Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

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

5 Years H Index

Impact Factor (IF)

1.07

5 Years IF

0.98

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
1994	0	0.14	0.09	0	11	11	101	1	1	0		0		1	100	1	0.09	0.07
1995	0.27	0.22	0.12	0.27	14	25	293	3	4	11	3	11	3	2	66.7		0	0.09
1996	0	0.25	0	0	16	41	194		4	25		25			0		0	0.12
1997	0.27	0.24	0.25	0.27	14	55	91	14	18	30	8	41	11	9	64.3		0	0.11
1998	0.2	0.28	0.21	0.2	12	67	150	14	32	30	6	55	11	2	14.3	1	0.08	0.13
1999	0.12	0.31	0.2	0.16	15	82	148	16	48	26	3	67	11	8	50		0	0.15
2000	0.22	0.36	0.42	0.32	14	96	90	40	88	27	6	71	23	6	15	1	0.07	0.16
2001	0.17	0.39	0.24	0.23	13	109	45	26	114	29	5	71	16	7	26.9	1	0.08	0.17
2002	0.33	0.41	0.32	0.29	16	125	283	40	154	27	9	68	20	3	7.5		0	0.21
2003	0.1	0.44	0.45	0.3	16	141	302	64	218	29	3	70	21	2	3.1		0	0.22
2004	0.22	0.49	0.37	0.31	16	157	110	57	276	32	7	74	23		0	1	0.06	0.22
2005	0.41	0.51	0.41	0.45	15	172	407	68	346	32	13	75	34	5	7.4	6	0.4	0.24
2006	0.39	0.51	0.45	0.43	16	188	156	83	430	31	12	76	33	7	8.4	6	0.38	0.23
2007	0.55	0.46	0.5	0.56	23	211	329	106	536	31	17	79	44	5	4.7	3	0.13	0.2
2008	0.67	0.49	0.55	0.71	22	233	190	127	664	39	26	86	61	8	6.3	3	0.14	0.23
2009	0.29	0.48	0.46	0.43	24	257	201	116	781	45	13	92	40	11	9.5		0	0.24
2010	0.43	0.48	0.49	0.56	24	281	163	135	919	46	20	100	56	5	3.7	2	0.08	0.21
2011	0.29	0.52	0.49	0.41	23	304	139	147	1068	48	14	109	45	5	3.4	1	0.04	0.24
2012	0.21	0.52	0.61	0.52	21	325	133	198	1267	47	10	116	60	5	2.5	9	0.43	0.22
2013	0.64	0.56	0.75	0.72	27	352	116	264	1531	44	28	114	82		0	3	0.11	0.24
2014	0.42	0.55	0.64	0.53	21	373	130	237	1768	48	20	119	63		0	2	0.1	0.23
2015	0.4	0.55	0.64	0.52	22	395	125	254	2022	48	19	116	60	5	2	6	0.27	0.23
2016	0.65	0.52	0.68	0.61	19	414	59	282	2304	43	28	114	69	3	1.1		0	0.21
2017	0.37	0.54	0.62	0.47	18	432	61	266	2570	41	15	110	52		0		0	0.22
2018	0.27	0.55	0.62	0.38	22	454	82	283	2853	37	10	107	41	1	0.4	1	0.05	0.23
2019	0.48	0.56	0.63	0.53	18	472	104	299	3152	40	19	102	54		0	5	0.28	0.23
2020	0.68	0.67	0.63	0.63	20	492	85	311	3463	40	27	99	62	3	1	4	0.2	0.32
2021	0.84	0.79	0.6	0.6	20	512	45	309	3772	38	32	97	58		0	3	0.15	0.29
2022	0.7	0.83	0.44	0.66	17	529	20	232	4004	40	28	98	65		0		0	0.25
2023	0.51	0.82	0.43	0.62	12	541	14	230	4234	37	19	97	60		0		0	0.23
2024	1.07	1.05	0.51	0.98	2	543	0	278	4512	29	31	87	85		0		0	0.27

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

50 most cited documents in this series

#	Year	Title	Cited
1	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÆÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	208
2	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	188
3	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	159
4	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	135
5	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	99
6	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	94
7	2005	The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers \|\| Download paper	65
8	2000	Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32. Full description at Econpapers \|\| Download paper	63
9	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	62
10	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	60
11	2005	Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers \|\| Download paper	54
12	2006	Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	54
13	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	54
14	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Badran, Alexander ; Baldeaux, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	49
15	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	45
16	1994	Stock market bubbles in the laboratory. (1994). Smith, Vernon ; Porter, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers \|\| Download paper	45
17	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Tehranchi, Michael ; Schoneborn, Torsten . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	45
18	2002	Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers \|\| Download paper	43
19	1996	Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	43
20	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	43
21	1997	Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64. Full description at Econpapers \|\| Download paper	39
22	1999	Multigrid for American option pricing with stochastic volatility. (1999). Nigel Clarke, Kevin Parrott, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195. Full description at Econpapers \|\| Download paper	38
23	1999	Equivalent Black volatilities. (1999). Patrick S. Hagan, Diana E. Woodward, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:147-157. Full description at Econpapers \|\| Download paper	38
24	1998	A framework for valuing corporate securities. (1998). Ericsson, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers \|\| Download paper	37
25	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	33
26	1996	Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. (1996). ParAS, Antonio ; Avellaneda, Marco. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52. Full description at Econpapers \|\| Download paper	33
27	2003	On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. (2003). Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324. Full description at Econpapers \|\| Download paper	32
28	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Ludkovski, Michael ; Carmona, Rene. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	32
29	2006	On the Distributional Characterization of Daily Log-Returns of a World Stock Index. (2006). Platen, Eckhard ; Fergusson, Kevin. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38. Full description at Econpapers \|\| Download paper	32
30	2019	Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality. (2019). Manziuk, Iuliia ; Guant, Olivier. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:5:p:387-452. Full description at Econpapers \|\| Download paper	31
31	1998	General Black-Scholes models accounting for increased market volatility from hedging strategies. (1998). K. Ronnie Sircar, George Papanicolaou, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82. Full description at Econpapers \|\| Download paper	30
32	2018	Enhancing trading strategies with order book signals. (2018). Cartea, Alvaro ; Jaimungal, Sebastian ; Donnelly, Ryan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:1-35. Full description at Econpapers \|\| Download paper	30
33	2004	On the pricing and hedging of volatility derivatives. (2004). Rafailidis, Avraam ; Howison, Sam ; Rasmussen, Henrik . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346. Full description at Econpapers \|\| Download paper	29
34	2012	The Implied Market Price of Weather Risk. (2012). LÃÆÃÂ³pez Cabrera, Brenda ; HÃÆÃÂ¤rdle, Wolfgang. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:1:p:59-95. Full description at Econpapers \|\| Download paper	29
35	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Pages, Gilles ; Bouthemy, Sandrine ; Bardou, Olivier . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	28
36	2015	ADI Schemes for Pricing American Options under the Heston Model. (2015). Haentjens, Tinne ; In, Karel J. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:207-237. Full description at Econpapers \|\| Download paper	28
37	2003	A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Nielsen, BjoRn Fredrik ; Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers \|\| Download paper	27
38	2009	On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers \|\| Download paper	27
39	2007	Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Benth, Fred Espen ; Kufakunesu, Rodwell ; GROTH, MARTIN. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363. Full description at Econpapers \|\| Download paper	27
40	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, ÃÆÃÂlvaro ; Figueroa, Marcelo ; Geman, Helyette. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers \|\| Download paper	27
41	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). Belanger, A. C. ; Forsyth, P. A. ; Labahn, G.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	26
42	2005	Sharp Upper and Lower Bounds for Basket Options. (2005). Laurence, Peter ; Wang, Tai-Ho. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers \|\| Download paper	26
43	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	26
44	2017	Regime-switching stochastic volatility model: estimation and calibration to VIX options. (2017). Goutte, StÃÆÃÂ©phane ; Pham, Huyen ; Ismail, Amine . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:24:y:2017:i:1:p:38-75. Full description at Econpapers \|\| Download paper	25
45	1996	Bond, futures and option evaluation in the quadratic interest rate model. (1996). Jamshidian, Farshid . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:2:p:93-115. Full description at Econpapers \|\| Download paper	25
46	1998	The predictive power of price patterns. (1998). G. Caginalp, H. Laurent, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:181-205. Full description at Econpapers \|\| Download paper	25
47	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Bernard, Carole ; Cui, Zhenyu. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	25
48	2019	Mean-Field Game Strategies for Optimal Execution. (2019). Nourian, Mojtaba ; Jaimungal, Sebastian ; Huang, Xuancheng. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:2:p:153-185. Full description at Econpapers \|\| Download paper	23
49	2004	Multiple time scales in volatility and leverage correlations: a stochastic volatility model. (2004). PerellÃÆÃÂ³, Josep ; Masoliver, Jaume ; Bouchaud, Jean-Philippe. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:1:p:27-50. Full description at Econpapers \|\| Download paper	23
50	1998	An explicit finite difference approach to the pricing of barrier options. (1998). Phelim P. Boyle, Yisong Tian, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:1:p:17-43. Full description at Econpapers \|\| Download paper	23

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

#	Year	Title	Cited
1	2018	Enhancing trading strategies with order book signals. (2018). Cartea, Alvaro ; Jaimungal, Sebastian ; Donnelly, Ryan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:1-35. Full description at Econpapers \|\| Download paper	16
2	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Levy, A. ; Avellaneda, M. ; ParAS, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	16
3	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Badran, Alexander ; Baldeaux, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	15
4	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	14
5	2019	Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality. (2019). Manziuk, Iuliia ; Guant, Olivier. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:5:p:387-452. Full description at Econpapers \|\| Download paper	11
6	2021	Closed-form Approximations in Multi-asset Market Making. (2021). Vieira, Douglas ; Gueant, Olivier ; Evangelista, David ; Bergault, Philippe. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:2:p:101-142. Full description at Econpapers \|\| Download paper	10
7	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	10
8	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	10
9	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	9
10	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, ÃÆÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	8
11	2020	Non-parametric Pricing and Hedging of Exotic Derivatives. (2020). Arribas, Imanol Perez ; Nejad, Sina ; Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:6:p:457-494. Full description at Econpapers \|\| Download paper	8
12	2022	Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals. (2022). Drissi, Fayal. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:29:y:2022:i:6:p:457-493. Full description at Econpapers \|\| Download paper	8
13	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Victoir, Nicolas ; Ninomiya, Syoiti. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	8
14	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Papapantoleon, Antonis ; Glau, Kathrin ; Eberlein, Ernst. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	8
15	2019	Mean-Field Game Strategies for Optimal Execution. (2019). Nourian, Mojtaba ; Jaimungal, Sebastian ; Huang, Xuancheng. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:2:p:153-185. Full description at Econpapers \|\| Download paper	8
16	2020	Detecting and Repairing Arbitrage in Traded Option Prices. (2020). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:5:p:345-373. Full description at Econpapers \|\| Download paper	8
17	2017	Regime-switching stochastic volatility model: estimation and calibration to VIX options. (2017). Goutte, StÃÆÃÂ©phane ; Pham, Huyen ; Ismail, Amine . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:24:y:2017:i:1:p:38-75. Full description at Econpapers \|\| Download paper	8
18	2021	Double Deep Q-Learning for Optimal Execution. (2021). Ho, Franco ; Ning, Brian ; Jaimungal, Sebastian. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:4:p:361-380. Full description at Econpapers \|\| Download paper	7
19	2021	Deep Learning for Market by Order Data. (2021). Zohren, Stefan ; Lim, Bryan ; Zhang, Zihao. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:1:p:79-95. Full description at Econpapers \|\| Download paper	7
20	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Benth, Fred Espen ; Meyer-Brandis, Thilo ; Kallsen, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	7
21	2020	Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models. (2020). Newbury, James ; Kalsi, Jasdeep ; Hambly, Ben. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:132-170. Full description at Econpapers \|\| Download paper	7
22	2020	Spoofing and Price Manipulation in Order-Driven Markets. (2020). Wang, Yixuan ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:67-98. Full description at Econpapers \|\| Download paper	6
23	2018	A non-Gaussian OrnsteinÃ¢â¬âUhlenbeck model for pricing wind power futures. (2018). Pircalabu, Anca ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:36-65. Full description at Econpapers \|\| Download paper	6
24	2011	Exchange Options Under Jump-Diffusion Dynamics. (2011). Chiarella, Carl ; Cheang, Gerald . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:18:y:2011:i:3:p:245-276. Full description at Econpapers \|\| Download paper	6
25	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Pages, Gilles ; Bouthemy, Sandrine ; Bardou, Olivier . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	5
26	2005	Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection. (2005). Ballestero, Enrique . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:1-15. Full description at Econpapers \|\| Download paper	5
27	2023		5
28	2021	Structural Clustering of Volatility Regimes for Dynamic Trading Strategies. (2021). Francis, Gilad ; Menzies, Max ; James, Nick ; Prakash, Arjun. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:3:p:236-274. Full description at Econpapers \|\| Download paper	5
29	2014	Optimal Trade Execution Under Stochastic Volatility and Liquidity. (2014). Cheridito, Patrick ; Sepin, Tardu . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:342-362. Full description at Econpapers \|\| Download paper	5
30	2019	Generalised Lyapunov Functions and Functionally Generated Trading Strategies. (2019). Xie, Kangjianan ; Ruf, Johannes. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:4:p:293-327. Full description at Econpapers \|\| Download paper	4
31	2022	The Role of Binance in Bitcoin Volatility Transmission. (2022). Kaeck, Andreas ; Heck, Daniel F ; Alexander, Carol. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:29:y:2022:i:1:p:1-32. Full description at Econpapers \|\| Download paper	4
32	2012	On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates. (2012). Grzelak, Lech ; OOSTERLEE, CORNELIS W.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:1:p:1-35. Full description at Econpapers \|\| Download paper	4
33	2006	Interpolation Methods for Curve Construction. (2006). West, Graeme ; Hagan, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	4
34	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Bernard, Carole ; Cui, Zhenyu. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	4
35	2023	Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets. (2023). Drissi, Fayal ; Cartea, Alvaro ; Monga, Marcello. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:30:y:2023:i:2:p:69-93. Full description at Econpapers \|\| Download paper	4
36	2015	ADI Schemes for Pricing American Options under the Heston Model. (2015). Haentjens, Tinne ; In, Karel J. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:207-237. Full description at Econpapers \|\| Download paper	4
37	2013	Modelling Asset Prices for Algorithmic and High-Frequency Trading. (2013). Cartea, ÃÆÃÂlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:6:p:512-547. Full description at Econpapers \|\| Download paper	4
38	2022	Optimal Execution: A Review. (2022). Donnelly, Ryan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:29:y:2022:i:3:p:181-212. Full description at Econpapers \|\| Download paper	4
39	1996	Binomial models for option valuation - examining and improving convergence. (1996). Leisen, Dietmar ; Reimer, Matthias . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	4
40	2021	Expected Utility Theory on General Affine GARCH Models. (2021). Zagst, Rudi ; Spies, Ben ; Escobar-Anel, Marcos. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:6:p:477-507. Full description at Econpapers \|\| Download paper	4
41	2020	Optimal Trading with Differing Trade Signals. (2020). Lorig, Matthew ; Donnelly, Ryan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:4:p:317-344. Full description at Econpapers \|\| Download paper	4
42	2019	Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies. (2019). Vetzal, Kenneth R ; Forsyth, Peter A. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:1:p:1-37. Full description at Econpapers \|\| Download paper	4
43	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Manoliu, Mihaela ; Tompaidis, Stathis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	4
44	2019	Short Maturity Forward Start Asian Options in Local Volatility Models. (2019). Zhu, Lingjiong ; Wang, Jing ; Pirjol, Dan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:3:p:187-221. Full description at Econpapers \|\| Download paper	4
45	2014	Optimal Execution and Price Manipulations in Time-varying Limit Order Books. (2014). Alfonsi, Aurelien ; Acevedo, Jose Infante . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:3:p:201-237. Full description at Econpapers \|\| Download paper	3
46	2015	Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models. (2015). Yuen, Chi Hung ; Kwok, Yue Kuen ; Zheng, Wendong. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:5:p:421-449. Full description at Econpapers \|\| Download paper	3
47	2019	Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Nejad, Sina. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:6:p:583-597. Full description at Econpapers \|\| Download paper	3
48	2020	Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets. (2020). Jaimungal, Sebastian ; Shrivats, Arvind. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:99-131. Full description at Econpapers \|\| Download paper	3
49	2023	Arbitrage-Free Neural-SDE Market Models. (2023). Reisinger, Christoph ; Cohen, Samuel N ; Wang, Sheng. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:30:y:2023:i:1:p:1-46. Full description at Econpapers \|\| Download paper	3
50	2020	Additive Processes with Bilateral Gamma Marginals. (2020). Wang, King ; Madan, Dilip B. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:3:p:171-188. Full description at Econpapers \|\| Download paper	3

Citing documents used to compute impact factor: 31

Year	Title
2024
2024	A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962. Full description at Econpapers \|\| Download paper
2024	Cross-exchange crypto risk: A high-frequency dynamic network perspective. (2024). Ren, Rui ; Lin, Min-Bin ; Lu, Wanbo ; Wang, Yifu ; Hardle, Wolfgang Karl. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001789. Full description at Econpapers \|\| Download paper
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2024	Technology and automation in financial trading: A bibliometric review. (2024). Cumming, Douglas ; Care, Rosella. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002642. Full description at Econpapers \|\| Download paper
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	Strategic Learning and Trading in Broker-Mediated Markets. (2024). Aqsha, Alif ; Drissi, Fayccal. In: Papers. RePEc:arx:papers:2412.20847. Full description at Econpapers \|\| Download paper
2024	Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2309.08431. Full description at Econpapers \|\| Download paper
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	Broker-Trader Partial Information Nash Equilibria. (2024). Wu, Xuchen ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2412.17712. Full description at Econpapers \|\| Download paper
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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
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2024	Rough differential equations for volatility. (2024). Gasteratos, Ioannis ; Jacquier, Antoine ; Bonesini, Ofelia ; Ferrucci, Emilio. In: Papers. RePEc:arx:papers:2412.21192. Full description at Econpapers \|\| Download paper
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2024	On the Hull-White model with volatility smile for Valuation Adjustments. (2024). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2403.14841. Full description at Econpapers \|\| Download paper
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2024	Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts. (2024). Gu, Olivier ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2404.13754. Full description at Econpapers \|\| Download paper
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Recent citations

Recent citations received in 2023

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Recent citations received in 2022

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Recent citations received in 2021

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2021	Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units. (2021). Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2105.10430. Full description at Econpapers \|\| Download paper
2021	Collective correlations, dynamics and behavioural inconsistencies of the cryptocurrency market over time. (2021). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2107.13926. Full description at Econpapers \|\| Download paper
2021	Correlating LÃ©vy processes with self-decomposability: applications to energy markets. (2021). Gardini, Matteo ; Sasso, Emanuela ; Sabino, Piergiacomo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00352-9. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	90	561
2			50
3	Mathematical Finance / Wiley Blackwell	71	42
4	Computational Economics / Springer	32	40
5	Energy Economics / Elsevier	164	33
6	European Journal of Operational Research / Elsevier	135	29
7	Finance and Stochastics / Springer	57	28
8	Mathematics and Computers in Simulation (MATCOM) / Elsevier	27	25
9	The North American Journal of Economics and Finance / Elsevier	49	23
10	Physica A: Statistical Mechanics and its Applications / Elsevier	74	19
11	Decisions in Economics and Finance / Springer	11	18