Citation analysis for Annals of Finance / Springer

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

5 Years H Index

Impact Factor (IF)

0.26

5 Years IF

0.4

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
2005	0	0.51	0.89	0	19	19	450	16	20	0		0			0	16	0.84	0.23
2006	0.89	0.49	0.59	0.89	22	41	145	23	44	19	17	19	17	3	13	6	0.27	0.22
2007	0.51	0.44	0.58	0.51	21	62	103	34	80	41	21	41	21	9	26.5	10	0.48	0.2
2008	0.33	0.47	0.61	0.58	23	85	189	51	132	43	14	62	36	4	7.8	11	0.48	0.22
2009	0.34	0.46	0.63	0.48	26	111	278	68	202	44	15	85	41	18	26.5	23	0.88	0.23
2010	0.45	0.46	0.57	0.52	27	138	248	77	280	49	22	111	58	20	26	9	0.33	0.2
2011	0.74	0.51	0.71	0.64	24	162	99	115	395	53	39	119	76	23	20	8	0.33	0.23
2012	0.59	0.5	0.53	0.55	24	186	245	98	493	51	30	121	67	12	12.2	4	0.17	0.21
2013	0.54	0.54	0.71	0.7	35	221	208	157	651	48	26	124	87	21	13.4	5	0.14	0.24
2014	0.73	0.53	0.67	0.65	25	246	118	164	815	59	43	136	88	31	18.9	5	0.2	0.22
2015	0.42	0.52	0.68	0.61	19	265	102	180	995	60	25	135	83	19	10.6	6	0.32	0.22
2016	0.7	0.5	0.76	0.57	19	284	52	215	1210	44	31	127	73	19	8.8	1	0.05	0.2
2017	0.5	0.52	0.57	0.48	18	302	76	171	1382	38	19	122	59	20	11.7	3	0.17	0.21
2018	0.65	0.53	0.57	0.59	23	325	79	185	1567	37	24	116	68	17	9.2	6	0.26	0.22
2019	0.51	0.54	0.52	0.43	20	345	63	180	1748	41	21	104	45	15	8.3	4	0.2	0.21
2020	0.42	0.64	0.46	0.43	22	367	119	169	1917	43	18	99	43	20	11.8	9	0.41	0.3
2021	0.83	0.74	0.52	0.59	20	387	41	201	2118	42	35	102	60	11	5.5	2	0.1	0.27
2022	0.6	0.73	0.37	0.55	20	407	23	151	2269	42	25	103	57	9	6	2	0.1	0.22
2023	0.38	0.69	0.41	0.6	20	427	7	177	2446	40	15	105	63	13	7.3		0	0.2
2024	0.25	0.81	0.38	0.55	19	446	8	168	2614	40	10	102	56	4	2.4	3	0.16	0.23
2025	0.26		0.3	0.4	20	466	0	139	2753	39	10	101	40	7	5	1	0.05

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

50 most cited documents in this series

#	Year	Title	Cited
1	2005	Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers \|\| Download paper	164
2	2009	A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers \|\| Download paper	129
3	2005	A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224. Full description at Econpapers \|\| Download paper	67
4	2012	Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378. Full description at Econpapers \|\| Download paper	64
5	2009	Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311. Full description at Econpapers \|\| Download paper	52
6	2010	A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers \|\| Download paper	52
7	2005	On user costs of risky monetary assets. (2005). Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:35-50. Full description at Econpapers \|\| Download paper	50
8	2012	Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Peng, Yue. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers \|\| Download paper	44
9	2008	Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28. Full description at Econpapers \|\| Download paper	43
10	2014	Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265. Full description at Econpapers \|\| Download paper	40
11	2005	Relative arbitrage in volatility-stabilized markets. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177. Full description at Econpapers \|\| Download paper	40
12	2006	Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers \|\| Download paper	37
13	2013	An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215. Full description at Econpapers \|\| Download paper	35
14	2012	Estimation and pricing under long-memory stochastic volatility. (2012). Viens, Frederi ; Chronopoulou, Alexandra. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403. Full description at Econpapers \|\| Download paper	35
15		Determinants of stock market volatility and risk premia. (2005). Motolese, Maurizio ; Kurz, Mordecai. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:109-147. Full description at Econpapers \|\| Download paper	31
16	2008	Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129. Full description at Econpapers \|\| Download paper	30
17		Minority self-employment in the United States and the impact of affirmative action programs. (2009). Blanchflower, David. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396. Full description at Econpapers \|\| Download paper	29
18	2010	The fundamental theorem of asset pricing for continuous processes under small transaction costs. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191. Full description at Econpapers \|\| Download paper	29
19	2005	On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles ; Feri, Francesco. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107. Full description at Econpapers \|\| Download paper	29
20	2020	Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Kirkby, Lars J ; Nguyen, Duy. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0. Full description at Econpapers \|\| Download paper	28
21	2013	Asset market games of survival: a synthesis of evolutionary and dynamic games. (2013). Schenk-HoppÃ©, Klaus ; Evstigneev, Igor ; AMIR, Rabah ; Schenk-Hoppe, Klaus. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144. Full description at Econpapers \|\| Download paper	25
22	2010	Robust consumption and portfolio choice for time varying investment opportunities. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:435-454. Full description at Econpapers \|\| Download paper	25
23	2017	Analysis of variance based instruments for OrnsteinâUhlenbeck type models: swap and price index. (2017). Sengupta, Indranil ; Issaka, Aziz. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3. Full description at Econpapers \|\| Download paper	23
24	2010	Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315. Full description at Econpapers \|\| Download paper	23
25	2006	A Time Series Analysis of Financial Fragility in the UK Banking System. (2006). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:1-21. Full description at Econpapers \|\| Download paper	21
26	2005	American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292. Full description at Econpapers \|\| Download paper	20
27	2013	Measures of systemic risk and financial fragility in Korea. (2013). Tsomocos, Dimitrios ; Lee, Jong ; Ryu, Jaemin. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:757-786. Full description at Econpapers \|\| Download paper	20
28	2010	On dividend restrictions and the collapse of the interbank market. (2010). Tsomocos, Dimitrios ; Peiris, Udara. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:455-473. Full description at Econpapers \|\| Download paper	20
29	2014	Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455. Full description at Econpapers \|\| Download paper	19
30	2008	Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454. Full description at Econpapers \|\| Download paper	19
31	2011	On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). SÃ©vi, BenoÃ®t ; Chevallier, Julien. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29. Full description at Econpapers \|\| Download paper	19
32	2015	Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241. Full description at Econpapers \|\| Download paper	18
33	2020	Proper measures of connectedness. (2020). Uberti, Pierpaolo ; Maggi, Mario ; Torrente, Maria-Laura. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:4:d:10.1007_s10436-020-00363-3. Full description at Econpapers \|\| Download paper	17
34	2018	The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9. Full description at Econpapers \|\| Download paper	17
35	2012	A two price theory of financial equilibrium with risk management implications. (2012). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:489-505. Full description at Econpapers \|\| Download paper	17
36	2006	Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von NeumannâGale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355. Full description at Econpapers \|\| Download paper	16
37	2015	Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382. Full description at Econpapers \|\| Download paper	16
38	2011	Central bank haircut policy. (2011). Molico, Miguel ; Chapman, James ; Chiu, Jonathan. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:319-348. Full description at Econpapers \|\| Download paper	16
39	2012	Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233. Full description at Econpapers \|\| Download paper	16
40	2015	Diversity-weighted portfolios with negative parameter. (2015). Karatzas, Ioannis ; Vervuurt, Alexander . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:411-432. Full description at Econpapers \|\| Download paper	15
41	2013	Dynamic capital structure and the contingent capital option. (2013). del Viva, Luca ; Barucci, Emilio. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:337-364. Full description at Econpapers \|\| Download paper	15
42	2013	Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?. (2013). Romaniuk, Katarzyna. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:573-588. Full description at Econpapers \|\| Download paper	15
43	2011	Short term persistence in mutual fund market timing and stock selection abilities. (2011). Benos, Evangelos. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246. Full description at Econpapers \|\| Download paper	15
44	2015	Asset pricing theory for two price economies. (2015). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:1-35. Full description at Econpapers \|\| Download paper	15
45	2007	A multicriteria discrimination approach for the credit rating of Asian banks. (2007). Pasiouras, Fotios ; Gaganis, Chrysovalantis. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:3:p:351-367. Full description at Econpapers \|\| Download paper	15
46	2008	Who controls Allianz?. (2008). Shorish, Jamsheed ; Ritzberger, Klaus ; Lang, Larry. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:75-103. Full description at Econpapers \|\| Download paper	15
47	2008	Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. (2008). Bayraktar, Erhan. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429. Full description at Econpapers \|\| Download paper	15
48	2019	Extreme-strike asymptotics for general Gaussian stochastic volatility models. (2019). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0338-z. Full description at Econpapers \|\| Download paper	14
49	2007	An equilibrium approach to financial stability analysis: the Colombian case. (2007). Saade Ospina, AgustÃn ; Osorio-Rodriguez, Daniel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:75-105. Full description at Econpapers \|\| Download paper	14
50	2008	Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Sun, Edward ; Fabozzi, Frank. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241. Full description at Econpapers \|\| Download paper	14

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

#	Year	Title	Cited
1	2005	Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers \|\| Download paper	16
2	2012	Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378. Full description at Econpapers \|\| Download paper	13
3	2020	Proper measures of connectedness. (2020). Uberti, Pierpaolo ; Maggi, Mario ; Torrente, Maria-Laura. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:4:d:10.1007_s10436-020-00363-3. Full description at Econpapers \|\| Download paper	10
4	2020	Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Kirkby, Lars J ; Nguyen, Duy. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0. Full description at Econpapers \|\| Download paper	9
5	2012	Estimation and pricing under long-memory stochastic volatility. (2012). Viens, Frederi ; Chronopoulou, Alexandra. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403. Full description at Econpapers \|\| Download paper	7
6	2006	Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers \|\| Download paper	7
7	2009	A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers \|\| Download paper	6
8	2014	Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265. Full description at Econpapers \|\| Download paper	6
9	2015	Dynamic portfolio selection with mispricing and model ambiguity. (2015). Li, Zhongfei ; Viens, Frederi ; Yi, BO ; Law, Baron. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:37-75. Full description at Econpapers \|\| Download paper	5
10	2020	The impact of financial crises on the environment in developing countries. (2020). Jalles, Joao. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:2:d:10.1007_s10436-019-00356-x. Full description at Econpapers \|\| Download paper	5
11	2010	A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers \|\| Download paper	5
12	2020	Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y. Full description at Econpapers \|\| Download paper	5
13	2018	Option pricing under fast-varying and rough stochastic volatility. (2018). Solna, Knut ; Garnier, Josselin. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4. Full description at Econpapers \|\| Download paper	5
14	2021	The Shapley value decomposition of optimal portfolios. (2021). Shalit, Haim. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00380-2. Full description at Econpapers \|\| Download paper	5
15	2018	The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9. Full description at Econpapers \|\| Download paper	5
16	2024	Option pricing in the Heston model with physics inspired neural networks. (2024). Casas, Alex ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:3:d:10.1007_s10436-024-00452-7. Full description at Econpapers \|\| Download paper	4
17	2015	Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382. Full description at Econpapers \|\| Download paper	4
18	2019	Momentum and reversal in financial markets with persistent heterogeneity. (2019). Dindo, Pietro ; Bottazzi, Giulio ; Giachini, Daniele. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:4:d:10.1007_s10436-019-00353-0. Full description at Econpapers \|\| Download paper	4
19	2022	Optimal group size in microlending. (2022). Protter, Philip ; Quintos, Alejandra. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:1:d:10.1007_s10436-020-00382-0. Full description at Econpapers \|\| Download paper	4
20	2015	Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241. Full description at Econpapers \|\| Download paper	4
21	2020	Asian options pricing in Hawkes-type jump-diffusion models. (2020). Brignone, Riccardo ; Sgarra, Carlo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00352-1. Full description at Econpapers \|\| Download paper	4
22	2017	Banking competition and welfare. (2017). Lucchetta, Marcella. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0288-2. Full description at Econpapers \|\| Download paper	4
23	2005	A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224. Full description at Econpapers \|\| Download paper	4
24	2016	How suboptimal are linear sharing rules?. (2016). Nielsen, Jorgen Aase ; Jensen, Bjarne Astrup. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:2:d:10.1007_s10436-016-0279-3. Full description at Econpapers \|\| Download paper	3
25	2023	A compositional analysis of systemic risk in European financial institutions. (2023). Porro, Francesco ; Fiori, Anna Maria. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00427-0. Full description at Econpapers \|\| Download paper	3
26	2021	On modifications of the Bachelier model. (2021). Wan, Hongxi ; Melnikov, Alexander. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-020-00381-1. Full description at Econpapers \|\| Download paper	3
27	2012	Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Peng, Yue. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers \|\| Download paper	3
28	2017	Novel advancements in the Markov chain stock model: analysis and inference. (2017). Barbu, Vlad Stefan ; Blasis, Riccardo ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0297-9. Full description at Econpapers \|\| Download paper	3
29	2009	Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311. Full description at Econpapers \|\| Download paper	3
30	2013	Asset market games of survival: a synthesis of evolutionary and dynamic games. (2013). Schenk-HoppÃ©, Klaus ; Evstigneev, Igor ; AMIR, Rabah ; Schenk-Hoppe, Klaus. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144. Full description at Econpapers \|\| Download paper	3
31	2013	Dynamic capital structure and the contingent capital option. (2013). del Viva, Luca ; Barucci, Emilio. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:337-364. Full description at Econpapers \|\| Download paper	3
32	2010	The two-fund separation theorem revisited. (2010). Wenzelburger, Jan. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:221-239. Full description at Econpapers \|\| Download paper	3
33	2022	Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors. (2022). Chevallier, Julien ; Nakhli, Mohamed Sahbi ; Dhaoui, Abderrazak. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:2:d:10.1007_s10436-021-00399-z. Full description at Econpapers \|\| Download paper	2
34	2005	American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292. Full description at Econpapers \|\| Download paper	2
35	2013	An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215. Full description at Econpapers \|\| Download paper	2
36	2020	Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs. (2020). Zastawniak, Tomasz ; Brown, Martin. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00367-z. Full description at Econpapers \|\| Download paper	2
37	2017	Does the Hurst index matter for option prices under fractional volatility?. (2017). Kijima, Masaaki ; Funahashi, Hideharu. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0289-1. Full description at Econpapers \|\| Download paper	2
38	2019	Extreme-strike asymptotics for general Gaussian stochastic volatility models. (2019). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0338-z. Full description at Econpapers \|\| Download paper	2
39	2023	A behavioral approach to inconsistencies in intertemporal choices with the Analytic Hierarchy Process methodology. (2023). Ventre, Viviana ; Martino, Roberta ; Maturo, Fabrizio ; Salvador, Cruz Rambaud. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:2:d:10.1007_s10436-022-00419-6. Full description at Econpapers \|\| Download paper	2
40	2017	An empirical analysis of organized crime, corruption and economic growth. (2017). Neanidis, Kyriakos ; Blackburn, Keith ; Rana, Maria Paola. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0299-7. Full description at Econpapers \|\| Download paper	2
41	2022	Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate. (2022). Zhang, Yumo. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:4:d:10.1007_s10436-022-00414-x. Full description at Econpapers \|\| Download paper	2
42	2021	Systemic risk measurement: bucketing global systemically important banks. (2021). Riccetti, Luca ; Lagasio, Valentina ; Brogi, Marina. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:3:d:10.1007_s10436-021-00391-7. Full description at Econpapers \|\| Download paper	2
43	2018	Bubbles, growth and imperfection of credit market in a two-country model. (2018). Shimizu, Ryosuke. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-018-0320-9. Full description at Econpapers \|\| Download paper	2
44	2013	A second-order stock market model. (2013). Ichiba, Tomoyuki ; Fernholz, Robert ; Karatzas, Ioannis. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:439-454. Full description at Econpapers \|\| Download paper	2
45	2020	A computable general equilibrium model for banking sector risk assessment in South Africa. (2020). Tsomocos, Dimitrios ; Seymore, Reyno ; Essel-Mensah, Kojo A ; Freitas, Allan. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:2:d:10.1007_s10436-020-00362-4. Full description at Econpapers \|\| Download paper	2
46	2009	Small firms in the SSBF. (2009). Krasa, Stefan. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:341-359. Full description at Econpapers \|\| Download paper	2
47	2020	Transparency and market discipline: evidence from the Russian interbank market. (2020). Semenova, Maria ; Guillemin, FranÃ§ois. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:2:d:10.1007_s10436-020-00361-5. Full description at Econpapers \|\| Download paper	2
48	2024	Affine Heston model style with self-exciting jumps and long memory. (2024). Hainaut, Donatien ; Njike, Charles Guy. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:1:d:10.1007_s10436-023-00436-z. Full description at Econpapers \|\| Download paper	2
49	2006	Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von NeumannâGale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355. Full description at Econpapers \|\| Download paper	2
50	2019	Endogenous heterogeneity in duopoly with deterministic one-way spillovers. (2019). Masson, Virginie ; Gama, Adriana ; Maret, Isabelle. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0329-0. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 10

Year	Title
2025	Option pricing in a sentiment-biased stochastic volatility model. (2025). Patacca, Marco ; Fig-Talamanca, Gianna ; Cretarola, Alessandra. In: Annals of Finance. RePEc:kap:annfin:v:21:y:2025:i:1:d:10.1007_s10436-024-00448-3. Full description at Econpapers \|\| Download paper
2025	A fractional Hawkes process for illiquidity modeling. (2025). Dupret, Jean-Loup ; Hainaut, Donatien. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:1:d:10.1007_s11579-024-00379-7. Full description at Econpapers \|\| Download paper
2025	Governing professional microfinance associations: the Tanzanian case through the prism of institutional design. (2025). Caballero-Montes, Tristan ; Godfroid, Ccile. In: Review of Managerial Science. RePEc:spr:rvmgts:v:19:y:2025:i:2:d:10.1007_s11846-024-00767-9. Full description at Econpapers \|\| Download paper
2025	Accounting statement analysis at industry level. A gentle introduction to the compositional approach. (2025). Serrat, N'Uria Arimany ; Coenders, Germa. In: Papers. RePEc:arx:papers:2305.16842. Full description at Econpapers \|\| Download paper
2025	Turning Points in the CoreâPeriphery Displacement of Systemic Risk in the Eurozone: Constrained Weighted Compositional Clustering. (2025). Coenders, GermÃ ; Fiori, Anna Maria. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:21-:d:1575747. 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	On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends. (2025). Babaei, Esmaeil. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:101:y:2025:i:1:d:10.1007_s00186-024-00881-0. Full description at Econpapers \|\| Download paper
2025	Deep Learning Option Pricing with Market Implied Volatility Surfaces. (2025). Cheung, Kin ; Lu, Egang ; Ding, Lijie. In: Papers. RePEc:arx:papers:2509.05911. Full description at Econpapers \|\| Download paper
2025	An uncertainty-aware physics-informed neural network solution for the Black-Scholes equation: a novel framework for option pricing. (2025). Kazemian, Sina ; Farhani, Ghazal ; Yazdi, Amirhessam. In: Papers. RePEc:arx:papers:2511.05519. Full description at Econpapers \|\| Download paper
2025	Solving Heterogeneous Agent Models with Physics-informed Neural Networks. (2025). Grzeskiewicz, Marta. In: Papers. RePEc:arx:papers:2511.20283. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2024

Year	Citing document
2024	European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning. (2024). Gupta, Arvind Kumar ; Kumar, Arun ; Pasricha, Puneet ; Pande, Naman Krishna. In: Papers. RePEc:arx:papers:2410.10474. Full description at Econpapers \|\| Download paper
2024	On the relative performance of some parametric and nonparametric estimators of option prices. (2024). Marinelli, Carlo ; D'Addona, Stefano. In: Papers. RePEc:arx:papers:2412.00135. Full description at Econpapers \|\| Download paper
2024	Age-dependent robust strategic asset allocation with inflationâdeflation hedging demand. (2024). Kusuda, Koji ; Kikuchi, Kentaro. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:4:d:10.1007_s11579-024-00369-9. Full description at Econpapers \|\| Download paper

Recent citations received in 2023

Year	Citing document

Recent citations received in 2022

Year	Citing document
2022	Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models. (2022). Suaysom, Natchanon ; Lorig, Matthew. In: Papers. RePEc:arx:papers:2212.04425. Full description at Econpapers \|\| Download paper
2022	Exploring the causal links between investor sentiment and financial instability: A dynamic macro-financial analysis. (2022). Ayadi, Rim ; Nakhli, Mohamed Sahbi ; Sahut, Jean-Michel ; Gaies, Brahim. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:204:y:2022:i:c:p:290-303. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	97	141
2	Annals of Finance / Springer	23	44
3	Insurance: Mathematics and Economics / Elsevier	58	19
4	The North American Journal of Economics and Finance / Elsevier	53	19
5	European Journal of Operational Research / Elsevier	139	17
6	Finance Research Letters / Elsevier	92	15
7	International Review of Economics & Finance / Elsevier	65	14
8	Mathematics / MDPI	20	14
9	JRFM / MDPI	29	14
10	International Review of Financial Analysis / Elsevier	88	12
11	Post-Print / HAL	217	12