Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Monte Carlo Methods and Applications / De Gruyter

Citation Profile [Updated: 2026-03-14 21:09:38]
5 Years H Index
10
Impact Factor (IF)
0
5 Years IF
0.01
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
1995 0 0.22 0.06 0 17 17 6 1 1 0 0 1 100 1 0.06 0.1
1996 0 0.25 0 0 18 35 40 1 17 17 0 0 0.11
1997 0.06 0.24 0.04 0.06 17 52 16 2 3 35 2 35 2 2 100 0 0.11
1998 0.09 0.27 0.08 0.08 19 71 7 6 9 35 3 52 4 2 33.3 1 0.05 0.13
1999 0.03 0.29 0.05 0.01 16 87 11 4 13 36 1 71 1 0 1 0.06 0.14
2000 0 0.34 0.06 0.06 19 106 3 6 19 35 87 5 5 83.3 0 0.16
2001 0.03 0.38 0.08 0.09 39 145 11 11 30 35 1 89 8 7 63.6 0 0.17
2002 0.02 0.39 0.04 0.05 23 168 25 7 37 58 1 110 5 6 85.7 0 0.2
2003 0.08 0.43 0.07 0.04 22 190 28 14 51 62 5 116 5 5 35.7 1 0.05 0.21
2004 0.02 0.47 0.03 0.03 54 244 21 7 58 45 1 119 3 1 14.3 0 0.21
2005 0.04 0.51 0.03 0.03 15 259 48 8 66 76 3 157 4 6 75 0 0.23
2006 0.04 0.49 0.05 0.05 23 282 39 14 80 69 3 153 8 3 21.4 1 0.04 0.22
2007 0.16 0.44 0.06 0.08 17 299 4 17 97 38 6 137 11 4 23.5 0 0.2
2008 0.08 0.47 0.05 0.04 23 322 4 17 114 40 3 131 5 10 58.8 0 0.22
2009 0.03 0.46 0.05 0.06 18 340 26 17 131 40 1 132 8 6 35.3 0 0.23
2010 0.05 0.46 0.04 0.05 21 361 6 13 144 41 2 96 5 3 23.1 0 0.2
2011 0.03 0.51 0.02 0.03 17 378 16 8 152 39 1 102 3 1 12.5 0 0.23
2012 0.05 0.5 0.06 0.05 15 393 14 25 177 38 2 96 5 5 20 0 0.21
2013 0.06 0.54 0.07 0.05 15 408 0 27 204 32 2 94 5 3 11.1 0 0.24
2014 0.1 0.53 0.04 0.06 19 427 9 15 219 30 3 86 5 3 20 0 0.22
2015 0.12 0.52 0.06 0.09 23 450 3 25 244 34 4 87 8 7 28 0 0.22
2016 0.05 0.5 0.03 0.04 20 470 2 15 259 42 2 89 4 3 20 0 0.2
2017 0.02 0.52 0.02 0.01 21 491 2 11 270 43 1 92 1 3 27.3 0 0.21
2018 0.02 0.53 0.03 0.01 25 516 3 15 285 41 1 98 1 5 33.3 0 0.22
2019 0.02 0.54 0.03 0.02 26 542 3 15 300 46 1 108 2 3 20 0 0.21
2020 0.08 0.64 0.05 0.05 24 566 1 27 327 51 4 115 6 4 14.8 0 0.3
2021 0.04 0.74 0.02 0.03 22 588 0 14 341 50 2 116 4 0 0 0.27
2022 0 0.73 0.01 0 27 615 0 8 349 46 118 0 0 0.22
2023 0 0.69 0.01 0.01 19 634 0 8 357 49 124 1 0 0 0.2
2024 0 0.81 0.02 0.01 31 665 0 15 372 46 118 1 1 6.7 0 0.23
2025 0 0.02 0.01 24 689 0 11 383 50 123 1 0 0
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
#YearTitleCited
12005On the discretization schemes for the CIR (and Bessel squared) processes. (2005). Aurelien, Alfonsi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:355-384:n:5.

Full description at Econpapers || Download paper

23
22006Balanced Milstein Methods for Ordinary SDEs. (2006). Kahl, Christian ; Henri, Schurz ; Christian, Kahl . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:143-170:n:2.

Full description at Econpapers || Download paper

22
32003Optimal quadratic quantization for numerics: the Gaussian case. (2003). Jacques, PRINTEMS ; Gilles, Pages. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:2:p:135-165:n:2.

Full description at Econpapers || Download paper

17
41996Stochastic algorithms for solving Smolouchovsky coagulation equation and applications to aerosol growth simulation.. (1996). Sabelfeld K. K., ; Rogasinsky S. V., ; Levykin A. I., ; Kolodko A. A., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:1:p:41-88:n:5.

Full description at Econpapers || Download paper

15
51996The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density. (1996). Denis, TALAY ; Vlad, Bally . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:2:p:93-128:n:7.

Full description at Econpapers || Download paper

13
62009Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. (2009). Pages G., ; Frikha N., ; Bardou O., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:173-210:n:1.

Full description at Econpapers || Download paper

13
72004Upper Bounds for Bermudan Style Derivatives. (2004). Schoenmakers J., ; Kolodko A., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:331-343:n:15.

Full description at Econpapers || Download paper

12
82011A general method for debiasing a Monte Carlo estimator. (2011). McLeish, Don. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:301-315:n:1.

Full description at Econpapers || Download paper

12
92012The identification of price jumps. (2012). Kočenda, Evžen ; Hanousek, Jan ; Even, Koenda . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:53-77:n:2.

Full description at Econpapers || Download paper

11
102002Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps. (2002). Platen, Eckhard ; Eckhard, Platen ; Kestutis, Kubilius . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:1:p:83-96:n:6.

Full description at Econpapers || Download paper

10
111996On the use of low discrepancy sequences in Monte Carlo methods. (1996). Bruno, Tuffin. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:4:p:295-320:n:4.

Full description at Econpapers || Download paper

9
122009Sparsified Randomization Algorithms for large systems of linear equations and a new version of the Random Walk on Boundary method. (2009). Sabelfeld K., ; Mozartova N., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:3:p:257-284:n:5.

Full description at Econpapers || Download paper

8
132005On global sensitivity analysis of quasi-Monte Carlo algorithms. (2005). Sobol´ I. M., ; Kucherenko S. S., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:1:p:83-92:n:4.

Full description at Econpapers || Download paper

8
142006Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. (2006). Leobacher G., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:231-238:n:2.

Full description at Econpapers || Download paper

7
151997Stochastic Lagrangian Models for Two-Particle Motion in Turbulent Flows. Numerical Results. (1997). Sabelfeld K., ; Kurbanmuradov O., ; Koluhin D., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:3:p:199-224:n:3.

Full description at Econpapers || Download paper

6
161999Applications of the balanced method to stochastic differential equations in filtering. (1999). Platen, Eckhard ; Eckhard, Platen ; Paul, Fischer . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:1:p:19-38:n:3.

Full description at Econpapers || Download paper

6
172004Adaptative Monte Carlo Method, A Variance Reduction Technique. (2004). Bouhari, Arouna . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:1:p:1-24:n:1.

Full description at Econpapers || Download paper

6
182002Minimal Entropy Approximations and Optimal Algorithms. (2002). Terry, Lyons ; Dan, Crisan. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:4:p:343-356:n:2.

Full description at Econpapers || Download paper

5
192005Functional quantization for numerics with an application to option pricing. (2005). Jacques, PRINTEMS ; Gilles, Pages. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:407-446:n:6.

Full description at Econpapers || Download paper

5
201995Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres. (1995). TALAY D., ; Sabelfeld K. K., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:1:y:1995:i:1:p:1-34:n:2.

Full description at Econpapers || Download paper

5
211997Stochastic Lagrangian Models for Two-Particle Motion in Turbulent Flows. (1997). Sabelfeld K. K., ; Kurbanmuradov O., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:1:p:53-72:n:4.

Full description at Econpapers || Download paper

5
221997Monte Carlo simulation of the coagulation processes governed by Smoluchowski equation with random coefficients. (1997). Sabelfeld K. K., ; Kolodko A. A., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:3:y:1997:i:4:p:275-312:n:3.

Full description at Econpapers || Download paper

5
232005Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. (2005). Antonino, Zanette ; Lucia, Caramellino ; Vlad, Bally . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:2:p:97-133:n:1.

Full description at Econpapers || Download paper

5
242001A stochastic quantization method for nonlinear problems. (2001). Jacques, PRINTEMS ; Gilles, Pages ; Vlad, Bally . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:7:y:2001:i:1-2:p:21-34:n:14.

Full description at Econpapers || Download paper

4
252012Stochastic approximation with averaging innovation applied to Finance. (2012). Gilles, Pages ; Sophie, Laruelle . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:18:y:2012:i:1:p:1-51:n:1.

Full description at Econpapers || Download paper

4
262003A Lagrangian Stochastic Model for the Transport in Statistically Homogeneous Porous Media. (2003). Vereecken H., ; Smidts O. F., ; Sabelfeld K., ; Kurbanmuradov O., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:4:p:341-366:n:4.

Full description at Econpapers || Download paper

4
272011Pricing of barrier options by marginal functional quantization. (2011). Sagna, Abass. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:371-398:n:3.

Full description at Econpapers || Download paper

4
282002Simulation of ruin probabilities for risk processes of Markovian type. (2002). Josef, Kantor ; Hansjorg, Albrecher. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:8:y:2002:i:2:p:111-128:n:1.

Full description at Econpapers || Download paper

4
292014A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. (2014). Huyen, Pham ; Nicolas, Langrene ; Idris, Kharroubi. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:20:y:2014:i:2:p:145-165:n:5.

Full description at Econpapers || Download paper

4
302005Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. (2005). Afef, Sellami ; Wolfgang, Runggaldier ; Huyen, Pham. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:1:p:57-81:n:5.

Full description at Econpapers || Download paper

4
311996Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences. (1996). Tichy Robert F., ; Sobol’ Ilya M., ; Igor, Radovi . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:2:y:1996:i:1:p:1-14:n:2.

Full description at Econpapers || Download paper

4
322003Stochastic particle methods for Smoluchowski coagulation equation: variance reduction and error estimations. (2003). Sabelfeld K., ; Kolodko A., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:4:p:315-339:n:3.

Full description at Econpapers || Download paper

3
332006First Order Strong Approximations of Jump Diffusions. (2006). Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina ; Eckhard, Platen ; Christina, Nikitopoulos-Sklibosios ; Nicola, Bruti-Liberati . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:191-209:n:6.

Full description at Econpapers || Download paper

3
341999Discrepancy of sequences generated by piecewise monotone maps. (1999). Makoto, Mori . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:1:p:55-68:n:5.

Full description at Econpapers || Download paper

3
352004Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations. (2004). Zherelo A. V., ; Egorov A. D., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:257-264:n:8.

Full description at Econpapers || Download paper

3
362006Stochastic Spectral and Fourier-Wavelet Methods for Vector Gaussian Random Fields. (2006). Sabelfeld K., ; Kurbanmuradov O., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:5:p:395-445:n:8.

Full description at Econpapers || Download paper

3
372006An importance sampling method based on the density transformation of Lévy processes. (2006). Reiichiro, Kawai . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:2:p:171-186:n:1.

Full description at Econpapers || Download paper

3
382009Multiple stochastic volatility extension of the Libor market model and its implementation. (2009). John, Schoenmakers ; Stanley, Mathew ; Denis, Belomestny . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:15:y:2009:i:4:p:285-310:n:1.

Full description at Econpapers || Download paper

2
392003Arithmetic average options in the hyperbolic model. (2003). Tichy Robert F., ; Martin, Predota ; Gerhard, Larcher . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:227-239:n:4.

Full description at Econpapers || Download paper

2
402008Quasi-Monte Carlo methods for the Kou model. (2008). Jan, Baldeaux . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:14:y:2008:i:4:p:281-302:n:1.

Full description at Econpapers || Download paper

2
412010Approximate formulas for expectations of functionals of solutions to stochastic differential equations. (2010). Sabelfeld K., ; Egorov A., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:2:p:95-127:n:1.

Full description at Econpapers || Download paper

2
422020Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations. (2020). Alexandre, Zhou ; Emmanuel, Gobet ; Stefano, De Marco ; Florian, Bourgey. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:26:y:2020:i:2:p:131-161:n:4.

Full description at Econpapers || Download paper

2
432007Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity. (2007). Gilles, Pages. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:13:y:2007:i:1:p:37-70:n:3.

Full description at Econpapers || Download paper

2
442015Simulating from the Heston model: A gamma approximation scheme. (2015). Patrice, Gaillardetz ; Jean-Franois, Begin ; Mylene, Bedard . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:21:y:2015:i:3:p:205-231:n:5.

Full description at Econpapers || Download paper

2
451998Techniques for Monte Carlo Optimizing. (1998). Arsham H., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:4:y:1998:i:3:p:181-230:n:2.

Full description at Econpapers || Download paper

2
462018Nesting Monte Carlo for high-dimensional non-linear PDEs. (2018). Xavier, Warin. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:24:y:2018:i:4:p:225-247:n:1.

Full description at Econpapers || Download paper

2
472005Asymptotical behavior of linear congruential generators. (2005). Nekrutkin V., ; Gerlovina V., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:2:p:135-162:n:4.

Full description at Econpapers || Download paper

2
482006Exponential bounds for the probability deviations of sums of random fields. (2006). Sabelfeld K., ; Kurbanmuradov O., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:12:y:2006:i:3:p:211-229:n:8.

Full description at Econpapers || Download paper

2
491999Direct and Adjoint Monte Carlo Algorithms for the Footprint Problem. (1999). Vesala T., ; Sabelfeld K., ; Rannik U., ; Kurbanmuradov O., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:5:y:1999:i:2:p:85-112:n:7.

Full description at Econpapers || Download paper

2
502010A spectral-based Monte Carlo algorithm for generating samples of nonstationary Gaussian processes. (2010). Grigoriu M., . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:16:y:2010:i:2:p:143-165:n:4.

Full description at Econpapers || Download paper

2
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12003Optimal quadratic quantization for numerics: the Gaussian case. (2003). Jacques, PRINTEMS ; Gilles, Pages. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:9:y:2003:i:2:p:135-165:n:2.

Full description at Econpapers || Download paper

5
22005Functional quantization for numerics with an application to option pricing. (2005). Jacques, PRINTEMS ; Gilles, Pages. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:11:y:2005:i:4:p:407-446:n:6.

Full description at Econpapers || Download paper

3
32015Simulating from the Heston model: A gamma approximation scheme. (2015). Patrice, Gaillardetz ; Jean-Franois, Begin ; Mylene, Bedard . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:21:y:2015:i:3:p:205-231:n:5.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor:
YearTitle
Recent citations