Citation analysis for Applied Mathematical Finance / Taylor & Francis Journals

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

5 Years H Index

Impact Factor (IF)

1.13

5 Years IF

0.95

Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1994	0	0.14	0.09	0	11	11	107	1	1	0		0		1	100	1	0.09	0.07
1995	0.27	0.22	0.12	0.27	14	25	304	3	4	11	3	11	3	2	66.7		0	0.1
1996	0	0.25	0	0	16	41	205		4	25		25			0		0	0.11
1997	0.27	0.24	0.25	0.27	14	55	92	14	18	30	8	41	11	9	64.3		0	0.11
1998	0.2	0.27	0.21	0.2	12	67	156	14	32	30	6	55	11	2	14.3	1	0.08	0.13
1999	0.12	0.29	0.2	0.16	15	82	151	16	48	26	3	67	11	8	50		0	0.14
2000	0.22	0.34	0.42	0.32	14	96	92	40	88	27	6	71	23	6	15	1	0.07	0.16
2001	0.17	0.38	0.24	0.23	13	109	47	26	114	29	5	71	16	7	26.9	1	0.08	0.17
2002	0.33	0.39	0.32	0.29	16	125	293	40	154	27	9	68	20	3	7.5		0	0.2
2003	0.1	0.43	0.45	0.3	16	141	319	64	218	29	3	70	21	2	3.1		0	0.21
2004	0.22	0.47	0.37	0.31	16	157	111	57	276	32	7	74	23		0	1	0.06	0.21
2005	0.41	0.51	0.41	0.45	15	172	427	69	347	32	13	75	34	5	7.2	6	0.4	0.23
2006	0.42	0.49	0.46	0.45	16	188	164	85	433	31	13	76	34	7	8.2	6	0.38	0.22
2007	0.55	0.44	0.51	0.56	23	211	344	107	540	31	17	79	44	5	4.7	3	0.13	0.2
2008	0.67	0.47	0.55	0.71	22	233	201	127	668	39	26	86	61	8	6.3	3	0.14	0.22
2009	0.29	0.46	0.46	0.43	24	257	207	116	785	45	13	92	40	11	9.5		0	0.23
2010	0.43	0.46	0.49	0.56	24	281	176	136	924	46	20	100	56	5	3.7	2	0.08	0.2
2011	0.31	0.51	0.5	0.42	23	304	149	149	1075	48	15	109	46	5	3.4	1	0.04	0.23
2012	0.21	0.5	0.61	0.52	21	325	139	198	1274	47	10	116	60	5	2.5	9	0.43	0.21
2013	0.64	0.54	0.75	0.73	27	352	121	265	1539	44	28	114	83		0	3	0.11	0.24
2014	0.42	0.53	0.63	0.53	21	373	143	236	1775	48	20	119	63		0	2	0.1	0.22
2015	0.4	0.52	0.65	0.52	22	395	133	255	2030	48	19	116	60	5	2	6	0.27	0.22
2016	0.65	0.5	0.69	0.61	19	414	65	284	2314	43	28	114	69	3	1.1		0	0.2
2017	0.37	0.52	0.62	0.47	18	432	78	267	2581	41	15	110	52		0		0	0.21
2018	0.27	0.53	0.62	0.38	22	454	91	283	2864	37	10	107	41	1	0.4	1	0.05	0.22
2019	0.48	0.54	0.64	0.53	18	472	129	302	3166	40	19	102	54		0	5	0.28	0.21
2020	0.68	0.64	0.64	0.64	20	492	106	314	3480	40	27	99	63	3	1	4	0.2	0.3
2021	0.82	0.74	0.6	0.59	20	512	63	307	3787	38	31	97	57		0	3	0.15	0.27
2022	0.73	0.73	0.45	0.65	17	529	42	236	4023	40	29	98	64		0		0	0.22
2023	0.49	0.69	0.44	0.61	12	541	34	240	4263	37	18	97	59		0	1	0.08	0.2
2024	1.03	0.81	0.55	1.03	12	553	7	303	4566	29	30	87	90		0		0	0.23
2025	1.13		0.53	0.95	4	557	0	297	4863	24	27	81	77		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

#	Year	Title	Cited
1	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, Ãlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	222
2	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Avellaneda, M. ; ParAS, A. ; Levy, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	195
3	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	171
4	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Alaton, Peter ; Stillberger, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	140
5	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	104
6	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Meyer-Brandis, Thilo ; Kallsen, Jan ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	101
7	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Glau, Kathrin ; Eberlein, Ernst ; Papapantoleon, Antonis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	68
8	2005	The Dynamic Interaction of Speculation and Diversification. (2005). Gardini, Laura ; Dieci, Roberto. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:17-52. Full description at Econpapers \|\| Download paper	66
9	2000	Volatility skews and extensions of the Libor market model. (2000). Leif Andersen, Jesper Andreasen, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:7:y:2000:i:1:p:1-32. Full description at Econpapers \|\| Download paper	63
10	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Tompaidis, Stathis ; Manoliu, Mihaela. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	63
11	2006	Interpolation Methods for Curve Construction. (2006). Hagan, Patrick ; West, Graeme. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:2:p:89-129. Full description at Econpapers \|\| Download paper	58
12	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Elliott, Robert ; Chan, Leunglung. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	56
13	2005	Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Jūratė Šaltytė-Benth, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85. Full description at Econpapers \|\| Download paper	56
14	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Baldeaux, Jan ; Badran, Alexander . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	53
15	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Schoneborn, Torsten ; Tehranchi, Michael. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	49
16	1996	Binomial models for option valuation - examining and improving convergence. (1996). Reimer, Matthias ; Leisen, Dietmar. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:4:p:319-346. Full description at Econpapers \|\| Download paper	48
17	1994	Stock market bubbles in the laboratory. (1994). Smith, Vernon ; Porter, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:1:y:1994:i:2:p:111-128. Full description at Econpapers \|\| Download paper	47
18	2012	The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing. (2012). Taschini, Luca ; Chesney, Marc. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:5:p:447-475. Full description at Econpapers \|\| Download paper	46
19	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Ninomiya, Syoiti ; Victoir, Nicolas. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	46
20	2002	Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85. Full description at Econpapers \|\| Download paper	44
21	1997	Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64. Full description at Econpapers \|\| Download paper	39
22	1999	Multigrid for American option pricing with stochastic volatility. (1999). Nigel Clarke, Kevin Parrott, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:177-195. Full description at Econpapers \|\| Download paper	38
23	1999	Equivalent Black volatilities. (1999). Patrick S. Hagan, Diana E. Woodward, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:6:y:1999:i:3:p:147-157. Full description at Econpapers \|\| Download paper	38
24	2007	Optimal Financial Portfolios. (2007). Fabozzi, Frank ; Stoyanov, S. V. ; Rachev, S. T.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436. Full description at Econpapers \|\| Download paper	37
25	1998	A framework for valuing corporate securities. (1998). Ericsson, Jan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:143-163. Full description at Econpapers \|\| Download paper	37
26	2019	Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality. (2019). GuÃ©ant, Olivier ; Guant, Olivier ; Manziuk, Iuliia. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:5:p:387-452. Full description at Econpapers \|\| Download paper	36
27	1996	Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model. (1996). Avellaneda, Marco ; ParAS, Antonio . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:1:p:21-52. Full description at Econpapers \|\| Download paper	35
28	2018	Enhancing trading strategies with order book signals. (2018). Jaimungal, Sebastian ; Donnelly, Ryan ; Cartea, Alvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:1-35. Full description at Econpapers \|\| Download paper	35
29	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Carmona, Rene ; Ludkovski, Michael. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	34
30	2017	Regime-switching stochastic volatility model: estimation and calibration to VIX options. (2017). Goutte, StÃ©phane ; Pham, Huyen ; Ismail, Amine. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:24:y:2017:i:1:p:38-75. Full description at Econpapers \|\| Download paper	33
31	2003	On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. (2003). Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:303-324. Full description at Econpapers \|\| Download paper	32
32	2019	Mean-Field Game Strategies for Optimal Execution. (2019). Huang, Xuancheng ; Jaimungal, Sebastian ; Nourian, Mojtaba. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:2:p:153-185. Full description at Econpapers \|\| Download paper	32
33	2006	On the Distributional Characterization of Daily Log-Returns of a World Stock Index. (2006). Platen, Eckhard ; Fergusson, Kevin. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:13:y:2006:i:1:p:19-38. Full description at Econpapers \|\| Download paper	32
34	2012	The Implied Market Price of Weather Risk. (2012). LÃ³pez Cabrera, Brenda ; HÃ¤rdle, Wolfgang. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:1:p:59-95. Full description at Econpapers \|\| Download paper	31
35	1998	General Black-Scholes models accounting for increased market volatility from hedging strategies. (1998). K. Ronnie Sircar, George Papanicolaou, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:1:p:45-82. Full description at Econpapers \|\| Download paper	30
36	2015	ADI Schemes for Pricing American Options under the Heston Model. (2015). Haentjens, Tinne ; In, Karel J. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:3:p:207-237. Full description at Econpapers \|\| Download paper	29
37	2004	On the pricing and hedging of volatility derivatives. (2004). Howison, Sam ; Rasmussen, Henrik ; Rafailidis, Avraam. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:11:y:2004:i:4:p:317-346. Full description at Econpapers \|\| Download paper	29
38	1998	The predictive power of price patterns. (1998). G. Caginalp, H. Laurent, . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:181-205. Full description at Econpapers \|\| Download paper	29
39	2003	A note on arbitrage-free pricing of forward contracts in energy markets. (2003). Hauge, Ragnar ; Ekeland, Lars ; Benth, Fred Espen ; Nielsen, Bjorn Fredrik . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:4:p:325-336. Full description at Econpapers \|\| Download paper	28
40	2009	Modelling Electricity Prices with Forward Looking Capacity Constraints. (2009). Cartea, Ãlvaro ; Figueroa, Marcelo ; Geman, Helyette. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:103-122. Full description at Econpapers \|\| Download paper	28
41	2009	Optimal Quantization for the Pricing of Swing Options. (2009). Bouthemy, Sandrine ; Bardou, Olivier ; Pages, Gilles. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217. Full description at Econpapers \|\| Download paper	28
42	2009	On Markov-modulated Exponential-affine Bond Price Formulae. (2009). Siu, Tak Kuen ; Elliott, Robert. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:1:p:1-15. Full description at Econpapers \|\| Download paper	27
43	2007	Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model. (2007). Kufakunesu, Rodwell ; Groth, Martin ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:4:p:347-363. Full description at Econpapers \|\| Download paper	27
44	1996	Bond, futures and option evaluation in the quadratic interest rate model. (1996). Jamshidian, Farshid. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:3:y:1996:i:2:p:93-115. Full description at Econpapers \|\| Download paper	26
45	2014	Prices and Asymptotics for Discrete Variance Swaps. (2014). Cui, Zhenyu ; Bernard, Carole. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:2:p:140-173. Full description at Econpapers \|\| Download paper	26
46	2009	Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. (2009). FORSYTH, P. A. ; Labahn, G. ; Belanger, A. C.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:16:y:2009:i:6:p:451-496. Full description at Econpapers \|\| Download paper	26
47	2005	Sharp Upper and Lower Bounds for Basket Options. (2005). Wang, Tai-Ho ; Laurence, Peter. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:3:p:253-282. Full description at Econpapers \|\| Download paper	26
48	1995	Two extensions to barrier option valuation. (1995). Carr, P.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209. Full description at Econpapers \|\| Download paper	26
49	2013	Modelling Asset Prices for Algorithmic and High-Frequency Trading. (2013). Cartea, Ãlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:20:y:2013:i:6:p:512-547. Full description at Econpapers \|\| Download paper	25
50	2015	Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process. (2015). Pages, Gilles ; Sagna, Abass. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:5:p:463-498. Full description at Econpapers \|\| Download paper	24

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

#	Year	Title	Cited
1	2018	Enhancing trading strategies with order book signals. (2018). Jaimungal, Sebastian ; Donnelly, Ryan ; Cartea, Alvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:1-35. Full description at Econpapers \|\| Download paper	19
2	2005	Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality. (2005). Figueroa, Marcelo ; Cartea, Ãlvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:12:y:2005:i:4:p:313-335. Full description at Econpapers \|\| Download paper	16
3	2003	Optimal execution with nonlinear impact functions and trading-enhanced risk. (2003). Almgren, Robert F.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:10:y:2003:i:1:p:1-18. Full description at Econpapers \|\| Download paper	16
4	2019	Mean-Field Game Strategies for Optimal Execution. (2019). Huang, Xuancheng ; Jaimungal, Sebastian ; Nourian, Mojtaba. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:2:p:153-185. Full description at Econpapers \|\| Download paper	15
5	1995	Pricing and hedging derivative securities in markets with uncertain volatilities. (1995). Avellaneda, M. ; ParAS, A. ; Levy, A.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:73-88. Full description at Econpapers \|\| Download paper	15
6	2022	The Role of Binance in Bitcoin Volatility Transmission. (2022). Alexander, Carol ; Heck, Daniel F ; Kaeck, Andreas. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:29:y:2022:i:1:p:1-32. Full description at Econpapers \|\| Download paper	13
7	2014	Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model. (2014). Baldeaux, Jan ; Badran, Alexander . In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:299-312. Full description at Econpapers \|\| Download paper	13
8	2023	Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets. (2023). Monga, Marcello ; Drissi, Fayal ; Cartea, Alvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:30:y:2023:i:2:p:69-93. Full description at Econpapers \|\| Download paper	12
9	2020	Non-parametric Pricing and Hedging of Exotic Derivatives. (2020). Lyons, Terry ; Nejad, Sina ; Arribas, Imanol Perez. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:6:p:457-494. Full description at Econpapers \|\| Download paper	11
10	2017	Regime-switching stochastic volatility model: estimation and calibration to VIX options. (2017). Goutte, StÃ©phane ; Pham, Huyen ; Ismail, Amine. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:24:y:2017:i:1:p:38-75. Full description at Econpapers \|\| Download paper	11
11	2023	Robust Risk-Aware Option Hedging. (2023). Jaimungal, Sebastian ; Wu, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:30:y:2023:i:3:p:153-174. Full description at Econpapers \|\| Download paper	11
12	2019	Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality. (2019). GuÃ©ant, Olivier ; Guant, Olivier ; Manziuk, Iuliia. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:5:p:387-452. Full description at Econpapers \|\| Download paper	10
13	2010	Analysis of Fourier Transform Valuation Formulas and Applications. (2010). Glau, Kathrin ; Eberlein, Ernst ; Papapantoleon, Antonis. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:3:p:211-240. Full description at Econpapers \|\| Download paper	10
14	1995	Uncertain volatility and the risk-free synthesis of derivatives. (1995). Lyons, Terry. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:2:y:1995:i:2:p:117-133. Full description at Econpapers \|\| Download paper	10
15	2021	Closed-form Approximations in Multi-asset Market Making. (2021). GuÃ©ant, Olivier ; Bergault, Philippe ; Gueant, Olivier ; Vieira, Douglas ; Evangelista, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:28:y:2021:i:2:p:101-142. Full description at Econpapers \|\| Download paper	10
16	2022	Optimal Execution: A Review. (2022). Donnelly, Ryan. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:29:y:2022:i:3:p:181-212. Full description at Econpapers \|\| Download paper	9
17	2007	A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. (2007). Meyer-Brandis, Thilo ; Kallsen, Jan ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:2:p:153-169. Full description at Econpapers \|\| Download paper	9
18	2002	On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Alaton, Peter ; Stillberger, David. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20. Full description at Econpapers \|\| Download paper	9
19	2008	Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing. (2008). Ninomiya, Syoiti ; Victoir, Nicolas. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:2:p:107-121. Full description at Econpapers \|\| Download paper	9
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21	2019	Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies. (2019). Forsyth, Peter A ; Vetzal, Kenneth R. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:26:y:2019:i:1:p:1-37. Full description at Econpapers \|\| Download paper	7
22	2007	Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. (2007). Siu, Tak Kuen ; Elliott, Robert ; Chan, Leunglung. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:14:y:2007:i:1:p:41-62. Full description at Econpapers \|\| Download paper	7
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26	2020	Spoofing and Price Manipulation in Order-Driven Markets. (2020). Wang, Yixuan ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:67-98. Full description at Econpapers \|\| Download paper	6
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32	2002	Energy futures prices: term structure models with Kalman filter estimation. (2002). Tompaidis, Stathis ; Manoliu, Mihaela. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:9:y:2002:i:1:p:21-43. Full description at Econpapers \|\| Download paper	5
33	2023	Arbitrage-Free Neural-SDE Market Models. (2023). Wang, Sheng ; Cohen, Samuel N ; Reisinger, Christoph. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:30:y:2023:i:1:p:1-46. Full description at Econpapers \|\| Download paper	5
34	2020	Optimal Trading with Differing Trade Signals. (2020). Donnelly, Ryan ; Lorig, Matthew. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:4:p:317-344. Full description at Econpapers \|\| Download paper	5
35	2023	Simulation of Arbitrage-Free Implied Volatility Surfaces. (2023). Cont, Rama ; Vuleti, Milena. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:30:y:2023:i:2:p:94-121. Full description at Econpapers \|\| Download paper	5
36	2014	Optimal Execution and Price Manipulations in Time-varying Limit Order Books. (2014). Acevedo, Jose Infante ; Alfonsi, Aurelien. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:3:p:201-237. Full description at Econpapers \|\| Download paper	5
37	2020	Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets. (2020). Jaimungal, Sebastian ; Shrivats, Arvind. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:1-2:p:99-131. Full description at Econpapers \|\| Download paper	5
38	2014	Optimal Trade Execution Under Stochastic Volatility and Liquidity. (2014). Sepin, Tardu ; Cheridito, Patrick. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:21:y:2014:i:4:p:342-362. Full description at Econpapers \|\| Download paper	5
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41	2008	Pricing Asset Scheduling Flexibility using Optimal Switching. (2008). Carmona, Rene ; Ludkovski, Michael. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:15:y:2008:i:5-6:p:405-447. Full description at Econpapers \|\| Download paper	4
42	2010	Optimal Basket Liquidation for CARA Investors is Deterministic. (2010). Schied, Alexander ; Schoneborn, Torsten ; Tehranchi, Michael. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:17:y:2010:i:6:p:471-489. Full description at Econpapers \|\| Download paper	4
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45	2020	Detecting and Repairing Arbitrage in Traded Option Prices. (2020). Wang, Sheng ; Cohen, Samuel N ; Reisinger, Christoph. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:5:p:345-373. Full description at Econpapers \|\| Download paper	4
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Citing documents used to compute impact factor: 27

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2025	Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information. (2024). Franccois, Pascal ; Gauthier, Genevieve ; Fr'ed'eric Godin, ; Octavio, Carlos. In: Papers. RePEc:arx:papers:2407.21138. Full description at Econpapers \|\| Download paper
2025	Robust Reinforcement Learning with Dynamic Distortion Risk Measures. (2025). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2409.10096. Full description at Econpapers \|\| Download paper
2025	Hedging with Sparse Reward Reinforcement Learning. (2025). Gao, Ting ; Zuo, Dewei ; Yuan, Gangnan ; Ding, Yiheng. In: Papers. RePEc:arx:papers:2503.04218. Full description at Econpapers \|\| Download paper
2025	Is the difference between deep hedging and delta hedging a statistical arbitrage?. (2025). Prez, Carlos Octavio ; Godin, Frdric ; Gauthier, Genevive ; Franois, Pascal. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016192. Full description at Econpapers \|\| Download paper
2025	Myopic Optimality: why reinforcement learning portfolio management strategies lose money. (2025). Ma, Yuming. In: Papers. RePEc:arx:papers:2509.12764. Full description at Econpapers \|\| Download paper
2025	Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging. (2025). Bracha, Zofia ; Sakowski, Pawel ; Micha, Jakub. In: Papers. RePEc:arx:papers:2510.09247. Full description at Econpapers \|\| Download paper
2025	Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging. (2025). Michakw, Jakub ; Sakowski, Pawe ; Bracha, Zofia. In: Working Papers. RePEc:war:wpaper:2025-25. Full description at Econpapers \|\| Download paper
2025	Option pricing mechanisms driven by backward stochastic differential equations. (2025). Teng, Bin ; Wang, Sicong ; Shi, Yufeng. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00714-3. Full description at Econpapers \|\| Download paper
2025	DeFi Arbitrage in Hedged Liquidity Tokens. (2024). Feinstein, Zachary ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:2409.11339. Full description at Econpapers \|\| Download paper
2025	Impermanent loss and loss-vs-rebalancing I: some statistical properties. (2024). Fritz, Lars ; Alexander, Abe. In: Papers. RePEc:arx:papers:2410.00854. Full description at Econpapers \|\| Download paper
2025	Liquidity provision of utility indifference type in decentralized exchanges. (2025). Wunsch, Marcus ; Maire, Basile ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2502.01931. Full description at Econpapers \|\| Download paper
2025	Liquidity provision with $\tau$-reset strategies: a dynamic historical liquidity approach. (2025). Urusov, Andrey ; Berezovskiy, Rostislav ; Kornilov, Andrei ; Krestenko, Anatoly. In: Papers. RePEc:arx:papers:2505.15338. Full description at Econpapers \|\| Download paper
2025	Optimal Dynamic Fees in Automated Market Makers. (2025). Herdegen, Martin ; Baggiani, Leonardo. In: Papers. RePEc:arx:papers:2506.02869. Full description at Econpapers \|\| Download paper
2025	Liquidity provision of utility indifference type in decentralized exchanges. (2025). Wunsch, Marcus ; Maire, Basile ; Fukasawa, Masaaki. In: Digital Finance. RePEc:spr:digfin:v:7:y:2025:i:2:d:10.1007_s42521-025-00128-5. Full description at Econpapers \|\| Download paper
2025	The Price of Liquidity: Implied Volatility of Automated Market Maker Fees. (2025). Bichuch, Maxim ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2509.23222. Full description at Econpapers \|\| Download paper
2025	Decentralised finance and automated market making: Execution and speculation. (2025). Cartea, Lvaro ; Drissi, Fayal ; Monga, Marcello. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925001009. Full description at Econpapers \|\| Download paper
2025	Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders. (2025). Wang, Jing ; Vuik, Cornelis ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2509.01743. Full description at Econpapers \|\| Download paper
2025	Implied volatility (also) is path-dependent. (2024). Herv'e Andr`es, ; Jourdain, Benjamin ; Boumezoued, Alexandre. In: Papers. RePEc:arx:papers:2312.15950. Full description at Econpapers \|\| Download paper
2025	Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04569. Full description at Econpapers \|\| Download paper
2025	Short-term forecasting of forward prices in the Brazilian electricity market with a hybrid stochastic-neural network model. (2025). Santos, Eleonora ; Sica, E T ; Albani, V. V. L., ; Moreira, P. S. E., ; Marcavillaca, R T ; Avila, S L ; Geremia, M ; Piovezan, R. P. B., . In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004785. Full description at Econpapers \|\| Download paper
2025	Solving dynamic portfolio selection problems via score-based diffusion models. (2025). Bayraktar, Erhan ; Yuan, Fengyi ; Aghapour, Ahmad. In: Papers. RePEc:arx:papers:2507.09916. Full description at Econpapers \|\| Download paper
2025	Meta-Learning Neural Process for Implied Volatility Surfaces with SABR-induced Priors. (2025). Wu, Xuan ; Zhuang, Jirong. In: Papers. RePEc:arx:papers:2509.11928. Full description at Econpapers \|\| Download paper
2025	Forecasting implied volatility surface with generative diffusion models. (2025). Agarwal, Ankush ; Jin, Chen. In: Papers. RePEc:arx:papers:2511.07571. Full description at Econpapers \|\| Download paper
2025	Optimal Exit Time for Liquidity Providers in Automated Market Makers. (2025). Bergault, Philippe ; Bieber, S'Ebastien. In: Papers. RePEc:arx:papers:2509.06510. 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	Optimal multi-period leverage-constrained portfolios: A neural network approach. (2025). Ni, Chendi ; Li, Yuying ; Forsyth, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925000934. Full description at Econpapers \|\| Download paper
2025	Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling. (2025). Limmer, Yannick ; Buehler, Hans ; Horvath, Blanka ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:2506.07299. Full description at Econpapers \|\| Download paper

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2023	Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547. Full description at Econpapers \|\| Download paper

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10 most frequent citing series

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1	Papers / arXiv.org	97	599
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3	Energy Economics / Elsevier	178	43
4	Computational Economics / Springer	33	42
5	Mathematical Finance / Wiley Blackwell	72	36
6	European Journal of Operational Research / Elsevier	139	29
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10	Journal of Futures Markets / John Wiley & Sons, Ltd.	49	22
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