099-1110. Full description at Econpapers \|\| Download paper
2021	A refined measure of conditional maximum drawdown. (2021). Rossello, Damiano ; lo Cascio, Silvestro. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:4:d:10.1057_s41283-021-00081-8. Full description at Econpapers \|\| Download paper
2021	CBI-time-changed LÃ©vy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:14/2021. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469. Full description at Econpapers \|\| Download paper
2020	Double continuation regions for American options under Poisson exercise opportunities. (2020). Yamazaki, Kazutoshi ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2004.03330. Full description at Econpapers \|\| Download paper
2020	The Hansen ratio in mean--variance portfolio theory. (2020). Vcern, Alevs. In: Papers. RePEc:arx:papers:2007.15980. Full description at Econpapers \|\| Download paper
2020	Detecting and repairing arbitrage in traded option prices. (2020). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2008.09454. Full description at Econpapers \|\| Download paper
2020	Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2020). Munari, Cosimo. In: Papers. RePEc:arx:papers:2009.04151. Full description at Econpapers \|\| Download paper
2020	Convergence of Optimal Expected Utility for a Sequence of Binomial Models. (2020). Schachermayer, Walter ; Hubalek, Friedrich. In: Papers. RePEc:arx:papers:2009.09751. Full description at Econpapers \|\| Download paper
2020	Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Horst, Ulrich ; Fu, Guanxing ; Xia, Xiaonyu. In: Papers. RePEc:arx:papers:2011.05589. Full description at Econpapers \|\| Download paper
2020	Price formation and optimal trading in intraday electricity markets with a major player. (2020). Tankov, Peter ; Tinsi, Laura. In: Papers. RePEc:arx:papers:2011.07655. Full description at Econpapers \|\| Download paper
2020	An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625. Full description at Econpapers \|\| Download paper
2020	A Continuous-Time Model of Financial Clearing. (2020). Sonin, Konstantin. In: Working Papers. RePEc:bfi:wpaper:2020-101. Full description at Econpapers \|\| Download paper
2020	Optimal Dividend Payout under Stochastic Discounting. (2020). Mitzel, Norbert W ; Stammler, Hans-Georg ; Neumann, Beate ; Strasser, Ulf. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:636. Full description at Econpapers \|\| Download paper
2020	Semimartingale theory of monotone meanÃ¢â¬âvariance portfolio allocation. (2020). ÃÅernÃÂ½, AleÃÂ¡. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1168-1178. Full description at Econpapers \|\| Download paper
2020	Dividend policy and capital structure of a defaultable firm. (2020). , Alex ; Lex, A ; Alex, . In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:961-994. Full description at Econpapers \|\| Download paper
2020	A Continuous-Time Model of Financial Clearing. (2020). Sonin, Konstantin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15117. Full description at Econpapers \|\| Download paper
2020	Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time. (2020). Jin, Zhuo ; Zhou, Zhou. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:100-108. Full description at Econpapers \|\| Download paper
2020	Empirical analysis and forecasting of multiple yield curves. (2020). Lutkebohmert, Eva ; Gerhart, Christoph. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:59-78. Full description at Econpapers \|\| Download paper
2020	Optimal stopping problems for running minima with positive discounting rates. (2020). Gapeev, Pavel V. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105849. Full description at Econpapers \|\| Download paper
2020	Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints. (2020). Sass, Jorn ; Laudage, Christian ; Desmettre, Sascha. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:114-:d:437604. Full description at Econpapers \|\| Download paper
2020	Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player. (2020). Tinsi, Laura ; Tankov, Peter ; Feron, Olivier. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:133-:d:457902. Full description at Econpapers \|\| Download paper
2020	A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics. (2020). Szolgyenyi, Michaela ; Steinicke, Alexander ; Kremsner, Stefan. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:136-:d:459366. Full description at Econpapers \|\| Download paper
2020	American Step Options. (2019). Moraux, Franck ; Abdou, Souleymane Laminou ; Detemple, Jerome ; De Temple, Jerome. In: Post-Print. RePEc:hal:journl:halshs-02283374. Full description at Econpapers \|\| Download paper
2020	Utility Maximization with Proportional Transaction Costs Under Model Uncertainty. (2020). Yu, Xiang ; Tan, Xiaolu ; Deng, Shuoqing. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:4:p:1210-1236. Full description at Econpapers \|\| Download paper
2020	Network Risk in the European Sovereign CDS Market. (2020). Todorova, Zornitsa. In: The Review of Finance and Banking. RePEc:rfb:journl:v:12:y:2020:i:2:p:137-154. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	Stacked Monte Carlo for option pricing. (2019). Oumgari, Mugad ; Malone, Emma R ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1903.10795. Full description at Econpapers \|\| Download paper
2019	Mertons portfolio problem with power utility under Volterra Heston model. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1905.05371. Full description at Econpapers \|\| Download paper
2019	Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101. Full description at Econpapers \|\| Download paper
2019	A simple approach to dual representations of systemic risk measures. (2019). Munari, Cosimo ; Koch-Medina, Pablo ; Arduca, Maria. In: Papers. RePEc:arx:papers:1906.10933. Full description at Econpapers \|\| Download paper
2019	Elicitability and Identifiability of Systemic Risk Measures. (2019). Rudloff, Birgit ; Hlavinov, Jana ; Fissler, Tobias. In: Papers. RePEc:arx:papers:1907.01306. Full description at Econpapers \|\| Download paper
2019	Markovian lifts of positive semidefinite affine Volterra type processes. (2019). Teichmann, Josef ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1907.01917. Full description at Econpapers \|\| Download paper
2019	Systemic Risk and Heterogeneous Mean Field Type Interbank Network. (2019). Sun, Li-Hsien. In: Papers. RePEc:arx:papers:1907.03082. Full description at Econpapers \|\| Download paper
2019	Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972. Full description at Econpapers \|\| Download paper
2019	Moment constrained optimal dividends: precommitment \& consistent planning. (2019). Lindensjo, Kristoffer ; Christensen, Soren. In: Papers. RePEc:arx:papers:1909.10749. Full description at Econpapers \|\| Download paper
2019	Infinite dimensional polynomial processes. (2019). Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1911.02614. Full description at Econpapers \|\| Download paper
2019	The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969. Full description at Econpapers \|\| Download paper
2019	Open Markets. (2019). Kim, Donghan. In: Papers. RePEc:arx:papers:1912.13110. Full description at Econpapers \|\| Download paper
2019	Alternative trading strategies to beat Ã¢â¬Åbuy-and-holdÃ¢â¬Â. (2019). Kevin, Ka Kwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119304108. Full description at Econpapers \|\| Download paper
2019	The Redesigning of Tires and the Recycling Process to Maintain an Efficient Circular Economy. (2019). Dobrescu, Tiberiu ; Dobrot, Gabriela ; Mohora, Cristina . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:19:p:5204-:d:269854. Full description at Econpapers \|\| Download paper
2019	Moment explosions in the rough Heston model. (2019). Gerhold, Stefan ; Pinter, Arpad ; Gerstenecker, Christoph. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00267-6. Full description at Econpapers \|\| Download paper
2019	Markovian lifts of positive semidefinite affine Volterra-type processes. (2019). Cuchiero, Christa ; Teichmann, Josef. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00268-5. Full description at Econpapers \|\| Download paper
2019	A multi-asset investment and consumption problem with transaction costs. (2019). , Alex ; Lex, A ; Alex, ; Hobson, David ; Zhu, Yeqi. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00391-6. Full description at Econpapers \|\| Download paper
2019	Affine forward variance models. (2019). Keller-Ressel, Martin ; Gatheral, Jim. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00392-5. Full description at Econpapers \|\| Download paper
2019	Duality for pathwise superhedging in continuous time. (2019). Tangpi, Ludovic ; Promel, David J ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00395-2. Full description at Econpapers \|\| Download paper
2019	Multi-dimensional optimal trade execution under stochastic resilience. (2019). Xia, Xiaonyu ; Horst, Ulrich. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00394-3. Full description at Econpapers \|\| Download paper
2019	Systemic risk governance in a dynamical model of a banking system. (2019). Mariani, Francesca ; Fatone, Lorella. In: Journal of Global Optimization. RePEc:spr:jglopt:v:75:y:2019:i:3:d:10.1007_s10898-019-00790-1. Full description at Econpapers \|\| Download paper
2019	Dynamic systemic risk measures for bounded discrete time processes. (2019). Zilch, K ; Overbeck, L ; Kromer, E. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:90:y:2019:i:1:d:10.1007_s00186-018-0655-z. Full description at Econpapers \|\| Download paper
2019	Multiple Yield Curve Modelling with CBI Processes. (2019). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:19/2019. Full description at Econpapers \|\| Download paper
2019	RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION. (2019). Radoii, Rado ; Gatheral, Jim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500109. Full description at Econpapers \|\| Download paper
2019	THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE. (2019). Schussler, Rainer ; Jonen, Alexander ; Frahm, Gabriel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500250. Full description at Econpapers \|\| Download paper
2019	BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM. (2019). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:07:n:s0219024919500377. Full description at Econpapers \|\| Download paper
2019	SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION. (2019). Deng, Shi-Jie ; Kirkby, Lars J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s0219024919500389. Full description at Econpapers \|\| Download paper
2019	PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS. (2019). Arai, Takuji. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s0219024919500432. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	85	2595
2	Finance and Stochastics / Springer	53	295
3	Insurance: Mathematics and Economics / Elsevier	54	264
4	European Journal of Operational Research / Elsevier	128	260
5	Mathematical Finance / Wiley Blackwell	70	241
6			169
7	Stochastic Processes and their Applications / Elsevier	46	156
8	Risks / MDPI	17	125
9	Working Papers / HAL	59	123
10	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	29	116
11	Annals of Operations Research / Springer	46	104