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


0.32

Impact Factor

0.51

5-Years IF

16

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
19920.09000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.05
19950.2000 (%)0.07
19960.24000 (%)0.09
19970.28000 (%)0.1
19980.29000 (%)0.1
19990.33000 (%)0.14
20000.4000 (%)0.15
20010.41000 (%)0.15
20020.42000 (%)0.18
20030.45000 (%)0.19
20040.50300 (%)0.2
20050.53555550.09203001 (%)20.040.21
20060.110.520.116311870.061645565562 (1.2%)10.020.2
20070.190.460.1962180280.161211182311823 (%)20.030.18
20080.10.490.1540220310.1417912513180271 (%)30.080.2
20090.260.480.2554274630.2323910227220564 (1.7%)50.090.19
20100.350.460.2855329790.241269433274766 (4.8%)20.040.17
20110.240.530.2255384830.2219510926274611 (%)80.150.2
20120.310.560.41604441560.35173110342661092 (1.2%)50.080.2
20130.430.630.44514951770.3691115492641173 (3.3%)40.080.22
20140.390.660.52555502460.4555111432751434 (7.3%)40.070.22
20150.320.730.47946442280.3556106342761302 (3.6%)30.030.23
20160.320.950.511077513180.422114947315160 (%)60.060.29
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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44
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

44
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.

Full description at Econpapers || Download paper

38
42009SMALL-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

32
52011COMPOSITION 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

31
62012ANALYTICAL 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

30
72008THE 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

23
82010MARKETS 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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22
92013A 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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21
102006LONG 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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19
112009THE 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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19
122009A 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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19
132008MULTI-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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19
142008EQUILIBRIUM 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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18
152006THE 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.

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17
162008PRICING 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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16
172012STRESS 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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16
182009ON 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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16
192010A 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
202015OPTIMAL 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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15
212005VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS. (2005). Kamdem, Jules Sadefo . 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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15
222007THE 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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15
232012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS. (2012). 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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15
242013ASYMPTOTICS 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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14
252010MODERN 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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14
262009PRICING 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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13
272012A 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
282005INTERRELATIONSHIPS 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
292008A 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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13
302007VARIANCE 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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13
312011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS. (2011). 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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13
322012PORTFOLIO 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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12
332011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Pallavicini, Andrea ; PAPATHEODOROU, VASILEIOS ; Brigo, Damiano . 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
342005THE 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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12
352005EXPERTS 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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11
362008LONG-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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11
372012RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES. (2012). Liu, Peng ; Leung, Tim . 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
382011MAXIMUM 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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10
392005THE 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.

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10
402008DESIRABLE 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
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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10
422006SELF EXCITING THRESHOLD INTEREST RATES MODELS. (2006). Goovaerts, 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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9
432011A 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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9
442006A 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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9
452010EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL. (2010). van Haastrecht, Alexander ; Pelsser, Antoon . 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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9
469
472011BROWNIAN 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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9
482008INFORMATION-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.

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8
498
502013COUNTERPARTY 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

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

24
22011COMPOSITION 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

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

19
42013A 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

18
52015OPTIMAL 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.

Full description at Econpapers || Download paper

15
62009SMALL-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
72005DRAWDOWN 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

15
82010MARKETS 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

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

13
102013ASYMPTOTICS 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

11
112012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS. (2012). 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

10
122012RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES. (2012). Liu, Peng ; Leung, Tim . 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

9
132008THE 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

9
142008MULTI-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

9
152012STRESS 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

9
162009ON 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

9
172012PORTFOLIO 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.

Full description at Econpapers || Download paper

9
182010MODERN 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

8
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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8
202008A 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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7
212006THE 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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7
222009THE 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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6
232011BROWNIAN 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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6
242014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION. (2014). 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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252011MAXIMUM 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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6
262006SELF EXCITING THRESHOLD INTEREST RATES MODELS. (2006). Goovaerts, 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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272009A 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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282012THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION. (2012). Gatheral, Jim ; Wang, Tai-Ho . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:p:1250001-1-1250001-18.

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292006LONG 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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302008LONG-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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6
312013RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY. (2013). Roch, Alexandre ; Soner, Mete H.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:06:p:1350037-1-1350037-27.

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322013COUNTERPARTY 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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5
332012TENOR 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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5
342005THE 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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5
352006A 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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362014AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS. (2014). Lohne, Andreas ; Rudloff, Birgit . 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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372007THE 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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382011MANAGING 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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392011A 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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402008DESIRABLE 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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412010A 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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422008EQUILIBRIUM 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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432010A 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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4
442009FORWARD AND FUTURES PRICES WITH BUBBLES. (2009). 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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4
452009SHARE REPURCHASES AND FIRM BEHAVIOR. (2009). De Ridder, Adri . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:05:p:605-631.

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462014VECTOR-VALUED COHERENT RISK MEASURE PROCESSES. (2014). Lépinette, Emmanuel ; Lepinette, Emmanuel ; BEN TAHAR, IMEN ; Bentahar, 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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472011FORWARD AND FUTURE IMPLIED VOLATILITY. (2011). Glasserman, Paul ; Wu, QI. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:p:407-432.

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482012COMPARISON 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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492015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS. (2015). Fontana, Claudio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:01:p:1550005-1-1550005-34.

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502014AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION. (2014). Lo, Chia Chun ; Skindilias, Konstantinos . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:07:p:1450047-1-1450047-22.

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4

Citing documents used to compute impact factor 47:


YearTitle
2016Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. (2016). Kruse, T ; Popier, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2554-2592.

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2016Assessing Gamma kernels and BSS/LSS processes. (2016). Barndorff-Nielsen, Ole E. In: CREATES Research Papers. RePEc:aah:create:2016-09.

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2016Breaking news dissemination in the media via propagation behavior based on complex network theory. (2016). Liu, Nairong ; Hao, Xiaoqing ; Gao, Xiangyun ; An, Haizhong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:453:y:2016:i:c:p:44-54.

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2016Speculative Futures Trading under Mean Reversion. (2016). Leung, Tim ; Wang, Zheng ; Li, Xin . In: Papers. RePEc:arx:papers:1601.04210.

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2016On the Profitability of Optimal Mean Reversion Trading Strategies. (2016). Wang, Tianxiang ; Huang, Peng . In: Papers. RePEc:arx:papers:1602.05858.

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2016Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao . In: Papers. RePEc:arx:papers:1605.07945.

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2016ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS. (2016). Jaimungal, Sebastian ; Cartea, Alvaro . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:06:p:1650038-01-1650038-18.

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2016Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics. (2016). Leung, Tim ; Wang, Zheng . In: Papers. RePEc:arx:papers:1610.08143.

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2016Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies. (2016). Leung, Tim ; Kang, Jamie . In: Papers. RePEc:arx:papers:1611.03110.

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2016Speculative Futures Trading under Mean Reversion. (2016). Leung, Tim ; Wang, Zheng ; Li, Xin . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:23:y:2016:i:4:d:10.1007_s10690-016-9215-9.

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2016Nash equilibria of threshold type for two-player nonzero-sum games of stopping. (2016). de Angelis, Tiziano ; Moriarty, John ; Ferrari, Giorgio . In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:563.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016SPATIAL PATTERNS OF ECONOMIC RENTS: DEVELOPING SUVARNABHUMI INTERNATIONAL AIRPORT, THAILAND. (2016). Bejrananda, Chakarin ; Lee, Yuk . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:03:p:1650014-01-1650014-13.

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2016LSV models with stochastic interest rates and correlated jumps. (2016). Itkin, Andrey . In: Papers. RePEc:arx:papers:1511.01460.

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2016Efficient exposure computation by risk factor decomposition. (2016). , Cornelis ; Reisinger, Christoph ; KANDHAI, DRONA . In: Papers. RePEc:arx:papers:1608.01197.

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2016An adjoint method for the exact calibration of Stochastic Local Volatility models. (2016). Wyns, Maarten ; In, Karel . In: Papers. RePEc:arx:papers:1609.00232.

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2016A Note on the Impact of Parameter Uncertainty on Barrier Derivatives. (2016). Escobar Anel, Marcos ; Panz, Sven . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:35-:d:79467.

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2016Uniform bounds for Black--Scholes implied volatility. (2016). Tehranchi, Michael R. In: Papers. RePEc:arx:papers:1512.06812.

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2016Large-maturity regimes of the Heston forward smile. (2016). Jacquier, Antoine ; Roome, Patrick . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:4:p:1087-1123.

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2016Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point. (2016). Janke, Oliver . In: Papers. RePEc:arx:papers:1610.08644.

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2016The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates. (2016). Biagini, Francesca ; Hartel, Maximilian ; Gnoatto, Alessandro . In: Papers. RePEc:arx:papers:1507.00208.

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2016WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES. (2016). Belak, Christoph ; Christensen, Soren ; Menkens, Olaf . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:02:p:1650009-01-1650009-36.

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2016A BSDE approach to fair bilateral pricing under endogenous collateralization. (2016). Rutkowski, Marek ; Nie, Tianyang . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0306-2.

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2016Arbitrage and utility maximization in market models with an insider. (2016). Chau, Ngoc Huy ; Tankov, Peter ; Runggaldier, Wolfgang . In: Papers. RePEc:arx:papers:1608.02068.

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2016Who would invest only in the risk-free asset?. (2016). Azevedo, Nuno ; Yannacopoulos, Athanasios ; Xanthopoulos, Stylianos ; Pinheiro, Diogo . In: Papers. RePEc:arx:papers:1608.02446.

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2016Relative asset price bubbles. (2016). Jarrow, Robert ; Protter, Philip ; Falafala, Roseline Bilina . In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:2:d:10.1007_s10436-016-0274-8.

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2016Efficient exposure computation by risk factor decomposition. (2016). , Cornelis ; Reisinger, Christoph ; KANDHAI, DRONA . In: Papers. RePEc:arx:papers:1608.01197.

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2016.

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2016The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates. (2016). Biagini, Francesca ; Hartel, Maximilian ; Gnoatto, Alessandro . In: Papers. RePEc:arx:papers:1507.00208.

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2016Pricing of Asian-type and Basket Options via Upper and Lower Bounds. (2016). Kordzakhia, Nino ; Novikov, Alexander ; Alexander, Scott ; Ling, Timothy . In: Papers. RePEc:arx:papers:1612.08767.

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2016Asymptotic proportion of arbitrage points in fractional binary markets. (2016). Cordero, Fernando ; Perez-Ostafe, Lavinia ; Klein, Irene . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:2:p:315-336.

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2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL. (2016). Fabozzi, Frank J ; Bianchi, Michele Leonardo ; Tassinari, Gian Luca . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650027-01-1650027-28.

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2016Pricing Sovereign Contingent Convertible Debt. (2016). Zenios, Stavros A ; Consiglio, Andrea ; Tumminello, Michele . In: Working Papers. RePEc:ecl:upafin:16-05.

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2016Optimality of two-parameter strategies in stochastic control. (2016). Yamazaki, Kazutoshi . In: Papers. RePEc:arx:papers:1605.04995.

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2016Numerical and analytical methods for bond pricing in short rate convergence models of interest rates. (2016). Sevcovic, Daniel ; Stehlikova, Beata ; Buckova, Zuzana . In: Papers. RePEc:arx:papers:1607.04968.

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2016APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL. (2016). Muchorski, Rafa ; Daniluk, Andrzej . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:03:p:1650017-01-1650017-32.

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2016Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective. (2016). Homem-De, Tito ; Pagnoncelli, Bernardo K. In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:1:p:188-199.

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2016Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. (2016). Cozma, Andrei ; Reisinger, Christoph . In: Papers. RePEc:arx:papers:1501.06084.

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2016An adjoint method for the exact calibration of Stochastic Local Volatility models. (2016). Wyns, Maarten ; In, Karel . In: Papers. RePEc:arx:papers:1609.00232.

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2016A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models. (2016). Wyns, Maarten ; du Toit, Jacques . In: Papers. RePEc:arx:papers:1611.02961.

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2016The pricing of lookback options and binomial approximation. (2016). Heuwelyckx, Fabien ; Grosse-Erdmann, Karl . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:39:y:2016:i:1:d:10.1007_s10203-016-0171-7.

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2016ALGORITHMIC TRADING WITH LEARNING. (2016). Kinzebulatov, Damir ; Cartea, Alvaro ; Jaimungal, Sebastian . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650028-01-1650028-30.

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2016On the optimal investment. (2016). Fajardo, José ; Corcuera, Jose Manuel ; Pamen, Olivier Menouken . In: MPRA Paper. RePEc:pra:mprapa:71901.

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2016A recursive algorithm for multivariate risk measures and a set-valued Bellmans principle. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1508.02367.

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2016A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility. (2016). Liu, Wei-Han . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:351-362.

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2016CONIC PORTFOLIO THEORY. (2016). Madan, Dilip B. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:03:p:1650019-01-1650019-42.

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2016The exact discretisation of CARMA models with applications in finance. (2016). Thornton, Michael ; Chambers, Marcus. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:739-761.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Multivariate Mixed Tempered Stable Distribution. (2016). Mercuri, Lorenzo ; Hubalek, Friedrich ; Hitaj, Asmerilda ; Rroji, Edit . In: Papers. RePEc:arx:papers:1609.00926.

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2016Numerical analysis of an extended structural default model with mutual liabilities and jump risk. (2016). Lipton, Alexander ; Kaushansky, Vadim ; Reisinger, Christoph . In: Papers. RePEc:arx:papers:1701.00030.

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2016Economically Consistent Valuations and Put-Call Parity. (2016). Herdegen, Martin ; Schweizer, Martin . In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1602.

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2016Hedging insurance books. (2016). Schoutens, Wim ; Carr, Peter ; Madan, Dilip B ; Melamed, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:364-372.

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2016Adapted hedging. (2016). Madan, Dilip B. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:3:d:10.1007_s10436-016-0282-8.

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2016PRICING COVARIANCE SWAPS FOR BARNDORFF–NIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS. (2016). Habtemicael, Semere ; Sengupta, Indranil . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:03:p:1650012-01-1650012-32.

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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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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). Escobar Anel, Marcos ; Zagst, Rudi ; Neykova, Daniela . 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). Rudloff, Birgit ; Feinstein, Zachary . In: Papers. RePEc:arx:papers:1212.5563.

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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). Pallavicini, Andrea ; Brigo, Damiano. 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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