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Citation Profile [Updated: 2021-06-02 06:34:26]
5 Years H
18
Impact Factor
0.35
5 Years IF
0.43
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 0.1
1998 0 0.26 0 0 27 27 77 0 0 0 0 0 0.12
1999 0 0.27 0 0 22 49 34 0 27 27 0 0 0.13
2000 0.02 0.32 0.01 0.02 79 128 270 1 1 49 1 49 1 0 0 0.14
2001 0 0.35 0.04 0.01 43 171 70 5 7 101 128 1 4 80 2 0.05 0.15
2002 0.03 0.37 0.04 0.04 44 215 104 8 15 122 4 171 7 1 12.5 0 0.19
2003 0.05 0.4 0.03 0.03 45 260 41 7 22 87 4 215 7 1 14.3 0 0.19
2004 0.06 0.44 0.05 0.06 52 312 111 16 39 89 5 233 13 1 6.3 2 0.04 0.2
2005 0.02 0.46 0.06 0.05 55 367 148 21 61 97 2 263 13 0 1 0.02 0.21
2006 0.04 0.46 0.04 0.03 63 430 135 17 78 107 4 239 8 2 11.8 1 0.02 0.21
2007 0.08 0.42 0.06 0.05 62 492 96 29 108 118 10 259 12 2 6.9 0 0.18
2008 0.06 0.44 0.06 0.07 40 532 150 30 138 125 8 277 19 0 1 0.03 0.2
2009 0.05 0.43 0.05 0.05 54 586 121 31 169 102 5 272 13 0 0 0.21
2010 0.07 0.43 0.07 0.09 55 641 86 46 215 94 7 274 24 0 1 0.02 0.18
2011 0.08 0.45 0.05 0.07 55 696 150 35 251 109 9 274 19 0 1 0.02 0.2
2012 0.14 0.45 0.07 0.08 60 756 155 50 301 110 15 266 21 0 1 0.02 0.19
2013 0.03 0.51 0.05 0.05 51 807 124 40 341 115 4 264 12 1 2.5 0 0.21
2014 0.14 0.52 0.09 0.13 55 862 112 80 421 111 16 275 36 3 3.8 0 0.2
2015 0.1 0.52 0.09 0.08 56 918 128 87 508 106 11 276 23 8 9.2 2 0.04 0.2
2016 0.18 0.51 0.17 0.18 55 973 136 165 673 111 20 277 49 43 26.1 7 0.13 0.18
2017 0.15 0.52 0.18 0.17 56 1029 77 190 863 111 17 277 46 47 24.7 9 0.16 0.19
2018 0.47 0.57 0.42 0.45 59 1088 56 457 1320 111 52 273 122 47 10.3 2 0.03 0.23
2019 0.26 0.63 0.39 0.34 57 1145 37 450 1770 115 30 281 96 45 10 6 0.11 0.23
2020 0.35 0.91 0.43 0.43 55 1200 10 511 2281 116 41 283 121 14 2.7 4 0.07 0.36
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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93
22000RANDOM 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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48
32000CRASHES 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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45
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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38
52011OPTIMAL 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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34
61998Insider 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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27
72011COMPOSITION 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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26
82000OPTION 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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24
92013A 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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24
102006THE 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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22
112008THE 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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22
122005DRAWDOWN 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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22
132015OPTIMAL 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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21
142008DESIRABLE 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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20
152008A 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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20
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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20
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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19
182012A 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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18
192008MULTI-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.

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17
202005VALUE-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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17
212013COLLATERALIZED 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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17
222005THE 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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16
232007VARIANCE 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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16
242009THE 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.

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16
252012PORTFOLIO 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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16
262004THE 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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15
272006THE 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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14
282000MEAN-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.

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14
291998Minimum-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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13
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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13
312012STRESS 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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13
322002PERFECT 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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13
332011HEDGING (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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13
342001ASYMMETRICAL 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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13
352016PAIRS 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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13
362009COUNTERPARTY 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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12
372004PRICING 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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12
382010MARKETS 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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12
392002LOGNORMAL-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.

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11
402016GENERALIZED BN–S 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.

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11
412006A 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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10
422008LONG-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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10
432014AN 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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10
442009A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES. (2009). Nguyen-Huu, Adrien ; Touzi, Nizar ; Campi, Luciano ; Aid, Rene. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s021902490900552x.

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10
452004CAUSAL 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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10
462001WEIGHTED 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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10
472010EXPANSION 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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10
482016MODERN 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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10
492000AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE. (2000). Bouchaud, Jean-Philippe ; Matacz, Andrew. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000838.

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9
502015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS. (2015). Fontana, Claudio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:01:n:s0219024915500053.

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9
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

37
22000RANDOM 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

29
32011OPTIMAL 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

23
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.

Full description at Econpapers || Download paper

16
52000CRASHES 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

15
62005DRAWDOWN 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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15
72000OPTION 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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13
81998Insider 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

12
92008A 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

12
102008MULTI-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

12
112013COLLATERALIZED 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
122008THE 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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11
132011COMPOSITION 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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142007VARIANCE 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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151998Minimum-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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162012A 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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172016GENERALIZED BN–S 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.

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182015OPTIMAL 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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192013A 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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202015UTILITY 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.

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212016PAIRS 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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222012PORTFOLIO 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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232014THE 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.

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242007THE 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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252016RIDING 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.

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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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272001WEIGHTED 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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282006A 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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292009COUNTERPARTY 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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302005VALUE-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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312000MEAN-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.

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322015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS. (2015). Fontana, Claudio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:01:n:s0219024915500053.

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332012UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS. (2012). Ceci, Claudia. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:06:n:s0219024912500409.

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342004ESTIMATING 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.

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352009THE 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.

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362005MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH. (2005). Cont, Rama. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:03:n:s0219024905003049.

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371999THE 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.

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382016MODERN 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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392006OPTIMAL 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.

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402011DOUBLE 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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411998Stochastic 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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422004THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS. (2004). Benth, Fred Espen ; Altyt-Benth, Jrat. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:02:n:s0219024904002360.

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432010MODERN 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.

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442010MARKETS 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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452013ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE. (2013). Monfort, Alain ; gourieroux, christian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:07:n:s0219024913500416.

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462018XVA 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.

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472014EFFECTIVE 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.

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482015CALIBRATION OF STOCHASTIC VOLATILITY MODELS VIA SECOND-ORDER APPROXIMATION: THE HESTON CASE. (2015). Alos, Elisa ; Vives, Josep ; de Santiago, Rafael . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:06:n:s0219024915500363.

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492009A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES. (2009). Nguyen-Huu, Adrien ; Touzi, Nizar ; Campi, Luciano ; Aid, Rene. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s021902490900552x.

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502011ARBITRAGE-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.

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Citing documents used to compute impact factor: 41
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2020BRANCHING 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.

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2020Option 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.

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2020Skewing Quanto with Simplicity. (2020). Hong, George. In: Papers. RePEc:arx:papers:2009.02566.

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2020Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248.

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2020Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation. (2020). Saporito, Yuri F. In: Papers. RePEc:arx:papers:2005.04297.

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2020Risk Measures Estimation Under Wasserstein Barycenter. (2020). Caro-Lopera, Francisco J ; Loubes, Jean-Michel ; Arias-Serna, Andrea M. In: Papers. RePEc:arx:papers:2008.05824.

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2020XVA Analysis From the Balance Sheet. (2020). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2009.00368.

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2020Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633.

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2020Deep 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.

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2020Optimal semi-static hedging in illiquid markets. (2020). Rakwongwan, Udomsak ; Pennanen, Teemu. In: Papers. RePEc:arx:papers:2008.01463.

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2020Pricing 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.

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2020Trading multiple mean reversion. (2020). Muravey, D ; Boguslavsky, M ; Boguslavskaya, E. In: Papers. RePEc:arx:papers:2009.09816.

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2020Implicit Incentives for Fund Managers with Partial Information. (2020). Colaneri, Katia ; Angelini, Flavio ; Nicolosi, Marco ; Herzel, Stefano. In: Papers. RePEc:arx:papers:2011.07871.

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2020Affine 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.

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2020On 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.

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Recent citations
Recent citations received in 2020

YearCiting document
2020Equilibrium price in intraday electricity markets. (2020). Cosso, Andrea ; Ren'e Aid, ; Pham, Huyen. In: Papers. RePEc:arx:papers:2010.09285.

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2020Option 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.

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2020A general framework for a joint calibration of VIX and VXX options. (2020). Mazzoran, Andrea ; Grasselli, Martino ; Pallavicini, Andrea. In: Papers. RePEc:arx:papers:2012.08353.

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2020Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-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.

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Recent citations received in 2019

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2019Latency and Liquidity Risk. (2019). , Leandro ; Jaimungal, Sebastian ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:1908.03281.

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Recent citations received in 2018

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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). Keller-Ressel, Martin ; Haubold, Martin ; di Tella, Paolo . 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). Chavez-Casillas, Jonathan ; Elliott, Robert ; Remillard, Bruno ; Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1712.03106.

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

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2017Efficient 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.

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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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