Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2025-01-21 09:43:16]

5 Years H Index

Impact Factor (IF)

0.96

5 Years IF

1.09

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	0.17	0	12	12	439	1	2	0		0		1	100	1	0.08	0.05
1992	0	0.11	0.04	0	15	27	598	1	3	12		12			0	1	0.07	0.06
1993	0.11	0.13	0.16	0.11	17	44	422	7	10	27	3	27	3	3	42.9	2	0.12	0.06
1994	0.06	0.14	0.11	0.05	12	56	640	6	16	32	2	44	2		0	2	0.17	0.07
1995	0.38	0.22	0.41	0.36	17	73	770	30	46	29	11	56	20		0	8	0.47	0.09
1996	0.76	0.25	0.55	0.47	15	88	469	46	94	29	22	73	34		0	4	0.27	0.12
1997	0.59	0.24	0.66	0.62	18	106	1627	69	164	32	19	76	47	3	4.3	9	0.5	0.11
1998	0.67	0.28	0.74	0.59	14	120	481	89	253	33	22	79	47	5	5.6	4	0.29	0.13
1999	0.81	0.31	0.85	0.68	13	133	3191	111	366	32	26	76	52	5	4.5	8	0.62	0.15
2000	1.04	0.36	1.42	1.29	22	155	641	216	586	27	28	77	99		0	4	0.18	0.16
2001	0.94	0.39	1.18	0.96	16	171	562	198	787	35	33	82	79		0	3	0.19	0.17
2002	0.58	0.41	1.12	1.18	19	190	752	210	1000	38	22	83	98		0	5	0.26	0.21
2003	0.66	0.44	1.29	1.08	20	210	381	266	1270	35	23	84	91	5	1.9	4	0.2	0.22
2004	1.03	0.49	1.62	1.46	22	232	714	372	1646	39	40	90	131	7	1.9	5	0.23	0.22
2005	0.79	0.51	1.54	0.99	22	254	673	387	2036	42	33	99	98	4	1	10	0.45	0.24
2006	1.16	0.51	1.55	1.06	26	280	855	431	2469	44	51	99	105	6	1.4	9	0.35	0.23
2007	0.92	0.46	1.64	1	19	299	544	485	2959	48	44	109	109		0	7	0.37	0.2
2008	1.02	0.49	1.61	1.03	28	327	818	522	3486	45	46	109	112	19	3.6	13	0.46	0.23
2009	0.81	0.48	1.67	1.05	17	344	454	573	4059	47	38	117	123	30	5.2	6	0.35	0.24
2014	0	0.55	2.31	2.59	16	360	387	828	7618	0		17	44	15	1.8	7	0.44	0.23
2015	1.19	0.55	2.11	1.19	28	388	360	819	8438	16	19	16	19		0	6	0.21	0.23
2016	1.16	0.52	2.44	1.16	33	421	545	1021	9464	44	51	44	51	6	0.6	23	0.7	0.21
2017	1.26	0.54	2.04	1.34	35	456	346	927	10394	61	77	77	103	2	0.2	13	0.37	0.22
2018	1.53	0.55	2.03	1.49	36	492	229	999	11393	68	104	112	167	12	1.2	15	0.42	0.23
2019	1	0.56	1.94	1.44	26	518	328	1004	12397	71	71	148	213	6	0.6	25	0.96	0.23
2020	1.26	0.67	2.1	1.39	37	555	279	1163	13560	62	78	158	220	38	3.3	23	0.62	0.32
2021	1.98	0.79	2.04	1.51	31	586	94	1195	14755	63	125	167	252	71	5.9	5	0.16	0.29
2022	1.24	0.83	1.76	1.19	16	602	22	1057	15812	68	84	165	196	25	2.4	3	0.19	0.25
2023	0.96	0.82	1.61	1.09	27	629	52	1015	16827	47	45	146	159	31	3.1	9	0.33	0.23

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	2679
2		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	747
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	511
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	436
5		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	280
6		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	264
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	248
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	229
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	199
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	186
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	158
12	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	155
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	154
14	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	154
15	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	153
16	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	151
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	144
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	144
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	136
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	134
21	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	133
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	129
23	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	129
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	124
25	1993	OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276. Full description at Econpapers \|\| Download paper	124
26	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	124
27	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	123
28	2019		123
29	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	123
30	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	118
31	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	117
32	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	116
33	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	116
34	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	116
35	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	113
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	112
37	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	111
38	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	106
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	104
40	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	102
41	1998	Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65. Full description at Econpapers \|\| Download paper	100
42	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	100
43	2005	DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26. Full description at Econpapers \|\| Download paper	98
44	2004	Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall. (2004). Scaillet, Olivier. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:115-129. Full description at Econpapers \|\| Download paper	95
45	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	94
46	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	93
47	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	93
48	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	92
49	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	91
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	89

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	475
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	81
3	2019		75
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	56
5	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	53
6	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	36
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	33
8	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	33
9	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	33
10	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	32
11	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	30
12	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	29
13	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	27
14	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	27
15	1997	Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105. Full description at Econpapers \|\| Download paper	27
16	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	25
17	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	25
18	2002	Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286. Full description at Econpapers \|\| Download paper	24
19	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	23
20	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	23
21	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	23
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	23
23	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	23
24	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	19
25	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
26	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	18
27	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	18
28	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	17
29	1998	Complete Models with Stochastic Volatility. (1998). Rogers, Leonard ; Hobson, David G. ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48. Full description at Econpapers \|\| Download paper	17
30	2020	Computational aspects of robust optimized certainty equivalents and option pricing. (2020). Drapeau, Samuel ; Bartl, Daniel ; Tangpi, Ludovic. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:287-309. Full description at Econpapers \|\| Download paper	17
31	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	16
32	2020	A regularity structure for rough volatility. (2020). Stemper, Benjamin ; Martin, Jorg ; Gassiat, Paul ; Friz, Peter K ; Bayer, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:782-832. Full description at Econpapers \|\| Download paper	16
33	2014	LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY. (2014). Bayraktar, Erhan ; Ludkovski, Michael. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:4:p:627-650. Full description at Econpapers \|\| Download paper	16
34	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	16
35	2008	GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. (2008). Dai, Min ; Zong, Jianping ; Kwok, Yue Kuen. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:4:p:595-611. Full description at Econpapers \|\| Download paper	15
36	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	15
37	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	15
38	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	15
39	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	15
40	2019		15
41	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	15
42	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	15
43	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	14
44	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	14
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	14
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	14
47	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	14
48	2021	Bayes risk, elicitability, and the Expected Shortfall. (2021). Wang, Qiuqi ; Mao, Tiantian ; Embrechts, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1190-1217. Full description at Econpapers \|\| Download paper	13
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	13
50	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	13

Citing documents used to compute impact factor: 45

Year	Title
2023	Mitigating Decentralized Finance Liquidations with Reversible Call Options. (2023). Zhou, Liyi ; Gervais, Arthur ; Jovanovic, Philipp ; Ernstberger, Jens ; Qin, Kaihua. In: Papers. RePEc:arx:papers:2303.15162. Full description at Econpapers \|\| Download paper
2023	The four types of stablecoins: A comparative analysis. (2023). Beccuti, Juan ; Dietl, Helmut ; Pereira, Marco Henriques ; Hafner, Matthias. In: Papers. RePEc:arx:papers:2308.07041. Full description at Econpapers \|\| Download paper
2023	Randomisation with moral hazard: a path to existence of optimal contracts. (2023). Possamai, Dylan ; Krvsek, Daniel. In: Papers. RePEc:arx:papers:2311.13278. Full description at Econpapers \|\| Download paper
2023	Machine learning techniques in joint default assessment. (2022). luciano, elisa ; Semeraro, Patrizia ; Doria, Margherita. In: Papers. RePEc:arx:papers:2205.01524. Full description at Econpapers \|\| Download paper
2023	Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. (2022). Gu, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2212.00336. Full description at Econpapers \|\| Download paper
2023	Over-the-Counter Market Making via Reinforcement Learning. (2023). Xu, Haiqing ; Fang, Zhou. In: Papers. RePEc:arx:papers:2307.01816. Full description at Econpapers \|\| Download paper
2023	Algorithmic market making in dealer markets with hedging and market impact. (2023). Gueant, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:41-79. Full description at Econpapers \|\| Download paper
2023	Time-inconsistent contract theory. (2023). Possamai, Dylan ; Hern, Camilo. In: Papers. RePEc:arx:papers:2303.01601. Full description at Econpapers \|\| Download paper
2023	Continuous-time incentives in hierarchies. (2023). Hubert, Emma. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00506-0. Full description at Econpapers \|\| Download paper
2023	Markov risk mappings and risk-sensitive optimal prediction. (2023). Moriarty, John ; Martyr, Randall ; Kosmala, Tomasz. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:97:y:2023:i:1:d:10.1007_s00186-022-00802-z. Full description at Econpapers \|\| Download paper
2023	International high-frequency arbitrage for cross-listed stocks. (2023). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002934. Full description at Econpapers \|\| Download paper
2023	Deep stochastic optimization in finance. (2023). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00074-6. Full description at Econpapers \|\| Download paper
2023	Deep learning algorithms for hedging with frictions. (2023). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-023-00075-z. Full description at Econpapers \|\| Download paper
2023	Deep empirical risk minimization in finance: Looking into the future. (2023). Soner, Halil Mete ; Reppen, Anders Max. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:116-145. Full description at Econpapers \|\| Download paper
2023
2023	L\evy bandits under Poissonian decision times. (2023). Yamazaki, Kazutoshi ; Jos'e-Luis P'erez, . In: Papers. RePEc:arx:papers:2301.07798. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations. (2022). Balch, Tucker ; Zheng, Zeyu ; Xu, Mengda ; Vann, Jared ; Amrouni, Selim ; Spooner, Thomas ; Ganesh, Sumitra ; Ardon, Leo ; Vadori, Nelson ; Veloso, Manuela. In: Papers. RePEc:arx:papers:2210.07184. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers \|\| Download paper
2023	Optimal control of martingales in a radially symmetric environment. (2023). Robinson, Benjamin A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:159:y:2023:i:c:p:149-198. Full description at Econpapers \|\| Download paper
2023	A reverse Expected Shortfall optimization formula. (2022). Guan, Yuanying ; Wang, Ruodu ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2203.02599. Full description at Econpapers \|\| Download paper
2023	A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809. Full description at Econpapers \|\| Download paper
2023	Stochastic Algorithms for Advanced Risk Budgeting. (2022). Gu, Olivier ; Fermanian, Jean-David ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2211.07212. Full description at Econpapers \|\| Download paper
2023	Conditional generalized quantiles based on expected utility model and equivalent characterization of properties. (2023). Zhang, Ping ; Yang, Fan ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2301.12420. Full description at Econpapers \|\| Download paper
2023	Optimal insurance with mean-deviation measures. (2023). Han, Xia ; Boonen, Tim J. In: Papers. RePEc:arx:papers:2312.01813. Full description at Econpapers \|\| Download paper
2023	The infinite-horizon investmentâconsumption problem for EpsteinâZin stochastic differential utility. I: Foundations. (2023). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00495-6. Full description at Econpapers \|\| Download paper
2023	The infinite-horizon investmentâconsumption problem for EpsteinâZin stochastic differential utility. II: Existence, uniqueness and verification for ? ? ( 0 , 1 ) $\vartheta \in (0,1)$. (2023). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00496-5. Full description at Econpapers \|\| Download paper
2023	Utility-based acceptability indices. (2023). , Mikl'Os ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2310.02014. Full description at Econpapers \|\| Download paper
2023	Linear-Quadratic-Singular Stochastic Differential Games and Applications. (2023). Vepsaelaeinen, M ; Laine, Mikko ; Burnier, Yannis. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:678. Full description at Econpapers \|\| Download paper
2023
2023	Sensitivity of multi-period optimization problems in adapted Wasserstein distance. (2022). Wiesel, Johannes ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2208.05656. Full description at Econpapers \|\| Download paper
2023	Markov decision processes under model uncertainty. (2023). Iki, Mario ; Sester, Julian ; Neufeld, Ariel. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:618-665. Full description at Econpapers \|\| Download paper
2023	Sensitivity of robust optimization problems under drift and volatility uncertainty. (2023). Neufeld, Ariel ; Bartl, Daniel ; Park, Kyunghyun. In: Papers. RePEc:arx:papers:2311.11248. Full description at Econpapers \|\| Download paper
2023	Robust option pricing with volatility term structure -- An empirical study for variance options. (2023). Grass, Annemarie M. In: Papers. RePEc:arx:papers:2312.09201. Full description at Econpapers \|\| Download paper
2023	Signature SDEs from an affine and polynomial perspective. (2023). Teichmann, Josef ; Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2302.01362. Full description at Econpapers \|\| Download paper
2023	Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901. Full description at Econpapers \|\| Download paper
2023	Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423. Full description at Econpapers \|\| Download paper
2023	A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation. (2023). Warin, Xavier ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2307.16619. Full description at Econpapers \|\| Download paper
2023	A change of variable formula with applications to multi-dimensional optimal stopping problems. (2023). de Angelis, Tiziano ; Cai, Cheng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:164:y:2023:i:c:p:33-61. Full description at Econpapers \|\| Download paper
2023	On time-consistent equilibrium stopping under aggregation of diverse discount rates. (2023). Zhang, Jiacheng ; Yu, Xiang ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2302.07470. Full description at Econpapers \|\| Download paper
2023	Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30. Full description at Econpapers \|\| Download paper
2023
2023	Weak equilibriums for time-inconsistent stopping control problems. (2021). Liang, Zongxia ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2105.06607. Full description at Econpapers \|\| Download paper
2023	European option pricing with market frictions, regime switches and model uncertainty. (2023). Siu, Tak Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:233-250. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2023

Year	Citing document
2023	Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers \|\| Download paper
2023
2023	Climate policies, macroprudential regulation, and the welfare cost of business cycles. (2023). Diluiso, Francesca ; Carli, Marco ; Annicchiarico, Barbara. In: Bank of England working papers. RePEc:boe:boeewp:1036. Full description at Econpapers \|\| Download paper
2023	Multivariate stress scenario selection in interbank networks. (2023). Kwon, Eunji ; Kim, Kyoung-Kuk ; Ahn, Dohyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001185. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	New Classes of Distortion Risk Measures and Their Estimation. (2023). Wang, Xiwen ; Sepanski, Jungsywan H. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:194-:d:1277752. Full description at Econpapers \|\| Download paper
2023	Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-04119787. Full description at Econpapers \|\| Download paper
2023	Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Xu, Huifu ; Wang, Wei. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x. Full description at Econpapers \|\| Download paper
2023	A transform-based method for pricing Asian options under general two-dimensional models. (2023). Zeng, Pingping ; Zhang, Weinan. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:11:p:1677-1697. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	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	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

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	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

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	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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	90	2371
2	Insurance: Mathematics and Economics / Elsevier	56	245
3	Finance and Stochastics / Springer	56	236
4	European Journal of Operational Research / Elsevier	134	208
5	Mathematical Finance / Wiley Blackwell	66	186
6			173
7	Stochastic Processes and their Applications / Elsevier	47	142
8	Computational Economics / Springer	32	91
9	Risks / MDPI	18	90
10	Working Papers / HAL	59	86
11	The North American Journal of Economics and Finance / Elsevier	49	76