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International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.

0.32

Impact Factor

0.44

5-Years IF

14

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.09000 (%)0.04
19920.1000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.05
19950.19000 (%)0.07
19960.22000 (%)0.09
19970.27000 (%)0.09
19980.27000 (%)0.1
19990.31000 (%)0.13
20000.4000 (%)0.15
20010.4000 (%)0.15
20020.42000 (%)0.18
20030.44000 (%)0.18
20040.490300 (%)0.2
20050.53555530.05179001 (%)10.020.21
20060.110.510.116311870.061415565561 (%)10.020.2
20070.190.440.1962180270.151101182311823 (%)10.020.18
20080.090.470.1440220290.1315512511180251 (%)30.080.2
20090.250.470.2454274590.2219910226220524 (2%)50.090.19
20100.330.440.2655329720.221049431274706 (5.8%)10.020.16
20110.220.510.2255384810.2116110924274591 (%)80.150.2
20120.290.560.39604441500.34138110322661052 (1.4%)50.080.21
20130.430.660.44514951730.3567115502641153 (4.5%)40.080.23
20140.370.670.49555502360.4339111412751344 (10.3%)50.090.22
20150.320.820.44836332130.3431106342761212 (6.5%)40.050.27
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
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
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: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:

#YearTitleCited
12009COUNTERPARTY 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.

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39
22005DRAWDOWN 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.

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39
32011OPTIMAL 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.

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35
42012ANALYTICAL 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.

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30
52009SMALL-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

29
62011COMPOSITION 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.

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24
72009A 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.

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18
82008THE 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.

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18
92010MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. (2010). Cherny, Alexander ; Madan, Dilip B.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:p:1149-1177.

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17
102008EQUILIBRIUM 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.

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17
112006THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY. (2006). Naifar, Nader ; Abid, Fathi . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:01:p:23-42.

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16
122010A 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.

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15
132013A MATHEMATICAL APPROACH TO ORDER BOOK MODELING. (2013). Jedidi, Aymen ; Abergel, Frederic . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:05:p:1350025-1-1350025-40.

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15
142012STRESS 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.

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15
152008MULTI-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.

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14
162007THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS. (2007). Al-Zoubi, Haitham ; Maghyereh, Aktham I.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:235-249.

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14
172008PRICING 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.

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14
182005VALUE-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.

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13
192012A 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.

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13
202013ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS. (2013). Lipton, Alexander ; Andersen, Leif . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:01:p:1350001-1-1350001-98.

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13
212009ON 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.

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13
222005INTERRELATIONSHIPS 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.

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13
232006LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS. (2006). Shieh, Shwu-Jane . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:05:p:787-799.

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13
242009THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:p:393-425.

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12
252011ARBITRAGE-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.

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12
262011HEDGING (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.

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12
272010MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING. (2010). Mercurio, Fabio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:01:p:113-137.

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12
282009PRICING 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.

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11
292007VARIANCE 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.

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11
302005THE 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.

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11
312005EXPERTS 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.

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10
322008LONG-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.

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10
332008A 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.

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10
342005THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY. (2005). Naifar, Nader ; Abid, Fathi . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1135-1155.

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10
352012RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES. (2012). Leung, Tim ; Liu, Peng . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:08:p:1250059-1-1250059-34.

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10
362008DESIRABLE 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.

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10
372012A 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.

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9
382006A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH. (2006). Gerardi, Anna ; Ceci, Claudia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:555-576.

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8
392013COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA. (2013). Ngor, Nathalie ; Grbac, Zorana ; Crepey, Stephane ; GERBOUD, ReMI . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:02:p:1350006-1-1350006-31.

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8
402008A 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.

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8
412010EXPANSION 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.

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8
422015OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT. (2015). Leung, Tim ; Li, Xin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:03:p:1550020-1-1550020-31.

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8
432005A 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.

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8
442009FORWARD 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.

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8
452010EFFICIENT, 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.

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8
462010AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA. (2010). BLAIS, MARCEL ; Protter, Philip . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:06:p:821-838.

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7
472006TESTING 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.

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7
482006TECHNICAL 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.

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7
492011BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT. (2011). Pakkanen, Mikko S.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:04:p:579-586.

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7
502012PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS. (2012). GABIH, ABDELALI ; Frey, Rudiger ; Wunderlich, Ralf . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:p:1250009-1-1250009-18.

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7

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

#YearTitleCited
12011OPTIMAL 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

27
22005DRAWDOWN 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

22
32012ANALYTICAL 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

21
42011COMPOSITION 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

18
52009SMALL-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

17
62013A MATHEMATICAL APPROACH TO ORDER BOOK MODELING. (2013). Jedidi, Aymen ; Abergel, Frederic . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:05:p:1350025-1-1350025-40.

Full description at Econpapers || Download paper

15
72010MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. (2010). Cherny, Alexander ; Madan, Dilip B.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:p:1149-1177.

Full description at Econpapers || Download paper

14
82013ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS. (2013). Lipton, Alexander ; Andersen, Leif . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:01:p:1350001-1-1350001-98.

Full description at Econpapers || Download paper

13
92009COUNTERPARTY 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

12
102012STRESS 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

11
112007THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS. (2007). Al-Zoubi, Haitham ; Maghyereh, Aktham I.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:235-249.

Full description at Econpapers || Download paper

11
122012RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES. (2012). Leung, Tim ; Liu, Peng . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:08:p:1250059-1-1250059-34.

Full description at Econpapers || Download paper

10
132010MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING. (2010). Mercurio, Fabio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:01:p:113-137.

Full description at Econpapers || Download paper

10
142010A 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
152009A 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

9
162013COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA. (2013). Ngor, Nathalie ; Grbac, Zorana ; Crepey, Stephane ; GERBOUD, ReMI . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:02:p:1350006-1-1350006-31.

Full description at Econpapers || Download paper

8
172008THE 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.

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8
182012A 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.

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192009ON 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.

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202005INTERRELATIONSHIPS 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.

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212015OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT. (2015). Leung, Tim ; Li, Xin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:03:p:1550020-1-1550020-31.

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222008MULTI-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.

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7
232008LONG-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.

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7
242012PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS. (2012). GABIH, ABDELALI ; Frey, Rudiger ; Wunderlich, Ralf . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:p:1250009-1-1250009-18.

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252006LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS. (2006). Shieh, Shwu-Jane . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:05:p:787-799.

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262006A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH. (2006). Gerardi, Anna ; Ceci, Claudia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:555-576.

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272008A 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.

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282011ARBITRAGE-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.

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292008EQUILIBRIUM 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.

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302011A 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.

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6
312008DESIRABLE 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.

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322005THE 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.

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332011MAXIMUM DRAWDOWN INSURANCE. (2011). Zhang, Hongzhong ; Carr, Peter ; Hadjiliadis, Olympia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:08:p:1195-1230.

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342009FORWARD 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.

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352014AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS. (2014). Lohne, Andreas . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:02:p:1450012-1-1450012-33.

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362011TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS. (2011). TANKOV, PETER ; Brodn, Mats. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:803-837.

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372011BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT. (2011). Pakkanen, Mikko S.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:04:p:579-586.

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382012A 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.

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5
392006THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL. (2006). Tabak, Benjamin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:08:p:1377-1396.

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402012TENOR SPECIFIC PRICING. (2012). Madan, Dilip B. ; Schoutens, Wim . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:06:p:1250043-1-1250043-21.

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4
412011HEDGING (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.

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4
422009THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:p:393-425.

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432006SELF 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.

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442014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION. (2014). Grzelak, Lech ; VAN DER STOEP, ANTHONIE W. ; OOSTERLEE, CORNELIS W.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:07:p:1450045-1-1450045-30.

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452011MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS. (2011). ASVANUNT, ATTAKRIT ; Sundaresan, Suresh ; Broadie, Mark . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:p:369-406.

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462010A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE. (2010). Semeraro, Patrizia ; luciano, elisa. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:03:p:415-440.

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472012COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS. (2012). Wang, J. ; Forsyth, P. A.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:02:p:1250014-1-1250014-32.

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482007VARIANCE 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.

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492014VECTOR-VALUED COHERENT RISK MEASURE PROCESSES. (2014). Lépinette, Emmanuel ; Bentahar, Imen ; BEN TAHAR, IMEN . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:02:p:1450011-1-1450011-28.

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4
502008EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS. (2008). Romanyuk, Yuliya ; Melnikov, Alexander . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:295-323.

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4

Citing documents used to compute impact factor 34:

YearTitle
2015A noisy principal component analysis for forward rate curves. (2015). Laurini, Márcio ; Ohashi, Alberto . In: European Journal of Operational Research. RePEc:eee:ejores:v:246:y:2015:i:1:p:140-153.

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2015The Case for Contingent Convertible Debt for Sovereignst. (2015). Consiglio, Andrea ; Zenios, Stavros A. In: Working Papers. RePEc:ecl:upafin:15-13.

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2015An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1505.07705.

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2015Coping with Negative Short-Rates. (2015). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1502.06074.

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2015A stochastic control approach for options market making. (2015). el Aoud, Sofiene ; Abergel, Frederic . In: Post-Print. RePEc:hal:journl:hal-01061852.

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2015Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process. (2015). Reisinger, Christoph ; Cozma, Andrei . In: Papers. RePEc:arx:papers:1601.00919.

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2015The pricing of lookback options and binomial approximation. (2015). Heuwelyckx, Fabien ; Grosse-Erdmann, Karl . In: Papers. RePEc:arx:papers:1502.02819.

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2015Multi-portfolio time consistency for set-valued convex and coherent risk measures. (2015). Feinstein, Zachary . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:67-107.

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2015A comparison of techniques for dynamic multivariate risk measures. (2015). Feinstein, Zachary . In: Papers. RePEc:arx:papers:1305.2151.

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2015Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments. (2015). Macrina, Andrea ; Nguyen, Tuyet Mai ; Crepey, Stephane ; Skovmand, David . In: Papers. RePEc:arx:papers:1502.07397.

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2015Pricing and hedging game options in currency models with proportional transaction costs. (2015). Roux, Alet . In: Papers. RePEc:arx:papers:1504.07920.

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2015Robust hedging performance and volatility risk in option markets: Application to Standard and Poors 500 and Taiwan index options. (2015). Yu, Shih-Ti ; Kuo, Chii-Shyan ; Han, Chuan-Hsiang ; Chang, Chien-Hung . In: International Review of Economics & Finance. RePEc:eee:reveco:v:40:y:2015:i:c:p:160-173.

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2015CARMA processes as solutions of integral equations. (2015). Brockwell, Peter J ; Lindner, Alexander . In: Statistics & Probability Letters. RePEc:eee:stapro:v:107:y:2015:i:c:p:221-227.

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2015Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\evy jumps. (2015). Jos'e E. Figueroa-L'opez, ; Sveinn 'Olafsson, . In: Papers. RePEc:arx:papers:1502.02595.

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2015Large-Maturity Regimes of the Heston Forward Smile. (2015). Jacquier, Antoine ; Roome, Patrick . In: Papers. RePEc:arx:papers:1410.7206.

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2015Static hedging under maturity mismatch. (2015). Mayer, Philipp ; Schmidt, Wolfgang ; Packham, Natalie . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:3:p:509-539.

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2015Trading with Small Price Impact. (2015). Muhle-Karbe, Johannes ; Soner, Mete H. ; Moreau, Ludovic . In: Papers. RePEc:arx:papers:1402.5304.

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2015Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments. (2015). Macrina, Andrea ; Nguyen, Tuyet Mai ; Crepey, Stephane ; Skovmand, David . In: Papers. RePEc:arx:papers:1502.07397.

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2015Central Clearing Valuation Adjustment. (2015). Crepey, Stephane ; Yannick, Armenti . In: Working Papers. RePEc:hal:wpaper:hal-01169169.

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2015On the supremum of the spectrally negative stable process with drift. (2015). Coqueret, Guillaume . In: Statistics & Probability Letters. RePEc:eee:stapro:v:107:y:2015:i:c:p:333-340.

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2015Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models. (2015). Shiraya, Kenichiro ; Takahashi, Yakihiko . In: CIRJE F-Series. RePEc:tky:fseres:2015cf980.

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2015Pricing Average and Spread Options on Commodities under Local-Stochastic Volatility with Jumps Models. (2015). Shiraya, Kenichiro ; Takahashi, Akihiko . In: CARF F-Series. RePEc:cfi:fseres:cf365.

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2015Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648.

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2015Stationary distribution of the volume at the best quote in a Poisson order book model. (2015). Toke, Ioane Muni . In: Papers. RePEc:arx:papers:1502.03871.

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2015A law of large numbers for limit order books. (2015). Horst, Ulrich ; Paulsen, Michael . In: Papers. RePEc:arx:papers:1501.00843.

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2015Dynamics of Order Positions and Related Queues in a Limit Order Book. (2015). Guo, Xin ; Zhu, Lingjiong ; Ruan, Zhao . In: Papers. RePEc:arx:papers:1505.04810.

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2015Lyapunov function for a Hawkes process-based limit order book. (2015). Abergel, Frederic . In: Working Papers. RePEc:hal:wpaper:hal-01113533.

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2015LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Working Papers. RePEc:hal:wpaper:hal-01121711.

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2015LONG TIME BEHAVIOUR OF A HAWKES PROCESS-BASED LIMIT ORDER BOOK. (2015). Abergel, Frederic ; Jedidi, Aymen . In: Post-Print. RePEc:hal:journl:hal-01121711.

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2015A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time. (2015). Cialenco, Igor ; Bielecki, Tomasz R. ; Pitera, Marcin . In: Papers. RePEc:arx:papers:1409.7028.

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2015Comonotonic Monte Carlo and its applications in option pricing and quantification of risk. (2015). Chateauneuf, Alain ; Mostoufi, Mina ; Vyncke, David . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15015.

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2015Comonotonic Monte Carlo and its applications in option pricing and quantification of risk. (2015). Chateauneuf, Alain ; Vyncke, David ; Mostoufi, Mina . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01159741.

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2015Comonotonic Monte Carlo and its applications in option pricing and quantification of risk. (2015). Chateauneuf, Alain ; Vyncke, David ; Mostoufi, Mina . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15015r.

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2015A weak approximation with asymptotic expansion and multidimensional Malliavin weights. (2015). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf358.

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Recent citations (cites in year: CiY)

Recent citations received in 2015
YearCiting document
2015Quantile Cross-Spectral Measures of Dependence between Economic Variables. (2015). Baruník, Jozef ; Kley, Tobias . In: Papers. RePEc:arx:papers:1510.06946.

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2015LSV models with stochastic interest rates and correlated jumps. (2015). Itkin, Andrey . In: Papers. RePEc:arx:papers:1511.01460.

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2015Pricing of forwards and other derivatives in cointegrated commodity markets. (2015). Koekebakker, Steen ; Benth, Fred Espen . In: Energy Economics. RePEc:eee:eneeco:v:52:y:2015:i:pa:p:104-117.

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2015Optimal investment in multidimensional Markov-modulated affine models. (2015). Neykova, Daniela ; Zagst, Rudi ; ESCOBAR, MARCOS . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:503-530.

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Recent citations received in 2014
YearCiting document
2014Multiportfolio time consistency for set-valued convex and coherent risk measures. (2014). Feinstein, Zachary . In: Papers. RePEc:arx:papers:1212.5563.

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2014Set-valued shortfall and divergence risk measures. (2014). Hamel, Andreas H. ; Ararat, cCaugin . In: Papers. RePEc:arx:papers:1405.4905.

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2014Linear vector optimization and European option pricing under proportional transaction costs. (2014). Roux, Alet ; Zastawniak, Tomasz . In: Papers. RePEc:arx:papers:1407.5877.

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2014Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets. (2014). Cordero, Fernando ; Perez-Ostafe, Lavinia . In: Papers. RePEc:arx:papers:1407.8068.

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2014Modeling and monitoring risk acceptability in markets: The case of the credit default swap market. (2014). Madan, Dilip B.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:47:y:2014:i:c:p:63-73.

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Recent citations received in 2013
YearCiting document
2013CCPs, 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, FVA?. (2013). Brigo, Damiano ; Pallavicini, Andrea . In: Papers. RePEc:arx:papers:1312.0128.

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2013Portfolio Risk Measures: The Time’s Arrow Matters. (2013). Ruttiens, Alain . In: Computational Economics. RePEc:kap:compec:v:41:y:2013:i:3:p:407-424.

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2013Downturn LGD: A Spot Recovery Approach. (2013). Li, Hui . In: MPRA Paper. RePEc:pra:mprapa:71986.

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2013A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights. (2013). Takahashi, Akihiko ; Yamada, Toshihiro . In: CIRJE F-Series. RePEc:tky:fseres:2013cf909.

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Recent citations received in 2012
YearCiting document
2012Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca . In: Papers. RePEc:arx:papers:1210.2337.

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2012An 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.

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2012An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf302.

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2012Vulnerable Banks. (2012). thesmar, david ; Landier, Augustin ; Greenwood, Robin . In: NBER Working Papers. RePEc:nbr:nberwo:18537.

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2012An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: CIRJE F-Series. RePEc:tky:fseres:2012cf871.

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Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team