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

Citation Profile [Updated: 2022-01-09 21:43:50]

5 Years H

Impact Factor

0.33

5 Years IF

0.4

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	0.09	0	0	0	0	0		0	0		0			0		0	0.04
1991	0	0.08	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	0.12	0	0	0	0	0		0	0		0			0		0	0.06
1995	0	0.19	0	0	0	0	0		0	0		0			0		0	0.08
1996	0	0.22	0	0	0	0	0		0	0		0			0		0	0.1
1997	0	0.22	0	0	0	0	0		0	0		0			0		0	0.09
1998	0	0.26	0	0	27	27	84		0	0		0			0		0	0.12
1999	0	0.27	0	0	22	49	37		0	27		27			0		0	0.13
2000	0.02	0.32	0.01	0.02	79	128	304	1	1	49	1	49	1		0		0	0.14
2001	0	0.35	0.04	0.01	43	171	73	5	7	101		128	1	4	80	2	0.05	0.15
2002	0.03	0.37	0.04	0.04	44	215	120	9	16	122	4	171	7	1	11.1	1	0.02	0.19
2003	0.05	0.4	0.03	0.03	45	260	47	7	23	87	4	215	7	1	14.3		0	0.19
2004	0.06	0.44	0.05	0.06	52	312	120	16	40	89	5	233	13	1	6.3	2	0.04	0.2
2005	0.02	0.45	0.06	0.05	55	367	161	21	62	97	2	263	13		0	1	0.02	0.21
2006	0.04	0.46	0.04	0.03	63	430	142	17	79	107	4	239	8	2	11.8	1	0.02	0.2
2007	0.08	0.42	0.06	0.05	62	492	103	30	110	118	10	259	12	2	6.7		0	0.18
2008	0.06	0.44	0.06	0.07	40	532	164	30	140	125	8	277	19		0	1	0.03	0.2
2009	0.05	0.43	0.06	0.06	54	586	135	34	174	102	5	272	15		0		0	0.21
2010	0.09	0.43	0.08	0.09	55	641	92	49	223	94	8	274	26		0	1	0.02	0.18
2011	0.08	0.45	0.06	0.07	55	696	168	39	263	109	9	274	19		0	1	0.02	0.2
2012	0.15	0.45	0.07	0.09	60	756	165	53	316	110	16	266	23		0	1	0.02	0.19
2013	0.03	0.5	0.05	0.05	51	807	131	42	358	115	4	264	13	1	2.4		0	0.21
2014	0.14	0.51	0.1	0.14	55	862	125	88	446	111	16	275	38	3	3.4		0	0.2
2015	0.1	0.5	0.1	0.08	56	918	138	90	536	106	11	276	23	8	8.9	2	0.04	0.19
2016	0.18	0.5	0.18	0.19	55	973	149	174	710	111	20	277	52	43	24.7	7	0.13	0.18
2017	0.15	0.5	0.19	0.17	56	1029	85	193	903	111	17	277	46	47	24.4	9	0.16	0.18
2018	0.48	0.54	0.43	0.46	59	1088	66	469	1372	111	53	273	125	47	10	2	0.03	0.21
2019	0.26	0.58	0.39	0.32	57	1145	44	448	1820	115	30	281	91	45	10	6	0.11	0.21
2020	0.33	0.75	0.42	0.4	55	1200	21	498	2318	116	38	283	114	14	2.8	3	0.05	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

#	Year	Title	Cited
1	2000	VOLATILITY 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	107
2	2000	RANDOM 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	55
3	2000	CRASHES 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	52
4	2002	AMERICAN 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. Full description at Econpapers \|\| Download paper	50
5	2011	OPTIMAL 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	36
6	2005	DRAWDOWN 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	32
7	2011	COMPOSITION 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. Full description at Econpapers \|\| Download paper	29
8	1998	Insider 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. Full description at Econpapers \|\| Download paper	29
9	2000	OPTION PRICING FOR TRUNCATED LÃâ°VY 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. Full description at Econpapers \|\| Download paper	27
10	2008	A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS. (2008). Semeraro, Patrizia. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:n:s0219024908004701. Full description at Econpapers \|\| Download paper	24
11	2008	THE 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	24
12	2015	OPTIMAL 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	24
13	2013	A 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	24
14	1998	Stochastic 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. Full description at Econpapers \|\| Download paper	23
15	2007	THE 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. Full description at Econpapers \|\| Download paper	22
16	2006	THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY. (2006). Abid, Fathi ; Naifar, Nader. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:01:n:s0219024906003445. Full description at Econpapers \|\| Download paper	22
17	2008	DESIRABLE 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. Full description at Econpapers \|\| Download paper	21
18	2012	A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS. (2012). Jarrow, Robert ; Protter, Philip. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:03:n:s0219024912500227. Full description at Econpapers \|\| Download paper	19
19	2008	MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES. (2008). Meyer-Brandis, Thilo ; Tankov, Peter. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:05:n:s0219024908004907. Full description at Econpapers \|\| Download paper	18
20	2007	VARIANCE 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. Full description at Econpapers \|\| Download paper	17
21	2013	COLLATERALIZED 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. Full description at Econpapers \|\| Download paper	17
22	2009	THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H ; Kang, Boda. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:n:s0219024909005270. Full description at Econpapers \|\| Download paper	17
23	2005	VALUE-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. Full description at Econpapers \|\| Download paper	17
24	2012	PORTFOLIO 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	16
25	2005	THE 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. Full description at Econpapers \|\| Download paper	16
26	2000	MEAN-REVERTING STOCHASTIC VOLATILITY. (2000). Fouque, Jean-Pierre ; Sircar, Ronnie K ; Papanicolaou, George . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:01:n:s0219024900000061. Full description at Econpapers \|\| Download paper	16
27	2004	THE 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. Full description at Econpapers \|\| Download paper	16
28	2006	THE 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	14
29	2001	ASYMMETRICAL 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. Full description at Econpapers \|\| Download paper	14
30	2012	STRESS 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. Full description at Econpapers \|\| Download paper	14
31	2016	PAIRS 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. Full description at Econpapers \|\| Download paper	13
32	2008	EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS. (2008). Filipovi, Damir ; Kupper, Michael. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:03:n:s0219024908004828. Full description at Econpapers \|\| Download paper	13
33	2011	HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS. (2011). Ielpo, Florian ; DA FONSECA, JosÃÆÃÂ© ; Grasselli, Martino. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006784. Full description at Econpapers \|\| Download paper	13
34	2009	COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION. (2009). Brigo, Damiano ; Chourdakis, Kyriakos. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s0219024909005567. Full description at Econpapers \|\| Download paper	13
35	2010	MARKETS 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. Full description at Econpapers \|\| Download paper	13
36	2002	LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES. (2002). Brigo, Damiano ; Mercurio, Fabio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:05:y:2002:i:04:n:s0219024902001511. Full description at Econpapers \|\| Download paper	13
37	2004	PRICING OF THE AMERICAN PUT UNDER LÃâ°VY 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. Full description at Econpapers \|\| Download paper	13
38	1998	Minimum-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. Full description at Econpapers \|\| Download paper	13
39	2002	PERFECT 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. Full description at Econpapers \|\| Download paper	13
40	2004	CAUSAL 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. Full description at Econpapers \|\| Download paper	11
41	2016	GENERALIZED BNÃ¢â¬âS STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING. (2016). Sengupta, Indranil. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:02:n:s021902491650014x. Full description at Econpapers \|\| Download paper	11
42	2006	A 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. Full description at Econpapers \|\| Download paper	11
43	2011	MAXIMUM 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. Full description at Econpapers \|\| Download paper	11
44	2011	ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Brigo, Damiano ; PAPATHEODOROU, VASILEIOS ; Pallavicini, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006759. Full description at Econpapers \|\| Download paper	11
45	2014	AN 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. Full description at Econpapers \|\| Download paper	11
46	2010	EXPANSION 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. Full description at Econpapers \|\| Download paper	11
47	2008	LONG-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. Full description at Econpapers \|\| Download paper	10
48	2016	MODERN 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. Full description at Econpapers \|\| Download paper	10
49	2001	WEIGHTED 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. Full description at Econpapers \|\| Download paper	10
50	2004	AN 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. Full description at Econpapers \|\| Download paper	10

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

#	Year	Title	Cited
1	2000	VOLATILITY 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	45
2	2000	RANDOM 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	36
3	2011	OPTIMAL 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	25
4	2002	AMERICAN 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. Full description at Econpapers \|\| Download paper	21
5	2000	CRASHES 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	21
6	2005	DRAWDOWN 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	21
7	2000	OPTION PRICING FOR TRUNCATED LÃâ°VY 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. Full description at Econpapers \|\| Download paper	16
8	2008	A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS. (2008). Semeraro, Patrizia. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:n:s0219024908004701. Full description at Econpapers \|\| Download paper	15
9	1998	Insider 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. Full description at Econpapers \|\| Download paper	14
10	2008	MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES. (2008). Meyer-Brandis, Thilo ; Tankov, Peter. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:05:n:s0219024908004907. Full description at Econpapers \|\| Download paper	13
11	2011	COMPOSITION 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. Full description at Econpapers \|\| Download paper	13
12	2008	THE 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	13
13	2015	OPTIMAL 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
14	2007	VARIANCE 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. Full description at Econpapers \|\| Download paper	12
15	2007	THE 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. Full description at Econpapers \|\| Download paper	11
16	2013	COLLATERALIZED 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. Full description at Econpapers \|\| Download paper	11
17	1998	Minimum-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. Full description at Econpapers \|\| Download paper	10
18	2014	THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION. (2014). van der Stoep, Anthonie W ; Oosterlee, Cornelis W ; Grzelak, Lech A. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:07:n:s0219024914500459. Full description at Econpapers \|\| Download paper	10
19	2012	A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS. (2012). Jarrow, Robert ; Protter, Philip. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:03:n:s0219024912500227. Full description at Econpapers \|\| Download paper	10
20	2016	PAIRS 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. Full description at Econpapers \|\| Download paper	9
21	2012	PORTFOLIO 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	9
22	2000	MEAN-REVERTING STOCHASTIC VOLATILITY. (2000). Fouque, Jean-Pierre ; Sircar, Ronnie K ; Papanicolaou, George . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:01:n:s0219024900000061. Full description at Econpapers \|\| Download paper	9
23	2016	GENERALIZED BNÃ¢â¬âS STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING. (2016). Sengupta, Indranil. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:02:n:s021902491650014x. Full description at Econpapers \|\| Download paper	9
24	2015	UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH. (2015). Jeanblanc, Monique ; Reveillac, Anthony ; Possamai, Dylan ; Mastrolia, Thibaut. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500454. Full description at Econpapers \|\| Download paper	9
25	2013	A 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	9
26	1998	Stochastic 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. Full description at Econpapers \|\| Download paper	9
27	2014	AN 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. Full description at Econpapers \|\| Download paper	8
28	2016	RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL. (2016). Bianchi, Michele Leonardo ; Fabozzi, Frank J ; Tassinari, Gian Luca. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:n:s0219024916500278. Full description at Econpapers \|\| Download paper	8
29	2006	A 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. Full description at Econpapers \|\| Download paper	8
30	2009	COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION. (2009). Brigo, Damiano ; Chourdakis, Kyriakos. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s0219024909005567. Full description at Econpapers \|\| Download paper	7
31	2009	THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H ; Kang, Boda. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:n:s0219024909005270. Full description at Econpapers \|\| Download paper	7
32	2014	EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL. (2014). Buryak, Alexander ; Guo, Ivan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:06:n:s0219024914500368. Full description at Econpapers \|\| Download paper	7
33	2001	WEIGHTED 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. Full description at Econpapers \|\| Download paper	7
34	2018		7
35	2010	MARKETS 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. Full description at Econpapers \|\| Download paper	7
36	2005	VALUE-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. Full description at Econpapers \|\| Download paper	7
37	2013	EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS. (2013). Boyarchenko, Svetlana ; Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:03:n:s0219024913500118. Full description at Econpapers \|\| Download paper	6
38	2004	ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS. (2004). Bayraktar, Erhan ; Sircar, Ronnie K ; Poor, Vincent H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:05:n:s021902490400258x. Full description at Econpapers \|\| Download paper	6
39	2006	OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM. (2006). Stabile, Gabriele. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:02:n:s0219024906003524. Full description at Econpapers \|\| Download paper	6
40	2016	MODERN 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. Full description at Econpapers \|\| Download paper	6
41	2011	DOUBLE 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. Full description at Econpapers \|\| Download paper	6
42	2014	EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK. (2014). , Cornelis ; Oosterlee, Cornelis W ; Kandhai, Drona ; Feng, Qian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:04:n:s0219024914500241. Full description at Econpapers \|\| Download paper	6
43	2016	PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSIONS SPEED. (2016). Schmeck, Maren Diane . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:08:n:s0219024916500539. Full description at Econpapers \|\| Download paper	6
44	2018	XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS. (2018). Abbas-Turki, Lokman A ; Diallo, Babacar ; Crepey, Stephane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500309. Full description at Econpapers \|\| Download paper	6
45	2019	RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION. (2019). Radoii, Rado ; Gatheral, Jim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500109. Full description at Econpapers \|\| Download paper	6
46	2017	GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS. (2017). Swishchuk, Anatoliy ; Schmidt, Julia ; Cera, Katharina ; Hofmeister, Tyler . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:03:n:s0219024917500194. Full description at Econpapers \|\| Download paper	6
47	2010	MODERN 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:n:s021902491000570x. Full description at Econpapers \|\| Download paper	6
48	1999	THE ENTROPY THEORY OF STOCK OPTION PRICING. (1999). Gulko, Les. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:02:y:1999:i:03:n:s0219024999000182. Full description at Econpapers \|\| Download paper	6
49	2018	BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO. (2018). Okhrin, Yarema ; Mazur, Stepan ; Bodnar, Taras ; Bauder, David. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:08:n:s0219024918500541. Full description at Econpapers \|\| Download paper	6
50	2011	ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Brigo, Damiano ; PAPATHEODOROU, VASILEIOS ; Pallavicini, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006759. Full description at Econpapers \|\| Download paper	6

Citing documents used to compute impact factor: 38

Year	Title
2020	BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES. (2020). MacKay, Anne ; Kouritzin, Michael A. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:01:n:s021902492050003x. Full description at Econpapers \|\| Download paper
2020	. Full description at Econpapers \|\| Download paper
2020	Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. (2020). Warin, Xavier ; Pimentel, Isaque ; Gobet, Emmanuel. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00428-1. Full description at Econpapers \|\| Download paper
2020	Skewing Quanto with Simplicity. (2020). Hong, George. In: Papers. RePEc:arx:papers:2009.02566. Full description at Econpapers \|\| Download paper
2020	Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248. Full description at Econpapers \|\| Download paper
2020	Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation. (2020). Saporito, Yuri F. In: Papers. RePEc:arx:papers:2005.04297. Full description at Econpapers \|\| Download paper
2020	Risk Measures Estimation Under Wasserstein Barycenter. (2020). Caro-Lopera, Francisco J ; Loubes, Jean-Michel ; Arias-Serna, Andrea M. In: Papers. RePEc:arx:papers:2008.05824. Full description at Econpapers \|\| Download paper
2020	XVA Analysis From the Balance Sheet. (2020). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2009.00368. Full description at Econpapers \|\| Download paper
2020	Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Reisinger, Christoph ; Picarelli, Athena ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:07/2020. Full description at Econpapers \|\| Download paper
2020	Efficient Solutions for Pricing and Hedging Interest Rate Asian Options. (). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan . In: Working Papers Series. RePEc:bcb:wpaper:513. Full description at Econpapers \|\| Download paper
2020	Optimal semi-static hedging in illiquid markets. (2020). Rakwongwan, Udomsak ; Pennanen, Teemu. In: Papers. RePEc:arx:papers:2008.01463. Full description at Econpapers \|\| Download paper
2020	Pricing arithmetic Asian options under jump diffusion CIR processes. (2020). Jang, Jiwook ; Park, Jong Jun. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612318305099. Full description at Econpapers \|\| Download paper
2020	Trading multiple mean reversion. (2020). Muravey, D ; Boguslavsky, M ; Boguslavskaya, E. In: Papers. RePEc:arx:papers:2009.09816. Full description at Econpapers \|\| Download paper
2020	Implicit Incentives for Fund Managers with Partial Information. (2020). Colaneri, Katia ; Angelini, Flavio ; Nicolosi, Marco ; Herzel, Stefano. In: Papers. RePEc:arx:papers:2011.07871. Full description at Econpapers \|\| Download paper
2020	Affine term structure models : a time-changed approach with perfect fit to market curves. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1903.04211. Full description at Econpapers \|\| Download paper
2020	On Calibration Neural Networks for extracting implied information from American options. (2020). Oosterlee, Cornelis W ; Borovykh, Anastasia ; 'Alvaro Leitao, ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2001.11786. Full description at Econpapers \|\| Download paper
2020	A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints. (2020). Bouveret, Geraldine ; Picarelli, Athena. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:3:d:10.1007_s10957-020-01724-8. Full description at Econpapers \|\| Download paper
2020	Pricing with Variance Gamma Information. (2020). , Leandro ; Hughston, Lane P. In: Papers. RePEc:arx:papers:2003.07967. Full description at Econpapers \|\| Download paper
2020	Pricing with Variance Gamma Information. (2020). Sanchez-Betancourt, Leandro ; Hughston, Lane P. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:105-:d:425852. Full description at Econpapers \|\| Download paper
2020	On the mean and variance of the estimated tangency portfolio weights for small samples. (2020). Mazur, Stepan ; Alfelt, Gustav. In: Working Papers. RePEc:hhs:oruesi:2020_008. Full description at Econpapers \|\| Download paper
2020	Statistical Inference for the Tangency Portfolio in High Dimension. (2020). Karlsson, Sune ; Muhinyuza, Stanislas ; Mazur, Stepan. In: Working Papers. RePEc:hhs:oruesi:2020_010. Full description at Econpapers \|\| Download paper
2020	An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2020). Mazur, Stepan ; Gulliksson, Mrten. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09943-6. Full description at Econpapers \|\| Download paper
2020	Al\`os type decomposition formula for Barndorff-Nielsen and Shephard model. (2020). Arai, Takuji. In: Papers. RePEc:arx:papers:2005.07393. Full description at Econpapers \|\| Download paper
2020	A decomposition formula for fractional Heston jump diffusion models. (2020). Ortiz-Latorre, Salvador ; Lagunas-Merino, Marc. In: Papers. RePEc:arx:papers:2007.14328. Full description at Econpapers \|\| Download paper
2020	Pathwise superhedging on prediction sets. (2020). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00412-4. Full description at Econpapers \|\| Download paper
2020	Market delay and G-expectations. (2020). Dolinsky, Yan ; Zouari, Jonathan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:2:p:694-707. Full description at Econpapers \|\| Download paper
2020	On non-linear dependence of multivariate subordinated LÃÂ©vy processes. (2020). Marena, Marina ; Semeraro, P ; di Nardo, E. In: Statistics & Probability Letters. RePEc:eee:stapro:v:166:y:2020:i:c:s0167715220301735. Full description at Econpapers \|\| Download paper
2020	An overall view of key problems in algorithmic trading and recent progress. (2020). Karpe, Michael. In: Papers. RePEc:arx:papers:2006.05515. Full description at Econpapers \|\| Download paper
2020	Static and semistatic hedging as contrarian or conformist bets. (2020). Boyarchenko, Svetlana ; Levendorski, Sergei. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:921-960. Full description at Econpapers \|\| Download paper
2020	Adapted Wasserstein distances and stability in mathematical finance. (2020). Eder, Manu ; Beiglbock, Mathias ; Bartl, Daniel ; Backhoff-Veraguas, Julio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00426-3. Full description at Econpapers \|\| Download paper
2020	The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. (2020). Rosenbaum, Mathieu ; Jusselin, Paul ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2001.01789. Full description at Econpapers \|\| Download paper
2020	Mean-variance-utility portfolio selection with time and state dependent risk aversion. (2020). He, Xin-Jiang ; Yang, Ben-Zhang ; Zhu, Song-Ping. In: Papers. RePEc:arx:papers:2007.06510. Full description at Econpapers \|\| Download paper
2020	Continuous time mean-variance-utility portfolio problem and its equilibrium strategy. (2020). Zhu, Song-Ping ; He, Xin-Jiang ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:2005.06782. Full description at Econpapers \|\| Download paper
2020	Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. (2020). Yang, Ben-Zhang ; Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:1:d:10.1007_s10957-020-01687-w. Full description at Econpapers \|\| Download paper
2020	Maximum likelihood drift estimation for a threshold diffusion. (2020). Pigato, Paolo ; Lejay, Antoine. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:609-637. Full description at Econpapers \|\| Download paper
2020	CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS. (2020). Jeanblanc, Monique ; Gapeev, Pavel V. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500107. Full description at Econpapers \|\| Download paper
2020	The evolving topology of the Lightning Network: Centralization, efficiency, robustness, synchronization, and anonymity. (2020). Flori, Andrea ; Martinazzi, Stefano. In: PLOS ONE. RePEc:plo:pone00:0225966. Full description at Econpapers \|\| Download paper
2020	The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U process. (2020). Xu, Xiao. In: Papers. RePEc:arx:papers:2005.10661. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2020

Year	Citing document
2020	Equilibrium price in intraday electricity markets. (2020). Cosso, Andrea ; Ren'e Aid, ; Pham, Huyen. In: Papers. RePEc:arx:papers:2010.09285. Full description at Econpapers \|\| Download paper
2020	Option Pricing Incorporating Factor Dynamics in Complete Markets. (2020). Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2011.08343. Full description at Econpapers \|\| Download paper
2020	Modeling Multivariate Financial Series and Computing Risk Measures via GramâCharlier-Like Expansions. (2020). Barbieri, Laura ; Vacca, Gianmarco ; Zoia, Maria Grazia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:123-:d:445689. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	Latency and Liquidity Risk. (2019). , Leandro ; Jaimungal, Sebastian ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:1908.03281. Full description at Econpapers \|\| Download paper
2019	Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery. (2019). Soleymani, Fazlollah ; Itkin, Andrey. In: Papers. RePEc:arx:papers:1912.08713. Full description at Econpapers \|\| Download paper
2019	Two frameworks for pricing defaultable derivatives. (2019). Kounchev, Ognyan ; Zaevski, Tsvetelin S ; Savov, Mladen . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:123:y:2019:i:c:p:309-319. Full description at Econpapers \|\| Download paper
2019	News and subjective beliefs: A Bayesian approach to Bitcoin investments. (2019). Flori, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:336-356. Full description at Econpapers \|\| Download paper
2019	Fractal analysis of the multifractality of foreign exchange rates. (2019). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-02283915. Full description at Econpapers \|\| Download paper
2019	Extreme at-the-money skew in a local volatility model. (2019). Pigato, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00406-2. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	VIX-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. Full description at Econpapers \|\| Download paper
2018	MOST-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. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Robust pricing--hedging duality for American options in discrete time financial markets. (2017). Deng, Shuoqing ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1604.05517. Full description at Econpapers \|\| Download paper
2017	Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation. (2017). Keller-Ressel, Martin ; Haubold, Martin ; di Tella, Paolo . In: Papers. RePEc:arx:papers:1709.05527. Full description at Econpapers \|\| Download paper
2017	Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1711.07335. Full description at Econpapers \|\| Download paper
2017	Compound Hawkes Processes in Limit Order Books. (2017). Chavez-Casillas, Jonathan ; Elliott, Robert ; Remillard, Bruno ; Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1712.03106. Full description at Econpapers \|\| Download paper
2017	Efficient simulation of clustering jumps with CIR intensity. (2017). Zhao, Hongbiao ; Dassios, Angelos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:74205. Full description at Econpapers \|\| Download paper
2017	Efficient Simulation of Clustering Jumps with CIR Intensity. (2017). Zhao, Hongbiao ; Dassios, Angelos. In: Operations Research. RePEc:inm:oropre:v:65:y:2017:i:6:p:1494-1515. Full description at Econpapers \|\| Download paper
2017	PÃÂ³lya-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. Full description at Econpapers \|\| Download paper
2017	TIGHTER 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. Full description at Econpapers \|\| Download paper
2017	AN 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. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	65	617
2	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	18	196
3	Physica A: Statistical Mechanics and its Applications / Elsevier	62	74
4	International Journal of Financial Engineering (IJFE) / World Scientific Publishing Co. Pte. Ltd.	7	48
5	European Journal of Operational Research / Elsevier	108	47
6	Annals of Operations Research / Springer	37	42
7	Finance and Stochastics / Springer	47	39
8	Risks / MDPI	11	36
9	Working Papers / HAL	39	34
10	Stochastic Processes and their Applications / Elsevier	36	32
11	Computational Economics / Springer	27	27