Citation analysis for Mathematical Finance / Wiley Blackwell

Citation Profile [Updated: 2026-11-05 10:50:02]

5 Years H Index

Impact Factor (IF)

1.68

5 Years IF

1.34

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	605	1	2	0		0		1	100	1	0.06	0.06
1992	0	0.12	0.03	0	16	33	664	1	3	17		17			0	1	0.06	0.06
1993	0.09	0.13	0.17	0.09	21	54	477	8	12	33	3	33	3	4	50	3	0.14	0.06
1994	0.08	0.14	0.14	0.06	20	74	806	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	892	35	57	41	12	74	23		0	8	0.42	0.1
1996	0.67	0.25	0.55	0.44	19	112	1367	60	119	39	26	93	41		0	4	0.21	0.11
1997	0.68	0.24	0.65	0.54	18	130	1765	83	204	38	26	95	51	3	3.6	9	0.5	0.11
1998	0.76	0.28	0.69	0.58	20	150	946	103	307	37	28	97	56	5	4.9	5	0.25	0.13
1999	0.76	0.3	0.82	0.68	16	166	3583	134	443	38	29	96	65	6	4.5	8	0.5	0.14
2000	1.06	0.35	1.37	1.28	28	194	1076	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	660	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	972	259	1235	48	26	102	112		0	5	0.2	0.21
2003	0.64	0.43	1.29	1	26	265	514	338	1577	45	29	109	109	10	3	6	0.23	0.21
2004	0.94	0.47	1.58	1.36	30	295	895	460	2042	51	48	115	156	13	2.8	6	0.2	0.21
2005	0.75	0.51	1.51	0.9	29	324	892	485	2531	56	42	129	116	8	1.6	17	0.59	0.23
2006	1.08	0.5	1.55	1.02	33	357	1162	550	3083	59	64	130	132	12	2.2	10	0.3	0.22
2007	0.9	0.44	1.62	0.92	27	384	766	615	3704	62	56	143	131	9	1.5	8	0.3	0.2
2008	1.12	0.47	1.62	1.04	30	414	952	667	4376	60	67	145	151	28	4.2	15	0.5	0.22
2009	0.75	0.46	1.65	0.99	22	436	633	719	5095	57	43	149	147	41	5.7	10	0.45	0.23
2014	0	0.53	2.27	2.55	16	452	445	1023	9431	0		22	56	20	2	8	0.5	0.22
2015	1.25	0.52	2.04	1.25	28	480	445	978	10410	16	20	16	20		0	7	0.25	0.21
2016	1.16	0.49	2.42	1.16	33	513	666	1235	11651	44	51	44	51	8	0.6	23	0.7	0.2
2017	1.26	0.5	1.98	1.35	35	548	423	1079	12734	61	77	77	104	2	0.2	13	0.37	0.2
2018	1.53	0.52	1.97	1.5	37	585	299	1155	13889	68	104	112	168	17	1.5	15	0.41	0.22
2019	1.03	0.53	1.91	1.45	35	620	603	1183	15072	72	74	149	216	10	0.8	29	0.83	0.21
2020	1.22	0.62	2.1	1.37	47	667	477	1404	16476	72	88	168	230	52	3.7	24	0.51	0.29
2021	1.83	0.72	2.04	1.51	42	709	255	1447	17923	82	150	187	282	104	7.2	13	0.31	0.26
2022	1.24	0.71	1.83	1.28	30	739	139	1355	19278	89	110	196	251	58	4.3	10	0.33	0.21
2023	0.88	0.66	1.57	1.04	38	777	229	1219	20497	72	63	191	199	53	4.3	10	0.26	0.19
2024	0.97	0.69	1.64	1.21	15	792	42	1296	21793	68	66	192	233	21	1.6	3	0.2	0.2
2025	1.68	0.91	1.68	1.34	26	818	58	1371	23164	53	89	172	230	4	0.3	19	0.73	0.26

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	3015
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	786
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	576
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	459
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	319
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	308
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	255
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	246
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	221
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	207
11	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	191
12	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	180
13	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	175
14	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	166
15	2006	MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547. Full description at Econpapers \|\| Download paper	166
16	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	162
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	160
18	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	160
19	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	158
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	157
21	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	153
22	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	151
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	145
24	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	141
25	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
26	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	137
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	135
28	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	134
29	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	134
30	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	133
31	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	132
32	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	129
33	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	129
34	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	126
35	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	120
36	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	119
37	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	119
38	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	119
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	113
40	1998	Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65. Full description at Econpapers \|\| Download paper	110
41	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
42	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	105
43	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	104
44	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	103
45	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	103
46	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	102
47	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	102
48	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
49	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	102
50	2016	RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Cont, Rama ; Amini, Hamed ; Minca, Andreea. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365. Full description at Econpapers \|\| Download paper	100

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	472
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	105
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	80
4	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	58
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	54
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	53
7	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	49
8	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	45
9	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	45
10	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	43
11	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	42
12	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	42
13	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	40
14	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	37
15	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	33
16	1997	Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105. Full description at Econpapers \|\| Download paper	32
17	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	30
18	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	28
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	28
20	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	27
21	2016	RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Cont, Rama ; Amini, Hamed ; Minca, Andreea. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365. Full description at Econpapers \|\| Download paper	25
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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	Relaxed Equilibria for Time-Inconsistent Markov Decision Processes. (2025). Bayraktar, Erhan ; Zhou, Zhou ; Wang, Zhenhua ; Huang, Yu-Jui. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:50:y:2025:i:4:p:2666-2687. Full description at Econpapers \|\| Download paper
2025	Polynomial Voting Rules. (2025). Tang, Wenpin ; Yao, David D. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:50:y:2025:i:1:p:90-106. 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	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	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	Risk diversification and extreme risk mitigation. (2025). Bagnara, Matteo ; Vaucher, Benoit. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000714. 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	Trading with Concave Price Impact and Impact DecayâTheory and Evidence. (2025). Hey, Natascha ; Webster, Kevin ; Muhle-Karbe, Johannes ; Mastromatteo, Iacopo. In: Operations Research. RePEc:inm:oropre:v:73:y:2025:i:3:p:1230-1247. Full description at Econpapers \|\| Download paper
2025	ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books. (2025). Zohren, Stefan ; Shestopaloff, Alexander Y ; Cucuringu, Mihai ; Zhang, Yichi. In: Papers. RePEc:arx:papers:2504.20349. 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	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	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	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	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	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	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	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	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	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	4/2 rough and smooth. (2025). Yan, Tingjin ; Wang, Ling ; Yin, Jie ; Wong, Hoi Ying. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:181:y:2025:i:c:s0378426625001803. 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	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	On a Merton Problem with Irreversible Healthcare Investment. (2024). Zhu, Shihao ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:671. 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	103	3157
2	Insurance: Mathematics and Economics / Elsevier	60	264
3	European Journal of Operational Research / Elsevier	143	262
4	Finance and Stochastics / Springer	60	245
5	Mathematical Finance / Wiley Blackwell	75	240
6	Mathematics / MDPI	23	220
7	Mathematics of Operations Research / INFORMS	62	139
8	Stochastic Processes and their Applications / Elsevier	50	139
9	Annals of Operations Research / Springer	57	138
10	Computational Economics / Springer	34	133
11	Operations Research / INFORMS	107	109