Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2026-03-14 21:09:38]

5 Years H Index

Impact Factor (IF)

2.13

5 Years IF

1.49

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	0.11	0.12	0	17	17	576	1	2	0		0		1	100	1	0.06	0.06
1992	0	0.12	0.03	0	16	33	646	1	3	17		17			0	1	0.06	0.06
1993	0.09	0.13	0.17	0.09	21	54	462	8	12	33	3	33	3	4	50	3	0.14	0.06
1994	0.08	0.14	0.14	0.06	20	74	790	9	22	37	3	54	3	2	22.2	2	0.1	0.07
1995	0.29	0.22	0.38	0.31	19	93	873	35	57	41	12	74	23		0	8	0.42	0.1
1996	0.67	0.25	0.55	0.44	19	112	1332	60	119	39	26	93	41		0	4	0.21	0.11
1997	0.68	0.24	0.65	0.54	18	130	1688	83	204	38	26	95	51	3	3.6	9	0.5	0.11
1998	0.76	0.27	0.69	0.58	20	150	909	103	307	37	28	97	56	5	4.9	5	0.25	0.13
1999	0.76	0.29	0.82	0.68	16	166	3406	134	443	38	29	96	65	6	4.5	8	0.5	0.14
2000	1.06	0.34	1.37	1.28	28	194	1039	260	708	36	38	92	118	1	0.4	5	0.18	0.16
2001	0.77	0.38	1.24	1.06	20	214	645	262	973	44	34	101	107	3	1.1	4	0.2	0.17
2002	0.54	0.39	1.1	1.1	25	239	938	259	1235	48	26	102	112		0	5	0.2	0.2
2003	0.64	0.43	1.29	1	26	265	493	337	1576	45	29	109	109	10	3	6	0.23	0.21
2004	0.94	0.47	1.58	1.36	30	295	859	460	2041	51	48	115	156	13	2.8	6	0.2	0.21
2005	0.73	0.51	1.51	0.89	29	324	856	484	2529	56	41	129	115	8	1.7	17	0.59	0.23
2006	1.08	0.49	1.55	1.02	33	357	1110	550	3081	59	64	130	132	12	2.2	10	0.3	0.22
2007	0.89	0.44	1.62	0.91	27	384	722	615	3702	62	55	143	130	9	1.5	8	0.3	0.2
2008	1.12	0.47	1.62	1.04	30	414	900	667	4374	60	67	145	151	28	4.2	15	0.5	0.22
2009	0.75	0.46	1.65	0.99	22	436	590	718	5092	57	43	149	147	41	5.7	10	0.45	0.23
2014	0	0.53	2.18	2.55	16	452	418	985	9366	0		22	56	20	2	8	0.5	0.22
2015	1.25	0.52	2.04	1.25	28	480	413	976	10343	16	20	16	20		0	6	0.21	0.22
2016	1.16	0.5	2.4	1.16	33	513	614	1224	11573	44	51	44	51	8	0.7	23	0.7	0.2
2017	1.26	0.52	1.98	1.35	35	548	391	1079	12656	61	77	77	104	2	0.2	13	0.37	0.21
2018	1.53	0.53	1.97	1.5	37	585	268	1154	13810	68	104	112	168	17	1.5	15	0.41	0.22
2019	1.03	0.54	1.91	1.45	35	620	500	1182	14992	72	74	149	216	10	0.8	29	0.83	0.21
2020	1.22	0.64	2.1	1.37	47	667	413	1404	16396	72	88	168	230	52	3.7	24	0.51	0.3
2021	1.79	0.74	2.02	1.49	42	709	198	1435	17831	82	147	187	278	104	7.2	13	0.31	0.27
2022	1.18	0.73	1.74	1.22	30	739	97	1287	19118	89	105	196	239	58	4.5	9	0.3	0.22
2023	0.82	0.69	1.54	1	38	777	143	1195	20313	72	59	191	191	52	4.4	11	0.29	0.2
2024	0.96	0.81	1.65	1.21	8	785	18	1293	21606	68	65	192	232	21	1.6	3	0.38	0.23
2025	2.13		1.65	1.49	26	811	25	1335	22941	46	98	165	246		0	26	1

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 ; Eber, Jean-Marc ; Delbaen, Freddy ; Heath, David. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers \|\| Download paper	2852
2	1996	A YIELDâFACTOR 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	766
3	1997	Backward Stochastic Differential Equations in Finance. (1997). Peng, S. ; El Karoui, N. ; Quenez, M. C.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers \|\| Download paper	541
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	453
5	2000	Optimal Dynamic Portfolio Selection: Multiperiod MeanâVariance Formulation. (2000). Ng, Wan-Lung ; Li, Duan. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers \|\| Download paper	302
6	1998	Long memory in continuousâtime 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	293
7	1997	The Market Model of Interest Rate Dynamics. (1997). Musiela, Marek ; Dariusz G¸atarek, ; Brace, Alan. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155. Full description at Econpapers \|\| Download paper	249
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	242
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	214
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	194
11	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	163
12	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	163
13	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	161
14	2007	AN OLDâNEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Teboulle, Marc ; Ben-Tal, Aharon. In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers \|\| Download paper	157
15	1992	ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Myneni, Ravi ; Carr, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106. Full description at Econpapers \|\| Download paper	156
16	1993	BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375. Full description at Econpapers \|\| Download paper	155
17	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	155
18	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	152
19	2019	The characteristic function of rough Heston models. (2019). el Euch, Omar ; Rosenbaum, Mathieu. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:1:p:3-38. Full description at Econpapers \|\| Download paper	149
20	2008	BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Zhou, Xunyu ; Jin, Hanqing. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers \|\| Download paper	145
21	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	137
22	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	136
23	2003	Stochastic Volatility for LÃ©vy Processes. (2003). Carr, Peter ; Yor, Marc ; Geman, Helyette ; Madan, Dilip B.. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382. Full description at Econpapers \|\| Download paper	136
24	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	135
25	2000	Pricing Via Utility Maximization and Entropy. (2000). Rouge, Richard ; el Karoui, Nicole. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276. Full description at Econpapers \|\| Download paper	132
26	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	132
27	1992	DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1. (1992). Scheinkman, Jose ; PagÃ¨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	132
28	2002	Exponential Hedging and Entropic Penalties. (2002). Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick ; Stricker, Christophe . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123. Full description at Econpapers \|\| Download paper	131
29	1996	HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12. (1996). Jaksa Cvitanić, ; Karatzas, Ioannis. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165. Full description at Econpapers \|\| Download paper	127
30	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	127
31	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	124
32	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃ¨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	123
33	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	122
34	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	121
35	1997	Bond Market Structure in the Presence of Marked Point Processes. (1997). ÐÐ°Ð±Ð°Ð½Ð¾Ð², Ð®ÑÐ¸Ð¹ ; Kabanov, Yuri ; Runggaldier, Wolfgang ; Bjork, Tomas. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239. Full description at Econpapers \|\| Download paper	118
36	1997	Pricing Stock Options in a JumpâDiffusion 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	117
37	2007	THE RANGE OF TRADED OPTION PRICES. (2007). Mark H. A. Davis, ; Hobson, David G.. In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14. Full description at Econpapers \|\| Download paper	114
38	1995	VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1. (1995). Ritchken, Peter ; Sankarasubramanian, L.. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72. Full description at Econpapers \|\| Download paper	109
39	2009	RISK MEASURES ON ORLICZ HEARTS. (2009). Li, Tianhui ; Cheridito, Patrick. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214. Full description at Econpapers \|\| Download paper	107
40	2014	MEANâVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Yu, Xun ; Bjork, Tomas ; Murgoci, Agatha. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers \|\| Download paper	106
41	2001	The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims. (2001). Kunitomo, Naoto ; Takahashi, Akihiko. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:1:p:117-151. Full description at Econpapers \|\| Download paper	104
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	103
43	2004	Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall. (2004). Scaillet, Olivier. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:115-129. Full description at Econpapers \|\| Download paper	102
44	1999	Term Structure Models Driven by General LÃ©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	101
45	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	100
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	97
47	1997	A Continuity Correction for Discrete Barrier Options. (1997). Kou, Steven ; Glasserman, Paul ; Broadie, Mark. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349. Full description at Econpapers \|\| Download paper	95
48	1998	Robustness of the Black and Scholes Formula. (1998). Shreve, Steven E. ; el Karoui, Nicole ; Jeanblanc-Picque, Monique . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126. Full description at Econpapers \|\| Download paper	95
49	2016	A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Schachermayer, W ; Beiglbock, M ; 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	93
50	2006	DISTRIBUTIONâINVARIANT 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	93

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 ; Eber, Jean-Marc ; Delbaen, Freddy ; Heath, David. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers \|\| Download paper	326
2	2019	The characteristic function of rough Heston models. (2019). el Euch, Omar ; Rosenbaum, Mathieu. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:1:p:3-38. Full description at Econpapers \|\| Download paper	63
3	1997	Backward Stochastic Differential Equations in Finance. (1997). Peng, S. ; El Karoui, N. ; Quenez, M. C.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers \|\| Download paper	58
4	1998	Long memory in continuousâtime 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	40
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	39
6	2015	OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS. (2015). Touzi, Nizar ; Espinosa, Gilles-Edouard . In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:2:p:221-257. Full description at Econpapers \|\| Download paper	38
7	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	37
8	2019	Mean field and nâagent 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	35
9	2000	Optimal Dynamic Portfolio Selection: Multiperiod MeanâVariance Formulation. (2000). Ng, Wan-Lung ; Li, Duan. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers \|\| Download paper	32
10	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
11	2023	Recent advances in reinforcement learning in finance. (2023). Xu, Renyuan ; Yang, Huining ; Hambly, Ben. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:437-503. Full description at Econpapers \|\| Download paper	31
12	1991	Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29. Full description at Econpapers \|\| Download paper	29
13	2014	MEANâVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Yu, Xun ; Bjork, Tomas ; Murgoci, Agatha. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers \|\| Download paper	24
14	1996	A YIELDâFACTOR 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	23
15	2007	AN OLDâNEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Teboulle, Marc ; Ben-Tal, Aharon. In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers \|\| Download paper	23
16	2008	BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Zhou, Xunyu ; Jin, Hanqing. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers \|\| Download paper	22
17	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
18	2008	OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, ElyÃ¨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	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
20	2016	A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Schachermayer, W ; Beiglbock, M ; 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	18
21	2020	Network valuation in financial systems. (2020). Barucca, Paolo ; D'Errico, Marco ; Bardoscia, Marco ; Caldarelli, Guido ; Visentin, Gabriele ; Caccioli, Fabio ; Battiston, Stefano. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1181-1204. Full description at Econpapers \|\| Download paper	18
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2025	Exploratory Mean-Variance with Jumps: An Equilibrium Approach. (2025). Chen, Yuling Max ; Saunders, David ; Li, Bin. In: Papers. RePEc:arx:papers:2512.09224. Full description at Econpapers \|\| Download paper
2025	Universal portfolios in continuous time: an approach in pathwise It\^o calculus. (2025). Schied, Alexander ; Han, Xiyue. In: Papers. RePEc:arx:papers:2504.11881. Full description at Econpapers \|\| Download paper
2025	Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities. (2025). Chen, Zixing ; Qi, Yihan ; Sester, Julian ; Que, Shanlan ; Zhang, Xiao. In: Papers. RePEc:arx:papers:2508.16595. Full description at Econpapers \|\| Download paper
2025	Pathwise analysis of log-optimal portfolios. (2025). Allan, Andrew L ; Kwossek, Anna P ; Promel, David J ; Liu, Chong. In: Papers. RePEc:arx:papers:2507.18232. Full description at Econpapers \|\| Download paper
2025	Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models. (2025). Shi, Qijin ; Ichiba, Tomoyuki. In: Papers. RePEc:arx:papers:2509.14529. Full description at Econpapers \|\| Download paper
2025	Portfolio time consistency and utility weighted discount rates. (2025). Pirvu, Traian A ; Mbodji, Oumar. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:2:d:10.1007_s11579-025-00382-6. Full description at Econpapers \|\| Download paper
2025	Partial comonotonicity and distortion riskmetrics. (2025). Huang, Muqiao. In: Papers. RePEc:arx:papers:2506.07472. Full description at Econpapers \|\| Download paper
2025	Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677. Full description at Econpapers \|\| Download paper
2025	Aggregation of downside risk and portfolio selection. (2025). Wenzelburger, Jan ; Spanaus, Conrad. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:119:y:2025:i:c:s0304406825000552. Full description at Econpapers \|\| Download paper
2025	Variance strikes back: sub-game--perfect Nash equilibria in time-inconsistent $N$-player games, and their mean-field sequel. (2025). Possamai, Dylan ; Rossato, Chiara. In: Papers. RePEc:arx:papers:2512.08745. Full description at Econpapers \|\| Download paper
2025	HLOBâInformation persistence and structure in limit order books. (2025). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126623. Full description at Econpapers \|\| Download paper
2025	Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks. (2025). Fabre, Timoth'Ee ; Challet, Damien. In: Papers. RePEc:arx:papers:2504.15908. Full description at Econpapers \|\| Download paper
2025	Forecasting Intraday Volume in Equity Markets with Machine Learning. (2025). Cucuringu, Mihai ; Zhang, Chao ; Li, Kang. In: Papers. RePEc:arx:papers:2505.08180. Full description at Econpapers \|\| Download paper
2025	An Efficient deep learning model to Predict Stock Price Movement Based on Limit Order Book. (2025). Zhang, Ming ; Fang, Ran ; Yang, Jiahao ; Zhou, Jun. In: Papers. RePEc:arx:papers:2505.22678. Full description at Econpapers \|\| Download paper
2025	Order Book Filtration and Directional Signal Extraction at High Frequency. (2025). Maiti, Prithwish ; Jain, Shashi ; Anantha, Aditya Nittur. In: Papers. RePEc:arx:papers:2507.22712. Full description at Econpapers \|\| Download paper
2025	Deep reinforcement learning for optimal trading with partial information. (2025). Macri, Andrea ; Lillo, Fabrizio ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2511.00190. Full description at Econpapers \|\| Download paper
2025	Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431. Full description at Econpapers \|\| Download paper
2025	Pontryagin-Guided Policy Optimization for Mertons Portfolio Problem. (2025). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:2412.13101. Full description at Econpapers \|\| Download paper
2025	Gaining efficiency in deep policy gradient method for continuous-time optimal control problems. (2025). Fahim, Arash ; Rahman, Md Arafatur. In: Papers. RePEc:arx:papers:2502.14141. Full description at Econpapers \|\| Download paper
2025	Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent. (2023). Sun, Yifan ; Zariphopoulou, Thaleia ; Liang, Gechun. In: Papers. RePEc:arx:papers:2401.00103. Full description at Econpapers \|\| Download paper
2025	Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach. (2024). Liang, Gechun ; Chong, Wing Fung. In: Papers. RePEc:arx:papers:2410.01378. Full description at Econpapers \|\| Download paper
2025	Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers \|\| Download paper
2025	Consistent time travel for realistic interactions with historical data: reinforcement learning for market making. (2025). Challet, Damien ; Ragel, Vincent. In: Papers. RePEc:arx:papers:2408.02322. Full description at Econpapers \|\| Download paper
2025	Market Making with Fads, Informed, and Uninformed Traders. (2025). , Leandro ; Mathieu, Adrien ; Barucci, Emilio. In: Papers. RePEc:arx:papers:2501.03658. Full description at Econpapers \|\| Download paper
2025	To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management. (2025). Gu, Olivier ; Bergault, Philippe ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2503.02496. Full description at Econpapers \|\| Download paper
2025	Optimal hedging of an informed broker facing many traders. (2025). Bergault, Philippe ; Cardaliaguet, Pierre ; Yan, Wenbin. In: Papers. RePEc:arx:papers:2506.08992. Full description at Econpapers \|\| Download paper
2025	Understanding the worst-kept secret of high-frequency trading. (2025). Pulido, Sergio ; Sfendourakis, Emmanouil ; Rosenbaum, Mathieu. In: Post-Print. RePEc:hal:journl:hal-04362236. Full description at Econpapers \|\| Download paper
2025	Optimal Quoting under Adverse Selection and Price Reading. (2025). Barzykin, Alexander ; Gu, Olivier ; Bergault, Philippe ; Lemmel, Malo. In: Papers. RePEc:arx:papers:2508.20225. Full description at Econpapers \|\| Download paper
2025	Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2025

Year	Citing document
2025	VIX options in the SABR model. (2025). Pirjol, Dan ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:2501.06398. Full description at Econpapers \|\| Download paper
2025	Martingale property and moment explosions in signature volatility models. (2025). Sotnikov, Dimitri ; Gassiat, Paul ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.17103. Full description at Econpapers \|\| Download paper
2025	Stochastic portfolio theory with price impact. (2025). Itkin, David. In: Papers. RePEc:arx:papers:2506.07993. Full description at Econpapers \|\| Download paper
2025	Joint deep calibration of the 4-factor PDV model. (2025). Baschetti, Fabio ; Bormetti, Giacomo ; Rossi, Pietro. In: Papers. RePEc:arx:papers:2507.09412. Full description at Econpapers \|\| Download paper
2025	Prediction of linear fractional stable motions using codifference. (2025). Valade, Thomas ; Sawaya, Karl ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2507.15437. Full description at Econpapers \|\| Download paper
2025	Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility. (2025). Chan, Patrick ; Zimbidis, Iosif ; Sircar, Ronnie. In: Papers. RePEc:arx:papers:2507.17162. Full description at Econpapers \|\| Download paper
2025	Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions. (2025). Alos, Elisa ; Vives, Josep ; de Santiago, Rafael ; Bur, Oscar. In: Papers. RePEc:arx:papers:2507.23392. Full description at Econpapers \|\| Download paper
2025	Hedging with memory: shallow and deep learning with signatures. (2025). , Louis-Amand ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2508.02759. Full description at Econpapers \|\| Download paper
2025	Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models. (2025). He, Jian ; Khedher, Asma ; Karbach, Sven. In: Papers. RePEc:arx:papers:2508.14813. Full description at Econpapers \|\| Download paper
2025	Option pricing under non-Markovian stochastic volatility models: A deep signature approach. (2025). Li, Wenyuan ; Wu, Xianglin ; Ma, Jingtang. In: Papers. RePEc:arx:papers:2508.15237. Full description at Econpapers \|\| Download paper
2025	Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees. (2025). Bossu, Sebastien ; Grabchak, Michael. In: Papers. RePEc:arx:papers:2508.17014. Full description at Econpapers \|\| Download paper
2025	Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools. (2025). Mastrolia, Thibaut ; Wang, Hao. In: Papers. RePEc:arx:papers:2509.03916. Full description at Econpapers \|\| Download paper
2025	Robust Exploratory Stopping under Ambiguity in Reinforcement Learning. (2025). Park, Kyunghyun ; Wong, Hoi Ying ; Ye, Junyan. In: Papers. RePEc:arx:papers:2510.10260. Full description at Econpapers \|\| Download paper
2025	Branched Signature Model. (2025). Feng, QI ; Ali, Munawar. In: Papers. RePEc:arx:papers:2511.00018. Full description at Econpapers \|\| Download paper
2025	Contracting with discretionary bonuses. (2025). Huang, Liwei ; Ekren, Ibrahim ; Alvarez, Guillermo Alonso. In: Papers. RePEc:arx:papers:2511.23424. Full description at Econpapers \|\| Download paper
2025	Coordinated Mean-Field Control for Systemic Risk. (2025). Yamanaka, Toshiaki. In: Papers. RePEc:arx:papers:2512.04704. Full description at Econpapers \|\| Download paper
2025	Variance strikes back: sub-game--perfect Nash equilibria in time-inconsistent $N$-player games, and their mean-field sequel. (2025). Possamai, Dylan ; Rossato, Chiara. In: Papers. RePEc:arx:papers:2512.08745. Full description at Econpapers \|\| Download paper
2025	Global universal approximation with Brownian signatures. (2025). Ceylan, Mihriban ; Promel, David J. In: Papers. RePEc:arx:papers:2512.16396. Full description at Econpapers \|\| Download paper
2025	Stress testing OTC derivatives: Clearing reforms and market frictions. (2025). Casu, Barbara ; Katsoulis, Petros ; Kalotychou, Elena. In: Journal of Financial Stability. RePEc:eee:finsta:v:77:y:2025:i:c:s1572308925000178. Full description at Econpapers \|\| Download paper
2025	Global foreign exchange volatility, ambiguity, and currency carry trades. (2025). Sakemoto, Ryuta ; Asano, Takao ; Cai, Xiaojing. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001281. Full description at Econpapers \|\| Download paper
2025	Hedging with memory: shallow and deep learning with signatures. (2025). Grard, Louis-Amand ; Jaber, Eduardo Abi. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-05197836. Full description at Econpapers \|\| Download paper
2025	An Entropy Regularized BSDE Approach to Bermudan Options and Games. (2025). Chee, Daniel ; Li, Libo ; Frikha, Noufel. In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-05265653. Full description at Econpapers \|\| Download paper
2025	Universal approximation theorems for continuous functions of cÃ dlÃ g paths and LÃ©vy-type signature models. (2025). Svaluto-Ferro, Sara ; Primavera, Francesca ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:2:d:10.1007_s00780-025-00557-5. Full description at Econpapers \|\| Download paper
2025	Equilibrium with heterogeneous information flows. (2025). Robertson, Scott. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:3:d:10.1007_s00780-025-00565-5. Full description at Econpapers \|\| Download paper

Recent citations received in 2024

Year	Citing document
2024	Sequential optimal contracting in continuous time. (2024). Bayraktar, Erhan ; Huang, Liwei ; Alvarez, Guillermo Alonso ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:2411.04262. Full description at Econpapers \|\| Download paper
2024	Neural Operators Can Play Dynamic Stackelberg Games. (2024). Yang, Xuwei ; Kratsios, Anastasis ; Ekren, Ibrahim ; Alvarez, Guillermo. In: Papers. RePEc:arx:papers:2411.09644. Full description at Econpapers \|\| Download paper
2024	Handling model risk with XVAs. (2024). Crpey, Stphane ; Bnzet, Cyril. In: Post-Print. RePEc:hal:journl:hal-03675291. Full description at Econpapers \|\| Download paper

Recent citations received in 2023

Year	Citing document
2023	Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management. (2023). Wang, Yuwei ; Strub, Moris ; Liang, Gechun. In: Papers. RePEc:arx:papers:2311.04841. Full description at Econpapers \|\| Download paper
2023	Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning. (2023). Shi, Yun ; Li, Xun ; Cui, Xiangyu ; Zhao, SI. In: Papers. RePEc:arx:papers:2312.15385. Full description at Econpapers \|\| Download paper
2023	Closedâloop Nash competition for liquidity. (2023). Neuman, Eyal ; Muhlekarbe, Johannes ; Micheli, Alessandro. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:4:p:1082-1118. 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). Kim, Kyoung-Kuk ; Kwon, Eunji ; 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	Deep Reinforcement Learning for Dynamic Stock Option Hedging: A Review. (2023). Lawryshyn, Yuri ; Pickard, Reilly. In: Mathematics. RePEc:gam:jmathe:v:11:y:2023:i:24:p:4943-:d:1299173. 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). Wang, Wei ; Xu, Huifu. 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	Optimal stopping and impulse control in the presence of an anticipated regime switch. (2023). , Luis ; Sillanp, Wiljami. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:98:y:2023:i:2:d:10.1007_s00186-023-00838-9. Full description at Econpapers \|\| Download paper
2023	A transform-based method for pricing Asian options under general two-dimensional models. (2023). Zhang, Weinan ; Zeng, Pingping. 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). Yang, Zhou ; Zhang, Jing ; Zhou, Chao. 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). McWalter, Thomas A ; Ritchken, Peter H. 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	A two-player portfolio tracking game. (2022). Voss, Moritz. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:16:y:2022:i:4:d:10.1007_s11579-022-00324-6. Full description at Econpapers \|\| Download paper
2022	Signal-to-noise matrix and model reduction in continuous-time hidden Markov models. (2022). Ruderer, Leonie ; Sass, Jorn ; 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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	97	2629
2	Mathematical Finance / Wiley Blackwell	72	235
3	European Journal of Operational Research / Elsevier	139	226
4	Mathematics / MDPI	20	219
5	Insurance: Mathematics and Economics / Elsevier	58	218
6	Finance and Stochastics / Springer	58	213
7	Annals of Operations Research / Springer	53	132
8	Stochastic Processes and their Applications / Elsevier	49	107
9	Computational Economics / Springer	33	97
10	The North American Journal of Economics and Finance / Elsevier	53	90
11	Post-Print / HAL	217	84