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Citation Profile [Updated: 2019-09-04 10:18:12]
5 Years H
13
Impact Factor
0.46
5 Years IF
0.44
Data available in this report

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

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.1 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.1 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.11 0 0 0 0 0 0 0 0 0 0 0.04
1995 0 0.19 0 0 0 0 0 0 0 0 0 0 0.07
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1997 0 0.26 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.27 0 0 27 27 43 0 0 0 0 0 0.1
1999 0 0.31 0 0 22 49 17 0 27 27 0 0 0.13
2000 0 0.38 0 0 79 128 124 0 49 49 0 0 0.15
2001 0 0.39 0.03 0.01 43 171 47 5 5 101 128 1 4 80 2 0.05 0.14
2002 0.03 0.4 0.03 0.04 44 215 61 6 11 122 4 171 6 1 16.7 0 0.17
2003 0.03 0.42 0.02 0.03 45 260 26 6 17 87 3 215 6 1 16.7 0 0.18
2004 0.04 0.47 0.04 0.04 52 312 69 12 30 89 4 233 9 1 8.3 2 0.04 0.19
2005 0.02 0.51 0.04 0.03 55 367 90 14 45 97 2 263 9 0 1 0.02 0.2
2006 0.03 0.5 0.02 0.02 63 430 86 10 55 107 3 239 4 2 20 0 0.2
2007 0.08 0.44 0.05 0.04 62 492 47 25 80 118 9 259 11 2 8 0 0.17
2008 0.06 0.47 0.05 0.06 40 532 77 27 107 125 7 277 18 0 1 0.03 0.19
2009 0.04 0.49 0.04 0.04 54 586 54 24 131 102 4 272 11 0 0 0.19
2010 0.04 0.46 0.05 0.07 55 641 50 32 163 94 4 274 18 0 0 0.16
2011 0.05 0.48 0.04 0.04 55 696 86 25 189 109 5 274 12 0 1 0.02 0.19
2012 0.14 0.51 0.04 0.07 60 756 101 34 223 110 15 266 18 0 1 0.02 0.19
2013 0.03 0.58 0.03 0.04 51 807 70 27 250 115 4 264 10 1 3.7 0 0.2
2014 0.14 0.58 0.08 0.11 55 862 62 66 316 111 15 275 31 3 4.5 0 0.19
2015 0.08 0.59 0.08 0.08 56 918 70 74 390 106 9 276 21 8 10.8 2 0.04 0.19
2016 0.17 0.64 0.15 0.17 55 973 61 145 535 111 19 277 48 43 29.7 7 0.13 0.19
2017 0.14 0.66 0.16 0.15 56 1029 29 168 703 111 15 277 42 47 28 8 0.14 0.2
2018 0.46 0.89 0.4 0.44 59 1088 9 432 1135 111 51 273 121 47 10.9 2 0.03 0.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12000VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS. (2000). Lux, Thomas ; Marchesi, Michele . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000826.

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43
22000CRASHES AS CRITICAL POINTS. (2000). Johansen, Anders ; Sornette, Didier ; Ledoit, Olivier. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:02:n:s0219024900000115.

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24
32002AMERICAN OPTIONS WITH REGIME SWITCHING. (2002). Buffington, John ; Elliott, Robert J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:05:y:2002:i:05:n:s0219024902001523.

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20
42006THE 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:n:s0219024906003445.

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17
52013A MATHEMATICAL APPROACH TO ORDER BOOK MODELING. (2013). Abergel, Frederic ; Jedidi, Aymen . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:05:n:s0219024913500258.

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17
62011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME. (2011). Cheridito, Patrick ; Kupper, Michael. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:01:n:s0219024911006292.

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15
72008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). Rachev, Svetlozar ; BIGLOVA, ALMIRA ; Fabozzi, Frank J ; Stoyanov, Stoyan ; Ortobelli, Sergio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:n:s0219024908004713.

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15
82011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK. (2011). Gatheral, Jim ; Schied, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:n:s0219024911006577.

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15
92005THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY. (2005). Ortobelli, Sergio ; BIGLOVA, ALMIRA ; Fabozzi, Frank J ; Stoyanov, Stoyan ; Rachev, Svetlozar T. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:n:s0219024905003402.

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15
101998Insider Trading in a Continuous Time Market Model. (1998). GRORUD, AXEL ; Pontier, Monique. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:03:n:s0219024998000199.

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15
112015OPTIMAL 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:n:s021902491550020x.

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15
122000RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS. (2000). Laloux, Laurent ; Bouchaud, Jean-Philippe ; Potters, Marc ; Cizeau, Pierre . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000255.

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14
132000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES. (2000). Boyarchenko, Svetlana ; Levendorski, Sergei Z. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000541.

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14
142007THE 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:n:s0219024907004184.

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13
152008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS. (2008). Broadie, Mark ; Jain, Ashish. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:08:n:s0219024908005032.

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12
161998Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility. (1998). Derman, Emanuel ; Kani, Iraj. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:01:n:s0219024998000059.

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11
172002PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL. (2002). Platen, Eckhard ; Heath, David. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:05:y:2002:i:07:n:s0219024902001729.

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11
182001ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS. (2001). GRORUD, AXEL ; Pontier, Monique. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:02:n:s0219024901000961.

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11
192011HEDGING (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:n:s0219024911006784.

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11
202012A 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:n:s0219024912500227.

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11
212005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION. (2005). CHEKHLOV, ALEXEI ; Zabarankin, Michael ; Uryasev, Stanislav. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:01:n:s0219024905002767.

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11
222004THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE. (2004). Linetsky, Vadim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002451.

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11
232012STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS. (2012). Amini, Hamed ; Minca, Andreea ; Cont, Rama. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:n:s0219024911006504.

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10
242006THE 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:n:s0219024906003974.

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10
252005VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS. (2005). SADEFO, Jules. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003104.

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9
262010EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL. (2010). Benhamou, Eric ; Miri, M ; Gobet, E. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:04:n:s0219024910005887.

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9
272012PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS. (2012). Frey, Rudiger ; Wunderlich, Ralf ; Gabih, Abdelali. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:n:s0219024911006486.

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9
282005THE 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:n:s0219024905003372.

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8
292013COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS. (2013). Bielecki, Tomasz R ; IYIGUNLER, ISMAIL ; Cialenco, Igor. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:02:n:s021902491350009x.

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8
302008EQUILIBRIUM 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:n:s0219024908004828.

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8
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:n:s0219024913500374.

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7
322000AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE. (2000). Matacz, Andrew ; Bouchaud, Jean-Philippe. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000838.

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7
332010EFFICIENT, 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:n:s0219024910005668.

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7
342004PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES. (2004). Levendorski, S Z. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002463.

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7
352009COUNTERPARTY 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:n:s0219024909005567.

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7
362001WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS. (2001). Avellaneda, Marco ; Newman, Joshua ; Kruk, Lukasz ; Grandechamp, Nicolas ; Friedman, Craig ; Buff, Robert. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:01:n:s0219024901000882.

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7
372010MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. (2010). Madan, Dilip B ; Cherny, Alexander . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:n:s0219024910006157.

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7
382004CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS. (2004). Soofi, Abdol ; Wang, Shouyang ; Lu, Zudi ; Zhu, Hongquan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:02:n:s0219024904002414.

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6
392006PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES. (2006). Fajardo, José ; Mordecki, Ernesto. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:02:n:s0219024906003536.

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6
402014AN 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:n:s0219024914500125.

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6
412004ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM. (2004). Sepp, Artur . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:02:n:s0219024904002402.

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6
422012EXACT SIMULATION OF THE 3/2 MODEL. (2012). Baldeaux, Jan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:05:n:s021902491250032x.

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6
431998Minimum-Relative-Entropy Calibration of Asset-Pricing Models. (1998). Avellaneda, Marco. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:04:n:s0219024998000242.

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6
442007VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING. (2007). Zhu, Yingzi ; Zhang, Jin E. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:01:n:s0219024907004123.

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6
452008A 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:n:s0219024908004701.

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6
462014HEAT KERNEL MODELS FOR ASSET PRICING. (2014). Macrina, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:07:n:s0219024914500484.

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6
472005ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC. (2005). Bayraktar, Erhan ; Poor, Vincent H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:03:n:s0219024905003037.

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6
482006A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH. (2006). Ceci, Claudia ; Gerardi, Anna . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:04:n:s0219024906003676.

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6
492016LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION. (2016). Caccioli, Fabio ; Still, Susanne ; Marsili, Matteo ; Kondor, Imre. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:05:n:s0219024916500357.

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6
502004AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES. (2004). Kalotay, Andrew ; Fabozzi, Frank J ; Yang, Deane . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:08:n:s0219024904002785.

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6
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12000VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS. (2000). Lux, Thomas ; Marchesi, Michele . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000826.

Full description at Econpapers || Download paper

30
22000CRASHES AS CRITICAL POINTS. (2000). Johansen, Anders ; Sornette, Didier ; Ledoit, Olivier. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:02:n:s0219024900000115.

Full description at Econpapers || Download paper

19
32015OPTIMAL 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:n:s021902491550020x.

Full description at Econpapers || Download paper

12
42002AMERICAN OPTIONS WITH REGIME SWITCHING. (2002). Buffington, John ; Elliott, Robert J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:05:y:2002:i:05:n:s0219024902001523.

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11
52013A MATHEMATICAL APPROACH TO ORDER BOOK MODELING. (2013). Abergel, Frederic ; Jedidi, Aymen . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:05:n:s0219024913500258.

Full description at Econpapers || Download paper

10
62008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS. (2008). Broadie, Mark ; Jain, Ashish. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:08:n:s0219024908005032.

Full description at Econpapers || Download paper

9
72005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION. (2005). CHEKHLOV, ALEXEI ; Zabarankin, Michael ; Uryasev, Stanislav. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:01:n:s0219024905002767.

Full description at Econpapers || Download paper

9
82011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK. (2011). Gatheral, Jim ; Schied, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:n:s0219024911006577.

Full description at Econpapers || Download paper

8
92013COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS. (2013). Bielecki, Tomasz R ; IYIGUNLER, ISMAIL ; Cialenco, Igor. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:02:n:s021902491350009x.

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8
102012PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS. (2012). Frey, Rudiger ; Wunderlich, Ralf ; Gabih, Abdelali. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:n:s0219024911006486.

Full description at Econpapers || Download paper

8
112000RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS. (2000). Laloux, Laurent ; Bouchaud, Jean-Philippe ; Potters, Marc ; Cizeau, Pierre . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000255.

Full description at Econpapers || Download paper

8
122006THE 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:n:s0219024906003974.

Full description at Econpapers || Download paper

8
131998Insider Trading in a Continuous Time Market Model. (1998). GRORUD, AXEL ; Pontier, Monique. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:03:n:s0219024998000199.

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7
142000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES. (2000). Boyarchenko, Svetlana ; Levendorski, Sergei Z. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000541.

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152012A 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:n:s0219024912500227.

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162004THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE. (2004). Linetsky, Vadim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002451.

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172007THE 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:n:s0219024907004184.

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182011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME. (2011). Cheridito, Patrick ; Kupper, Michael. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:01:n:s0219024911006292.

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192001WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS. (2001). Avellaneda, Marco ; Newman, Joshua ; Kruk, Lukasz ; Grandechamp, Nicolas ; Friedman, Craig ; Buff, Robert. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:01:n:s0219024901000882.

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202010MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. (2010). Madan, Dilip B ; Cherny, Alexander . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:n:s0219024910006157.

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5
212011MAXIMUM DRAWDOWN INSURANCE. (2011). Carr, Peter ; Hadjiliadis, Olympia ; Zhang, Hongzhong. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:08:n:s0219024911006826.

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222014HEAT KERNEL MODELS FOR ASSET PRICING. (2014). Macrina, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:07:n:s0219024914500484.

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232013RESILIENT 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:n:s0219024913500374.

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242008A 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:n:s0219024908004701.

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252009COUNTERPARTY 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:n:s0219024909005567.

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262014AN 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:n:s0219024914500125.

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272009PRICING AND HEDGING IN CARBON EMISSIONS MARKETS. (2009). Etin, Umut ; Verschuere, Michel . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s0219024909005531.

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282016MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS. (2016). Lipton, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:06:n:s0219024916500345.

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292008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). Rachev, Svetlozar ; BIGLOVA, ALMIRA ; Fabozzi, Frank J ; Stoyanov, Stoyan ; Ortobelli, Sergio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:n:s0219024908004713.

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302016LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION. (2016). Caccioli, Fabio ; Still, Susanne ; Marsili, Matteo ; Kondor, Imre. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:05:n:s0219024916500357.

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312004AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES. (2004). Kalotay, Andrew ; Fabozzi, Frank J ; Yang, Deane . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:08:n:s0219024904002785.

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321998Minimum-Relative-Entropy Calibration of Asset-Pricing Models. (1998). Avellaneda, Marco. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:04:n:s0219024998000242.

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332001ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS. (2001). GRORUD, AXEL ; Pontier, Monique. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:02:n:s0219024901000961.

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342004ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM. (2004). Sepp, Artur . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:02:n:s0219024904002402.

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352015COUPLED NETWORK APPROACH TO PREDICTABILITY OF FINANCIAL MARKET RETURNS AND NEWS SENTIMENTS. (2015). Curme, Chester ; Vodenska, Irena ; Stanley, Eugene H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500430.

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362007VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING. (2007). Zhu, Yingzi ; Zhang, Jin E. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:01:n:s0219024907004123.

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372016ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS. (2016). Cartea, Álvaro ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:06:n:s0219024916500382.

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382014CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM. (2014). Tassinari, Gian Luca ; Bianchi, Michele Leonardo. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:04:n:s021902491450023x.

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392004PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES. (2004). Levendorski, S Z. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002463.

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402008PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES. (2008). Frey, Rudiger ; BACKHAUS, JOCHEN. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:06:n:s0219024908004956.

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412005VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS. (2005). SADEFO, Jules. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003104.

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422011DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS. (2011). Boyarchenko, Svetlana. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:07:n:s0219024911006620.

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432014A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS. (2014). O'DONOGHUE, BRENDAN ; Capriotti, Luca ; LEE, JACKY ; PEACOCK, MATTHEW . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:03:n:s0219024914500174.

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442004CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS. (2004). Soofi, Abdol ; Wang, Shouyang ; Lu, Zudi ; Zhu, Hongquan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:02:n:s0219024904002414.

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452015AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:05:n:s0219024915500326.

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462017TIGHTER BOUNDS FOR IMPLIED VOLATILITY. (2017). Gatheral, Jim ; Stefanica, Dan ; Radoii, Rado ; Mati, Ivan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500352.

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472017WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS. (2017). Vrins, Frederic. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500455.

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482016PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATIONS LEVEL OF MEAN REVERSION. (2016). Lee, Sang Min ; Papanicolaou, Andrew. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:08:n:s0219024916500540.

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492016ALGORITHMIC TRADING WITH LEARNING. (2016). Cartea, Álvaro ; Kinzebulatov, Damir ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:n:s021902491650028x.

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502008LONG-RANGE DEPENDENCE IN EXCHANGE RATES: THE CASE OF THE EUROPEAN MONETARY SYSTEM. (2008). Tabak, Benjamin ; Cajueiro, Daniel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:02:n:s0219024908004774.

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Citing documents used to compute impact factor: 51
YearTitle
2018Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Altay, Suhan ; Eksi, Zehra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1704.06697.

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2018TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE. (2018). Cartea, Alvaro ; Ricci, Jason ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500255.

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2018
2018Transition probability of Brownian motion in the octant and its application to default modeling. (2018). Kaushansky, Vadim ; Reisinger, Christoph ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1801.00362.

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2018Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary. (2018). Lipton, Alexander ; Reisinger, Christoph ; Kaushansky, Vadim. In: Papers. RePEc:arx:papers:1808.05311.

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2018On the Normality of Negative Interest Rates. (2018). Grasselli, Matheus R ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1808.07909.

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2018The Broad Consequences of Narrow Banking. (2018). Grasselli, Matheus R ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1810.05689.

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2018Robust pricing–hedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9.

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2018CONIC CPPIs. (2018). Marquet, Ine ; Schoutens, Wim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500127.

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2018A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL. (2018). Wagalath, Lakshithe ; Zubelli, Jorge P. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500103.

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2018Valuation of power plants. (2018). Ernstsen, Rune Ramsdal ; Boomsma, Trine Krogh. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:3:p:1153-1174.

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2018Portfolio similarity and asset liquidation in the insurance industry. (2018). Pelizzon, Loriana ; Nikolova, Stanislava (Stas) ; Getmansky, Mila ; Hanley, Kathleen Weiss ; Girardi, Giulio . In: SAFE Working Paper Series. RePEc:zbw:safewp:224.

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2018Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models. (2018). Arai, Takuji ; Nakashima, Ryo ; Imai, Yuto. In: Papers. RePEc:arx:papers:1801.05597.

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2018
2018
2018An analysis of the Solvency II regulatory framework’s Smith-Wilson model for the term structure of risk-free interest rates. (2018). Jorgensen, Peter Lochte . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:219-237.

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2018PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS. (2018). Hess, Markus. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500310.

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2018Agent-based model of system-wide implications of funding risk. (2018). Halaj, Grzegorz ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20182121.

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2018OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY. (2018). Bernard, Carole ; Ye, Jiang ; Vanduffel, Steven. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500139.

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2018Dirichlet Forms and Finite Element Methods for the SABR Model. (2018). Horvath, Blanka ; Reichmann, Oleg . In: Papers. RePEc:arx:papers:1801.02719.

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2018General Compound Hawkes Processes in Limit Order Books. (2018). Swishchuk, Anatoliy ; Huffman, Aiden. In: Papers. RePEc:arx:papers:1812.02298.

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2018A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. (2018). Grishchenko, Olesya ; Nistor, Victor ; Han, Xiao. In: Papers. RePEc:arx:papers:1812.09904.

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2018An exact and explicit implied volatility inversion formula. (2018). Xia, Yuxuan ; Cui, Zhenyu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500329.

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2018Technical Uncertainty in Real Options with Learning. (2018). Al-Aradi, Ali ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1803.05831.

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2018CVA and vulnerable options pricing by correlation expansions. (2018). Antonelli, Fabio ; Scarlatti, Sergio ; Ramponi, Alessandro. In: Papers. RePEc:arx:papers:1811.07294.

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2018Backward SDEs for Control with Partial Information. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1807.08222.

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2018Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model. (2018). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea . In: Papers. RePEc:arx:papers:1809.05328.

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2018Epidemics of liquidity shortages in interbank markets. (2018). Di Clemente, Riccardo ; Cimini, Giulio ; Brandi, Giuseppe . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:255-267.

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2018BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY. (2018). Hurd, T R. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500401.

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2018Dynamic correlations at different time-scales with empirical mode decomposition. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:534-544.

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2018Stock market as temporal network. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1104-1112.

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2018Financial time series forecasting using empirical mode decomposition and support vector regression. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, Tiziana. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:91028.

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2018A First Option Calibration of the GARCH Diffusion Model by a PDE Method. (2018). Papadopoulos, Yiannis A ; Lewis, Alan L. In: Papers. RePEc:arx:papers:1801.06141.

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2018CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE”. (2018). Frahm, Gabriel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918920012.

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2018An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles. (2018). Jarrow, Robert. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:08:y:2018:i:02:n:s2010139218500052.

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2018DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION. (2018). Schweizer, Martin ; Iki, Mario ; Zivoi, Danijel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500115.

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2018SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations. (2018). Boyarchenko, Svetlana ; Levendorskiui, Sergei. In: Papers. RePEc:arx:papers:1808.05295.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2018Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1803.11467.

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2018Optimal Timing to Trade Along a Randomized Brownian Bridge. (2018). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1801.00372.

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2018Market Making via Reinforcement Learning. (2018). Spooner, Thomas ; Koukorinis, Andreas ; Savani, Rahul ; Fearnley, John. In: Papers. RePEc:arx:papers:1804.04216.

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2018Trading Cointegrated Assets with Price Impact. (2018). Cartea, Alvaro ; Jaimungal, Sebastian ; Gan, Luhui. In: Papers. RePEc:arx:papers:1807.01428.

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2018A risk-neutral equilibrium leading to uncertain volatility pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0356-8.

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2018Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR. (2018). Schweizer, Martin ; Balint, Daniel Agoston. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1823.

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2018Semi‐efficient valuations and put‐call parity. (2018). Schweizer, Martin ; Herdegen, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:4:p:1061-1106.

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2018Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. (2018). Bianchi, Michele Leonardo ; Tassinari, Gian Luca. In: Papers. RePEc:arx:papers:1805.05584.

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2018Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management. (2018). , Marcel ; Oosterlee, Cornelis W. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:67-:d:177971.

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2018A subordinated CIR intensity model with application to Wrong-Way risk CVA. (2018). Mbaye, Cheikh ; Fr'ed'eric Vrins, . In: Papers. RePEc:arx:papers:1801.05673.

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2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (2018). Brigo, Damiano ; Vrins, Frederic. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164.

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2018
Recent citations
Recent citations received in 2018

YearCiting document
2018VIX-linked fees for GMWBs via explicit solution simulation methods. (2018). Kouritzin, Michael A ; MacKay, Anne. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:1-17.

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2018MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS. (2018). Arguin, Louis-Pierre ; Wang, Tai-Ho ; Liu, Nien-Lin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500292.

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Recent citations received in 2017

YearCiting document
2017Robust pricing--hedging duality for American options in discrete time financial markets. (2017). Deng, Shuoqing ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1604.05517.

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2017Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation. (2017). di Tella, Paolo ; Keller-Ressel, Martin ; Haubold, Martin . In: Papers. RePEc:arx:papers:1709.05527.

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2017Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1711.07335.

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2017Compound Hawkes Processes in Limit Order Books. (2017). Swishchuk, Anatoliy ; Chavez-Casillas, Jonathan ; Elliott, Robert ; Remillard, Bruno. In: Papers. RePEc:arx:papers:1712.03106.

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2017Efficient simulation of clustering jumps with CIR intensity. (2017). Dassios, Angelos ; Zhao, Hongbiao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:74205.

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2017Pólya-based approximation for the ATM-forward implied volatility. (2017). Mati, Ivan ; Stefanica, Dan ; Radoii, Rado. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500323.

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2017TIGHTER BOUNDS FOR IMPLIED VOLATILITY. (2017). Gatheral, Jim ; Stefanica, Dan ; Radoii, Rado ; Mati, Ivan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500352.

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2017AN EXPLICIT IMPLIED VOLATILITY FORMULA. (2017). Stefanica, Dan ; Radoii, Rado. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500480.

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Recent citations received in 2016

YearCiting document
2016Feedback effects and endogenous risk in financial markets. (2016). Wagalath, Lakshithe. In: Finance. RePEc:cai:finpug:fina_372_0039.

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2016Replica approach to mean-variance portfolio optimization. (2016). Varga-Haszonits, Istvan ; Kondor, Imre ; Caccioli, Fabio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68955.

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2016Probability of Default and Default Correlations. (2016). Li, Weiping. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:7-:d:73405.

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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:n:s2010495216500123.

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2016Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets. (2016). Habtemicael, Semere ; Sengupta, Indranil. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:04:n:s2424786316500274.

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2016SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS. (2016). Crisafi, Alessandra M ; Macrina, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:08:n:s0219024916500552.

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Recent citations received in 2015

YearCiting document
2015Option pricing and hedging with execution costs and market impact. (2015). Gueant, Olivier ; Pu, Jiang. In: Post-Print. RePEc:hal:journl:hal-01393124.

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

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