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Applied Mathematical Finance
H-index 6

Applied Mathematical Finance

1350-486X

Published by: Taylor & Francis

https://www.chapmanhall.com/am/default.html

Ranking & Metrics

Discipline name Position Best Scientists Publications D-Index
Mathematics 539 8 9 5
Economics and Finance 561 7 10 3

Additional Metrics

Number of Best Scientists*: 17
Documents by Best Scientists*: 19
Top 100 Ranked Scientists*: 1
SCIMAGO H-index: 37
SCIMAGO SJR: 0.557
Impact Factor: N/A

Overview

Top Research Topics at Applied Mathematical Finance?

The objective of Applied Mathematical Finance is to combine knowledge in the areas of Econometrics, Mathematical optimization, Mathematical economics, Applied mathematics and Financial economics. It explores topics in Econometrics which can be helpful for research in disciplines like Actuarial science and Portfolio. Applied Mathematical Finance holds forums on Mathematical optimization that merges themes from other disciplines such as Monte Carlo method, Binomial options pricing model and Stochastic game.

It addresses concerns in Mathematical economics which are intertwined with other disciplines, such as Black–Scholes model and Valuation of options. Applied mathematics research discussed connects with the study of Short-rate model. The Financial economics study tackling the subject of Rational pricing is the focus of Applied Mathematical Finance.

In it, Volatility swap and Volatility smile are investigated in conjunction with one another to address concerns in Stochastic volatility research. The Volatility (finance) research dealing mostly with SABR volatility model is the focus of the journal. The study on Implied volatility featured in Applied Mathematical Finance expounds on the topic of Forward volatility in particular.

  • Econometrics (43.90%)
  • Mathematical optimization (18.90%)
  • Mathematical economics (16.67%)

What are the most cited papers published in the journal?

  • Pricing and hedging derivative securities in markets with uncertain volatilities (577 citations)
  • Optimal execution with nonlinear impact functions and trading-enhanced risk (399 citations)
  • Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (375 citations)

Research areas of the most cited articles at Applied Mathematical Finance:

Econometrics, Stochastic volatility, Valuation of options, Volatility (finance) and Volatility smile are the main subjects of interest in the journal papers. While work presented in the journal papers provide substantial information on Econometrics, it also covers topics in Microeconomics and Futures contract. The journal publications hold forums on Stochastic volatility that merge themes from other disciplines such as Implied volatility, Multigrid method and Applied mathematics.

What topics the last edition of the journal is best known for?

  • Statistics
  • Mathematical analysis
  • Finance

The previous edition focused in particular on these issues:

Applied Mathematical Finance primarily focuses on research topics in Econometrics, Portfolio, Exponential utility, Risk aversion (psychology) and Artificial intelligence. While Econometrics is the focus of it, it also provided insights into the studies of Equity (finance), Credit risk, Market data, Capital structure and Moment (mathematics). The Deep learning studies presented in it fall under the field of Artificial intelligence, but it also has connections to other fields such as Long short term memory.

The most cited articles from the last journal are:

  • Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (2 citations)
  • A Structural Approach to Default Modelling with Pure Jump Processes (0 citations)
  • Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed (0 citations)

Papers citation over time

A key indicator for each journal is its effectiveness in reaching other researchers with the papers published at that venue.

The chart below presents the interquartile range (first quartile 25%, median 50% and third quartile 75%) of the number of citations of articles over time.

The top authors publishing in Applied Mathematical Finance (based on the number of publications) are:

  • Colin Atkinson (10 papers) absent at the last edition,
  • Fred Espen Benth (8 papers) absent at the last edition,
  • Ernst Eberlein (8 papers) absent at the last edition,
  • Sebastian Jaimungal (8 papers) absent at the last edition,
  • Tak Kuen Siu (7 papers) absent at the last edition.

The overall trend for top authors publishing in this journal is outlined below. The chart shows the number of publications at each edition of the journal for top authors.

Only papers with recognized affiliations are considered

The top affiliations publishing in Applied Mathematical Finance (based on the number of publications) are:

  • University of Oxford (16 papers) published 1 paper at the last edition, 4 less than at the previous edition,
  • Imperial College London (14 papers) absent at the last edition,
  • University of Technology, Sydney (13 papers) absent at the last edition,
  • University of Paris (11 papers) absent at the last edition,
  • University of Toronto (11 papers) absent at the last edition.

The overall trend for top affiliations publishing in this journal is outlined below. The chart shows the number of publications at each edition of the journal for top affiliations.

Publication chance based on affiliation

The publication chance index shows the ratio of articles published by the best research institutions in the journal edition to all articles published within that journal. The best research institutions were selected based on the largest number of articles published during all editions of the journal.

The chart below presents the percentage ratio of articles from top institutions (based on their ranking of total papers).Top affiliations were grouped by their rank into the following tiers: top 1-10, top 11-20, top 21-50, and top 51+. Only articles with a recognized affiliation are considered.

During the most recent 2021 edition, 40.00% of publications had an unrecognized affiliation. Out of the publications with recognized affiliations, 33.33% were posted by at least one author from the top 10 institutions publishing in the journal. Another 0.00% included authors affiliated with research institutions from the top 11-20 affiliations. Institutions from the 21-50 range included 0.00% of all publications and 66.67% were from other institutions.

Returning Authors Index

A very common phenomenon observed among researchers publishing scientific articles is the intentional selection of journals they have already attended in the past. In particular, it is worth analyzing the case when the authors participate in the same journal from year to year.

The Returning Authors Index presented below illustrates the ratio of authors who participated in both a given as well as the previous edition of the journal in relation to all participants in a given year.

Returning Institution Index

The graph below shows the Returning Institution Index, illustrating the ratio of institutions that participated in both a given and the previous edition of the conference in relation to all affiliations present in a given year.

The experience to innovation index

Our experience to innovation index was created to show a cross-section of the experience level of authors publishing in a journal. The index includes the authors publishing at the last edition of a journal, grouped by total number of publications throughout their academic career (P) and the total number of citations of these publications ever received (C).

The group intervals were selected empirically to best show the diversity of the authors' experiences, their labels were selected as a convenience, not as judgment. The authors were divided into the following groups:

  • Novice - P < 5 or C < 25 (the number of publications less than 5 or the number of citations less than 25),
  • Competent - P < 10 or C < 100 (the number of publications less than 10 or the number of citations less than 100),
  • Experienced - P < 25 or C < 625 (the number of publications less than 25 or the number of citations less than 625),
  • Master - P < 50 or C < 2500 (the number of publications less than 50 or the number of citations less than 2500),
  • Star - P ≥ 50 and C ≥ 2500 (both the number of publications greater than 50 and the number of citations greater than 2500).

The chart below illustrates experience levels of first authors in cases of publications with multiple authors.

Pursuing Higher Studies in Applied Mathematical Finance

The article provides a comprehensive overview of various research topics in Applied Mathematical Finance, the most cited papers, and topics of interest in the last edition of the journal. However, it is missing a crucial section that would guide readers about how to pursue advanced studies in such complex areas. A section titled "" could add depth to the article for readers interested in furthering their education in this field. Here's a draft for it: **Pursuing Higher Studies in Applied Mathematical Finance** Given the challenging and multidisciplinary nature of Applied Mathematical Finance, it becomes important to gain in-depth knowledge and training. One of the ways to do this is through advanced educational programs. These programs often combine theoretical studies with practical applications, preparing you for a career in this field. Consider pursuing a degree from some of the best institutions offering comprehensive courses in mathematical finance. Program curriculum generally covers topics such as Econometrics, Mathematical optimization, Mathematical economics, and Financial economics - which are central themes in the field. For instance, certain schools in Minnesota offer some of the best programs in this area. One could check more about these programs and their offerings in order to make an informed choice, at this link. Remember, it is important to tailor your education according to your research interests and career goals in Applied Mathematical Finance. Whether you intend to work in academia, research institutions, or financial corporations - a solid educational foundation can greatly enhance your career prospects.

Top Publications

  • The Role of Binance in Bitcoin Volatility Transmission

    (2021)
    22 Citations
  • Simulation of Arbitrage-Free Implied Volatility Surfaces

    (2023)
    15 Citations
  • Additive Processes with Bilateral Gamma Marginals

    Dilip B. Madan;King Wang

    (2020)
    15 Citations
  • Nonparametric pricing and hedging of exotic derivatives

    Terry Lyons;Terry Lyons;Sina Nejad;Sina Nejad;Imanol Perez Arribas;Imanol Perez Arribas

    (2020)
    15 Citations
  • Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models

    Ben Hambly;Jasdeep Kalsi;James Newbury

    (2020)
    13 Citations
  • Trading Signals in VIX Futures

    (2021)
    9 Citations
  • On a Neural Network to Extract Implied Information from American Options

    (2021)
    6 Citations

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Best Scientists Contributing to This Journal