Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2025-02-04 18:53:44]

5 Years H Index

Impact Factor (IF)

0.94

5 Years IF

1.2

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	555	1	2	0		0		1	100	1	0.06	0.05
1992	0	0.11	0.03	0	16	33	633	1	3	17		17			0	1	0.06	0.06
1993	0.09	0.13	0.15	0.09	21	54	446	8	11	33	3	33	3	4	50	3	0.14	0.06
1994	0.08	0.14	0.12	0.06	20	74	761	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	847	35	55	41	12	74	23		0	8	0.42	0.09
1996	0.67	0.25	0.55	0.44	19	112	1293	60	117	39	26	93	41		0	4	0.21	0.12
1997	0.68	0.24	0.65	0.54	18	130	1630	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	861	103	304	37	28	97	56	5	4.9	5	0.25	0.13
1999	0.76	0.31	0.82	0.68	16	166	3225	134	440	38	29	96	65	6	4.5	8	0.5	0.15
2000	1	0.36	1.36	1.26	28	194	998	258	703	36	36	92	116	1	0.4	5	0.18	0.16
2001	0.8	0.39	1.24	1.07	20	214	629	263	969	44	35	101	108	3	1.1	4	0.2	0.17
2002	0.56	0.41	1.1	1.11	25	239	905	260	1232	48	27	102	113		0	5	0.2	0.21
2003	0.64	0.44	1.28	1	26	265	478	335	1571	45	29	109	109	10	3	6	0.23	0.22
2004	0.94	0.49	1.57	1.36	30	295	817	458	2034	51	48	115	156	13	2.8	6	0.2	0.22
2005	0.73	0.51	1.5	0.89	29	324	833	483	2521	56	41	129	115	8	1.7	17	0.59	0.24
2006	1.08	0.51	1.54	1.02	33	357	1050	547	3070	59	64	130	132	12	2.2	10	0.3	0.23
2007	0.89	0.46	1.62	0.91	27	384	692	615	3691	62	55	143	130	9	1.5	8	0.3	0.2
2008	1.1	0.49	1.61	1.03	30	414	840	662	4358	60	66	145	150	28	4.2	15	0.5	0.23
2009	0.75	0.48	1.64	0.98	22	436	556	715	5073	57	43	149	146	41	5.7	10	0.45	0.24
2014	0	0.55	2.17	2.5	16	452	389	981	9317	0		22	55	20	2	7	0.44	0.23
2015	1.19	0.55	2.03	1.19	28	480	364	972	10290	16	19	16	19		0	6	0.21	0.23
2016	1.16	0.52	2.39	1.16	33	513	547	1222	11518	44	51	44	51	8	0.7	23	0.7	0.21
2017	1.26	0.54	1.97	1.34	35	548	348	1077	12599	61	77	77	103	2	0.2	13	0.37	0.22
2018	1.53	0.55	1.96	1.49	37	585	235	1147	13746	68	104	112	167	17	1.5	15	0.41	0.23
2019	1.01	0.56	1.9	1.44	35	620	418	1178	14924	72	73	149	215	10	0.8	29	0.83	0.23
2020	1.21	0.67	2.07	1.35	47	667	328	1384	16308	72	87	168	227	52	3.8	24	0.51	0.32
2021	1.82	0.79	2.01	1.5	42	709	138	1426	17734	82	149	187	281	103	7.2	12	0.29	0.29
2022	1.18	0.83	1.72	1.2	30	739	48	1273	19007	89	105	196	235	56	4.4	9	0.3	0.25
2023	0.82	0.82	1.53	1.01	38	777	59	1186	20193	72	59	191	192	46	3.9	10	0.26	0.23
2024	0.94	1.05	1.55	1.2	8	785	1	1215	21408	68	64	192	231	21	1.7	2	0.25	0.27

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

50 most cited documents in this series

#	Year	Title	Cited
1	1999	Coherent Measures of Risk. (1999). Artzner, Philippe ; 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	2688
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	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	513
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	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	281
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	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	188
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	145
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	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	134
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	134
22	2019		131
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	130
24	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
25	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
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	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
28	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
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	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	118
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	118
32	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
33	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
34	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
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	113
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	112
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	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
42	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
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	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	94
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	94
47	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	93
48	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
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	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	91

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	331
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	53
3	2019		53
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	41
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	38
6	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	31
7	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	30
8	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	28
9	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	28
10	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	25
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	25
12	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	23
13	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	23
14	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	22
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	21
16	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	21
17	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	20
18	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	19
19	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	18
20	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	18
21	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	18
22	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	17
23	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	17
24	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	17
25	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	16
26	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	15
27	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	15
28	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	14
29	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	14
30	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	13
31	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	13
32	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	13
33	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	12
34	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	12
35	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	12
36	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	12
37	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	12
38	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	11
39	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	11
40	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	11
41	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	10
42	2023	Recent advances in reinforcement learning in finance. (2023). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503. Full description at Econpapers \|\| Download paper	10
43	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	10
44	2019	Optimal trade execution in order books with stochastic liquidity. (2019). Schoneborn, Torsten ; Fruth, Antje ; Urusov, Mikhail . In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:507-541. Full description at Econpapers \|\| Download paper	10
45	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	10
46	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	10
47	2020	Risk functionals with convex level sets. (2020). Wei, Yunran ; Wang, Ruodu. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1337-1367. Full description at Econpapers \|\| Download paper	10
48	2018	PROFIT SHARING IN HEDGE FUNDS. (2018). He, Xuedong ; Kou, Steven. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:1:p:50-81. Full description at Econpapers \|\| Download paper	10
49	2018	Convex duality for EpsteinÃ¢â¬âZin stochastic differential utility. (2018). Matoussi, Anis ; Xing, Hao. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:4:p:991-1019. Full description at Econpapers \|\| Download paper	10
50	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	9

Citing documents used to compute impact factor: 64

Year	Title
2024
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2024	A Mean-Field Game of Market Entry. (2024). Horst, Ulrich ; Hager, Paul ; Fu, Guanxing. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:517. Full description at Econpapers \|\| Download paper
2024	Robo-advising: Optimal investment with mismeasured and unstable risk preferences. (2024). Keffert, Henk. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:378-392. Full description at Econpapers \|\| Download paper
2024	Robust decisions for heterogeneous agents via certainty equivalents. (2024). Schweizer, Nikolaus ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:317:y:2024:i:1:p:171-184. Full description at Econpapers \|\| Download paper
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2024	Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376. Full description at Econpapers \|\| Download paper
2024	Exact simulation of the Hull and White stochastic volatility model. (2024). Gonzato, Luca ; Brignone, Riccardo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000538. Full description at Econpapers \|\| Download paper
2024	Uncertainty Propagation and Dynamic Robust Risk Measures. (2023). Pesenti, Silvana ; Mailhot, M'Elina ; Moresco, Marlon. In: Papers. RePEc:arx:papers:2308.12856. Full description at Econpapers \|\| Download paper
2024	Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems. (2024). Zhang, Ying ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2403.09532. Full description at Econpapers \|\| Download paper
2024	Non-concave distributionally robust stochastic control in a discrete time finite horizon setting. (2024). Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2404.05230. Full description at Econpapers \|\| Download paper
2024	Reinforcement Learning for Financial Index Tracking. (2023). He, Xue Dong ; Gong, Chenyin ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2308.02820. Full description at Econpapers \|\| Download paper
2024	Curriculum Learning and Imitation Learning for Model-free Control on Financial Time-series. (2023). Choi, Insu ; Koh, Woosung ; Kim, Woo Chang ; Kang, Gimin ; Jang, Yuntae. In: Papers. RePEc:arx:papers:2311.13326. Full description at Econpapers \|\| Download paper
2024	Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market. (2024). Li, Lingfei ; Wu, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001938. Full description at Econpapers \|\| Download paper
2024	Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy. (2024). Nakagawa, Kei ; Horikawa, Hiroaki. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001314. Full description at Econpapers \|\| Download paper
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2024	Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. (2023). Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2302.07758. Full description at Econpapers \|\| Download paper
2024	Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029. Full description at Econpapers \|\| Download paper
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2024	Macroscopic Market Making. (2023). Nam, Kihun ; Jin, Shijia ; Guo, Ivan. In: Papers. RePEc:arx:papers:2307.14129. Full description at Econpapers \|\| Download paper
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2024	Battery valuation on electricity intraday markets with liquidity costs. (2024). Warin, Xavier ; Deschatre, Thomas ; Cogn, Enzo. In: Papers. RePEc:arx:papers:2412.15959. Full description at Econpapers \|\| Download paper
2024	Robust Utility Optimization via a GAN Approach. (2024). Wutte, Hanna ; Teichmann, Josef ; Krach, Florian. In: Papers. RePEc:arx:papers:2403.15243. Full description at Econpapers \|\| Download paper
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2024	Zero-sum stopper vs. singular-controller games with constrained control directions. (2023). Palczewski, Jan ; de Angelis, Tiziano ; Bovo, Andrea. In: Papers. RePEc:arx:papers:2306.05113. Full description at Econpapers \|\| Download paper
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2024	Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784. Full description at Econpapers \|\| Download paper
2024	On short-time behavior of implied volatility in a market model with indexes. (2024). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509. Full description at Econpapers \|\| Download paper
2024	Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts. (2024). Wiedermann, Kristof ; Gerhold, Stefan ; Friesen, Martin. In: Papers. RePEc:arx:papers:2412.15971. Full description at Econpapers \|\| Download paper
2024	Understanding the least well-kept secret of high-frequency trading. (2023). Sfendourakis, Emmanouil ; Rosenbaum, Mathieu ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2307.15599. Full description at Econpapers \|\| Download paper
2024	Modeling liquidity in corporate bond markets: applications to price adjustments. (2023). Gu, Olivier ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2309.04216. Full description at Econpapers \|\| Download paper
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2024	Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity. (2024). Guilbert, Julien ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2405.03496. Full description at Econpapers \|\| Download paper
2024
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2024	Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks. (2024). Pokojovy, Michael ; Kopeliovich, Yaacov. In: Papers. RePEc:arx:papers:2411.09899. Full description at Econpapers \|\| Download paper
2024	Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2024). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431. Full description at Econpapers \|\| Download paper
2024
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2024	The Measure Preserving Martingale Sinkhorn Algorithm. (2023). Loeper, Gregoire. In: Papers. RePEc:arx:papers:2310.13797. Full description at Econpapers \|\| Download paper
2024
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2024	Spanning Multi-Asset Payoffs With ReLUs. (2024). Nguyen, Hoang-Dung ; Cr, St'Ephane ; Bossu, S'Ebastien. In: Papers. RePEc:arx:papers:2403.14231. Full description at Econpapers \|\| Download paper
2024
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2024	Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Peng, Xianhua ; Cheng, Xue. In: Papers. RePEc:arx:papers:2404.16295. Full description at Econpapers \|\| Download paper
2024	Hilbert Space-Valued LQG Mean Field Games: An Infinite-Dimensional Analysis. (2024). Firoozi, Dena ; Liu, Hanchao. In: Papers. RePEc:arx:papers:2403.01012. Full description at Econpapers \|\| Download paper
2024

Recent citations

Recent citations received in 2024

Year	Citing document
2024
2024

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	. Full description at Econpapers \|\| Download paper
2023	Climate policies, macroprudential regulation, and the welfare cost of business cycles. (2023). Diluiso, Francesca ; Carli, Marco ; Annicchiarico, Barbara. In: Bank of England working papers. RePEc:boe:boeewp:1036. Full description at Econpapers \|\| Download paper
2023	Multivariate stress scenario selection in interbank networks. (2023). 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	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
2022	. Full description at Econpapers \|\| Download paper
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	Optimal reinsurance under the ?-maxmin mean-variance criterion. (2021). Li, Bin ; Zhang, Liming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:225-239. 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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	90	2503
2	Mathematical Finance / Wiley Blackwell	71	278
3	Insurance: Mathematics and Economics / Elsevier	56	226
4	European Journal of Operational Research / Elsevier	135	224
5	Finance and Stochastics / Springer	57	207
6			201
7	Stochastic Processes and their Applications / Elsevier	47	127
8	Computational Economics / Springer	32	88
9	The North American Journal of Economics and Finance / Elsevier	49	86
10	Post-Print / HAL	208	85
11	Risks / MDPI	18	77