CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated July, 3 2014 639.049 documents
processed, 16.613.935 references and 6.218.529 citations
[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [
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| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CDO: Cumulative number of documents published until year y CCU: Cumulative number of citations to papers published until year y CIF: Cumulative impact factor CIT: Number of citations to papers published in 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 %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 |
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Most cited documents in this series:
| Year | Title | Cited |
|---|---|---|
| 2009 | COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION. (2009). Brigo, Damiano ; Chourdakis, Kyriakos . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:1007-1026. Full description at Econpapers || Download paper | 30 |
| 2005 | DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION. (2005). CHEKHLOV, ALEXEI ; Uryasev, Stanislav ; ZABARANKIN, MICHAEL. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:13-58. Full description at Econpapers || Download paper | 21 |
| 2009 | SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL. (2009). Jacquier, Antoine ; Forde, Martin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:06:p:861-876. Full description at Econpapers || Download paper | 15 |
| 2011 | OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK. (2011). Schied, Alexander ; Gatheral, Jim . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:p:353-368. Full description at Econpapers || Download paper | 14 |
| 2008 | EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS. (2008). FILIPOVI, DAMIR ; Kupper, Michael . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:325-343. Full description at Econpapers || Download paper | 12 |
| 2008 | THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS. (2008). JAIN, ASHISH ; Broadie, Mark . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:08:p:761-797. Full description at Econpapers || Download paper | 11 |
| 2012 | ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME. (2012). Takahashi, Akihiko ; Fujii, Masaaki . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:05:p:1250034-1-1250034-24. Full description at Econpapers || Download paper | 11 |
| 2011 | COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME. (2011). Kupper, Michael ; Cheridito, Patrick . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:01:p:137-162. Full description at Econpapers || Download paper | 11 |
| 2008 | PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES. (2008). BACKHAUS, JOCHEN ; FREY, RDIGER. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:06:p:611-634. Full description at Econpapers || Download paper | 10 |
| 2005 | VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS. (2005). SADEFO KAMDEM, Jules. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:537-551. Full description at Econpapers || Download paper | 10 |
| 2010 | A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS. (2010). Takahashi, Akihiko ; Takehara, Kohta . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:p:1179-1221. Full description at Econpapers || Download paper | 9 |
| 2011 | HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS. (2011). Ielpo, Florian ; DA FONSECA, José ; Grasselli, Martino . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:899-943. Full description at Econpapers || Download paper | 8 |
| 2009 | A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES. (2009). Huu, Adrien Nguyen ; AD, REN ; Touzi, Nizar ; Campi, Luciano . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:925-947. Full description at Econpapers || Download paper | 8 |
| 2010 | EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL. (2010). Benhamou, E. ; Miri, M. ; Gobet, E.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:04:p:603-634. Full description at Econpapers || Download paper | 8 |
| 2005 | EXPERTS EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION. (2005). Bouchaud, Jean-Philippe ; GUEDJ, OLIVIER. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:933-946. Full description at Econpapers || Download paper | 8 |
| 2011 | ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Pallavicini, Andrea ; Brigo, Damiano ; PAPATHEODOROU, VASILEIOS . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:773-802. Full description at Econpapers || Download paper | 8 |
| 2009 | ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY. (2009). RUTKOWSKI, MAREK ; ROPER, MICHAEL . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:04:p:427-441. Full description at Econpapers || Download paper | 7 |
| 2005 | INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS. (2005). Sharkasi, Adel ; Crane, Martin ; Ruskin, Heather J.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:603-622. Full description at Econpapers || Download paper | 7 |
| 2006 | TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA. (2006). Saadi, Samir ; Gandhi, Devinder ; Dutta, Shantanu . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:07:p:1021-1050. Full description at Econpapers || Download paper | 7 |
| 2008 | A SHOT NOISE MODEL FOR FINANCIAL ASSETS. (2008). Schmidt, Thorsten ; Stute, Winfried ; ALTMANN, TIMO. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:87-106. Full description at Econpapers || Download paper | 7 |
| 2009 | PRICING AND HEDGING IN CARBON EMISSIONS MARKETS. (2009). Verschuere, Michel ; etin, Umut . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:949-967. Full description at Econpapers || Download paper | 7 |
| 2008 | MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES. (2008). TANKOV, PETER ; Meyer-Brandis, Thilo . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:05:p:503-528. Full description at Econpapers || Download paper | 6 |
| 2006 | THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY. (2006). Abid, Fathi ; Naifar, Nader . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:01:p:23-42. Full description at Econpapers || Download paper | 6 |
| 2006 | TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS. (2006). Westerhoff, Frank. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:227-244. Full description at Econpapers || Download paper | 6 |
| 2007 | VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING. (2007). Zhang, Jin E. ; Zhu, Yingzi . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:111-127. Full description at Econpapers || Download paper | 6 |
| 2005 | A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK. (2005). Wu, Shu ; Zeng, Yong . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:839-869. Full description at Econpapers || Download paper | 5 |
| 2005 | CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING. (2005). Platen, Eckhard ; Heath, David . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1157-1177. Full description at Econpapers || Download paper | 5 |
| 2012 | A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS. (2012). Jarrow, Robert ; Protter, Philip . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:03:p:1250022-1-1250022-15. Full description at Econpapers || Download paper | 5 |
| 2006 | OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING. (2006). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert J.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:825-841. Full description at Econpapers || Download paper | 5 |
| 2005 | THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY. (2005). Abid, Fathi ; Naifar, Nader . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1135-1155. Full description at Econpapers || Download paper | 5 |
| 2008 | A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS. (2008). Semeraro, Patrizia. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:1-18. Full description at Econpapers || Download paper | 5 |
| 2009 | THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Kang, Boda ; Chiarella, Carl ; Ziogas, Andrew ; MEYER, GUNTER H.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:p:393-425. Full description at Econpapers || Download paper | 5 |
| 2012 | A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD. (2012). Takahashi, Akihiko ; Toda, Masashi ; Takehara, Kohta . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:06:p:1250044-1-1250044-25. Full description at Econpapers || Download paper | 5 |
| 2005 | THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY. (2005). Fabozzi, Frank ; BIGLOVA, ALMIRA ; Rachev, Svetlozar T. ; STOYANOV, STOYAN ; Ortobelli, Sergio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1107-1133. Full description at Econpapers || Download paper | 5 |
| 2006 | PRICING DERIVATIVES ON TWO-DIMENSIONAL LÃVY PROCESSES. (2006). Fajardo, José ; Mordecki, Ernesto. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:185-197. Full description at Econpapers || Download paper | 5 |
| 2008 | A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING. (2008). SIDENIUS, JAKOB ; Piterbarg, Vladimir ; Andersen, Leif . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:02:p:163-197. Full description at Econpapers || Download paper | 5 |
| 2010 | EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL. (2010). Pelsser, Antoon ; van Haastrecht, Alexander . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:01:p:1-43. Full description at Econpapers || Download paper | 5 |
| 2012 | STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS. (2012). Minca, Andreea ; Cont, Rama ; AMINI, HAMED . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:p:1250006-1-1250006-20. Full description at Econpapers || Download paper | 4 |
| 2008 | DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). Fabozzi, Frank ; BIGLOVA, ALMIRA ; Rachev, Svetlozar ; STOYANOV, STOYAN ; Ortobelli, Sergio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:19-54. Full description at Econpapers || Download paper | 4 |
| 2007 | KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES. (2007). URBN, ANDRS ; LÃSZLÃ? GYÃ?RFI, ; VAJDA, ISTVN. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:505-516. Full description at Econpapers || Download paper | 4 |
| 2011 | A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS. (2011). Siu, Tak Kuen ; Badescu, Alexandru ; Elliott, Robert J. ; Kulperger, Reg ; MIETTINEN, JARKKO . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:05:p:669-708. Full description at Econpapers || Download paper | 4 |
| 2012 | VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL. (2012). ZARGARI, B. ; Bielecki, T. R. ; CRePEY, S. ; JEANBLANC, M.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:p:1250004-1-1250004-39. Full description at Econpapers || Download paper | 4 |
| 2008 | INFORMATION-BASED ASSET PRICING. (2008). Macrina, Andrea ; Hughston, Lane P. ; Brody, Dorje C.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:107-142. Full description at Econpapers || Download paper | 4 |
| 2005 | PARTIAL INFORMATION AND HAZARD PROCESS. (2005). Jeanblanc, Monique ; VALCHEV, STOYAN. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:807-838. Full description at Econpapers || Download paper | 4 |
| 2007 | CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES. (2007). Pallavicini, Andrea ; Brigo, Damiano ; Torresetti, Roberto . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:607-631. Full description at Econpapers || Download paper | 4 |
| 2007 | TESTING WEAK-FORM MARKET EFFICIENCY IN EMERGING MARKET: EVIDENCE FROM BOTSWANA STOCK EXCHANGE. (2007). Mollah, Sabur A.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:06:p:1077-1094. Full description at Econpapers || Download paper | 4 |
| 2008 | LONG-RANGE DEPENDENCE IN EXCHANGE RATES: THE CASE OF THE EUROPEAN MONETARY SYSTEM. (2008). Tabak, Benjamin ; Cajueiro, Daniel ; Sergio R. S. Souza, . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:02:p:199-223. Full description at Econpapers || Download paper | 4 |
| 2009 | FORWARD AND FUTURES PRICES WITH BUBBLES. (2009). Jarrow, Robert ; Protter, Philip . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:901-924. Full description at Econpapers || Download paper | 4 |
| 2005 | PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE. (2005). Bianchi, Sergio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:02:p:255-281. Full description at Econpapers || Download paper | 4 |
| 2006 | SELF EXCITING THRESHOLD INTEREST RATES MODELS. (2006). Goovaerts, Marc ; Decamps, Marc ; Schoutens, Wim . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:07:p:1093-1122. Full description at Econpapers || Download paper | 4 |
Citing documents used to compute impact factor 27:
| Year | Title | See |
|---|---|---|
| 2014 | The large-maturity smile for the SteinâStein model. (2014). Forde, Martin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:91:y:2014:i:c:p:145-152. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Valuation and Hedging of Contracts with Funding Costs and
Collateralization. (2014). Bielecki, Tomasz R. ; RUTKOWSKI, MAREK . In: Papers. RePEc:arx:papers:1405.4079. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymptotic analysis of stock price densities and implied volatilities in
mixed stochastic models. (2014). Gulisashvili, Archil ; Vives, Josep . In: Papers. RePEc:arx:papers:1403.5302. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Short-time expansions for close-to-the-money options under a L\evy jump
model with stochastic volatility. (2014). Sveinn 'Olafsson, ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:1404.0601. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Implied volatility of basket options at extreme strikes. (2014). Gulisashvili, Archil ; Tankov, Peter . In: Papers. RePEc:arx:papers:1406.0394. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Trading with Small Price Impact. (2014). Soner, Mete H. ; Muhle-Karbe, Johannes ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1402.5304. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On multicurve models for the term structure. (2014). Morino, Laura ; Ruggaldier, Wolfgang J.. In: Papers. RePEc:arx:papers:1401.5431. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A First-Order BSPDE for Swing Option Pricing: Classical Solutions. (2014). Bender, Christian ; Dokuchaev, Nikolai . In: Papers. RePEc:arx:papers:1402.6444. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Efficient almost-exact Lévy area sampling. (2014). Malham, Simon J. A., ; Wiese, Anke . In: Statistics & Probability Letters. RePEc:eee:stapro:v:88:y:2014:i:c:p:50-55. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymptotics for $d$-dimensional L\evy-type processes. (2014). Pagliarani, Stefano ; Pascucci, Andrea ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.3153. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A consistent two-factor model for pricing temperature derivatives. (2014). López Cabrera, Brenda ; Meyer-Brandis, Thilo ; Groll, Andreas ; Lopez-Cabrera, Brenda . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-006. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Time-changed CIR default intensities with two-sided mean-reverting jumps. (2014). Mendoza-Arriaga, Rafael ; Linetsky, Vadim . In: Papers. RePEc:arx:papers:1403.5402. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bilateral credit valuation adjustment for large credit derivatives portfolios. (2014). Bo, Lijun ; Capponi, Agostino . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:431-482. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Portfolio Optimization under Partial Information with Expert Opinions: a
Dynamic Programming Approach. (2014). Wunderlich, Ralf ; Frey, Rudiger . In: Papers. RePEc:arx:papers:1303.2513. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Expert Opinions and Logarithmic Utility Maximization in a Market with
Gaussian Drift. (2014). Wunderlich, Ralf ; Kondakji, Hakam ; GABIH, ABDELALI ; Sass, Jorn . In: Papers. RePEc:arx:papers:1402.6313. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Matrix Box-Cox Models for Multivariate Realized Volatility. (2014). Weigand, Roland . In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:29687. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Systemic Risk and Default Clustering for Large Financial Systems. (2014). Spiliopoulos, Konstantinos . In: Papers. RePEc:arx:papers:1402.5352. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A
Numerical Case Study Extending Black-Scholes. (2014). Brigo, Damiano ; Liu, Qing ; Sloth, David ; Pallavicini, Andrea . In: Papers. RePEc:arx:papers:1404.7314. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Automated Liquidity Provision. (2014). Michayluk, David ; Gerig, Austin . In: Research Paper Series. RePEc:uts:rpaper:345. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A benchmark approach to risk-minimization under partial information. (2014). Cretarola, Alessandra ; Ceci, Claudia ; Colaneri, Katia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:129-146. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymptotics of implied volatility to arbitrary order. (2014). Gao, Kun ; Lee, Roger . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:349-392. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | BSDEs under partial information and financial applications. (2014). Cretarola, Alessandra ; Russo, Francesco ; Ceci, Claudia . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:8:p:2628-2653. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | . Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | . Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Partial Stochastic Dominance. (2014). Kamihigashi, Takashi ; Stachurski, John . In: Discussion Paper Series. RePEc:kob:dpaper:dp2014-23. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2013
| Year | Title | See |
|---|---|---|
| 2013 | The Small Maturity Implied Volatility Slope for L\evy Models. (2013). GERHOLD, STEFAN ; Gulum, Ismail Cetin . In: Papers. RePEc:arx:papers:1310.3061. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | A primal-dual algorithm for BSDEs. (2013). Bender, Christian ; Zhuo, Jia ; Schweizer, Nikolaus . In: Papers. RePEc:arx:papers:1310.3694. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs
Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk,
Initial and Variation Margins, Multiple Discount Curves, FV. (2013). Brigo, Damiano ; Pallavicini, Andrea . In: Papers. RePEc:arx:papers:1312.0128. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Portfolio Risk Measures: The Timeâs Arrow Matters. (2013). Ruttiens, Alain . In: Computational Economics. RePEc:kap:compec:v:41:y:2013:i:3:p:407-424. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | . Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
| Year | Title | See |
|---|---|---|
| 2012 | Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca . In: Papers. RePEc:arx:papers:1210.2337. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | An FBSDE Approach to American Option Pricing with an Interacting
Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: Papers. RePEc:arx:papers:1211.5867. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | . Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Vulnerable Banks. (2012). Landier, Augustin ; Greenwood, Robin ; Thesmar, David . In: NBER Working Papers. RePEc:nbr:nberwo:18537. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | . Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
| Year | Title | See |
|---|---|---|
| 2011 | Funding Valuation Adjustment: a consistent framework including CVA, DVA,
collateral,netting rules and re-hypothecation. (2011). Pallavicini, Andrea ; Brigo, Damiano ; Perini, Daniele . In: Papers. RePEc:arx:papers:1112.1521. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | On the game interpretation of a shadow price process in utility
maximization problems under transaction costs. (2011). Rokhlin, Dmitry B.. In: Papers. RePEc:arx:papers:1112.2406. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Variance risk, financial intermediation, and the cross-section of expected option returns. (2011). Schuerhoff, Norman ; Ziegler, Alexandre ; Schurhoff, Norman . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8268. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Liquidity mergers. (2011). Hackbarth, Dirk ; Campello, Murillo ; Almeida, Heitor . In: Journal of Financial Economics. RePEc:eee:jfinec:v:102:y:2011:i:3:p:526-558. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX. (2011). McAleer, Michael ; Ishida, I. ; Oya, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:22806. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion. (2011). Ubukata, Masato ; Watanabe, Toshiaki . In: Global COE Hi-Stat Discussion Paper Series. RePEc:hst:ghsdps:gd11-214. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Forward-backward systems
for expected utility
maximization. (2011). Horst, Ulrich ; Reveillac, Anthony ; Hu, Ying ; Imkeller, Peter . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-061. Full description at Econpapers || Download paper | [Citation Analysis] |
Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.
Source data used to compute the impact factor of RePEc series.