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

Citation Profile [Updated: 2023-01-07 21:26:51]

5 Years H Index

Impact Factor (IF)

0.36

5 Years IF

0.37

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
1998	0	0.28	0.11	0	27	27	208	3	3	0		0			0	3	0.11	0.13
1999	0.26	0.3	0.18	0.26	22	49	119	9	12	27	7	27	7		0		0	0.15
2000	0.22	0.35	0.14	0.22	79	128	635	18	30	49	11	49	11		0	3	0.04	0.16
2001	0.09	0.38	0.12	0.09	43	171	210	19	51	101	9	128	12	4	21.1	3	0.07	0.17
2002	0.14	0.41	0.14	0.15	44	215	273	30	81	122	17	171	25	2	6.7	2	0.05	0.21
2003	0.17	0.44	0.15	0.17	45	260	151	40	121	87	15	215	36	1	2.5	2	0.04	0.22
2004	0.15	0.49	0.21	0.21	52	312	243	65	187	89	13	233	49	1	1.5	7	0.13	0.22
2005	0.16	0.5	0.24	0.23	55	367	301	87	276	97	16	263	60		0	3	0.05	0.23
2006	0.16	0.5	0.18	0.18	63	430	247	76	352	107	17	239	44	2	2.6	1	0.02	0.23
2007	0.19	0.46	0.21	0.15	62	492	191	100	455	118	22	259	38	2	2		0	0.2
2008	0.15	0.49	0.22	0.21	40	532	345	117	572	125	19	277	57		0	5	0.13	0.23
2009	0.21	0.47	0.22	0.18	54	586	306	130	702	102	21	272	48		0	3	0.06	0.23
2010	0.27	0.48	0.21	0.26	55	641	210	137	839	94	25	274	70		0	2	0.04	0.21
2011	0.28	0.52	0.22	0.24	55	696	342	151	993	109	30	274	66		0	5	0.09	0.24
2012	0.31	0.51	0.31	0.34	60	756	349	234	1227	110	34	266	90		0	10	0.17	0.22
2013	0.43	0.56	0.27	0.35	51	807	224	221	1448	115	49	264	92	1	0.5	6	0.12	0.24
2014	0.44	0.55	0.39	0.47	55	862	181	332	1780	111	49	275	128	3	0.9	2	0.04	0.23
2015	0.31	0.55	0.33	0.38	56	918	198	305	2085	106	33	276	106	8	2.6	5	0.09	0.23
2016	0.41	0.53	0.47	0.55	55	973	190	457	2542	111	45	277	153	45	9.8	16	0.29	0.21
2017	0.37	0.55	0.4	0.38	56	1029	118	414	2956	111	41	277	106	49	11.8	10	0.18	0.21
2018	0.52	0.57	0.5	0.51	59	1088	79	539	3495	111	58	273	138	48	8.9	2	0.03	0.24
2019	0.3	0.6	0.43	0.37	57	1145	77	496	3991	115	35	281	104	45	9.1	9	0.16	0.24
2020	0.35	0.73	0.45	0.43	55	1200	47	539	4530	116	41	283	121	14	2.6	5	0.09	0.34
2021	0.36	1.02	0.38	0.37	30	1230	19	470	5000	112	40	282	104		0	5	0.17	0.38

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years 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	252
2	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	119
3	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	110
4	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	83
5	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	70
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	64
7	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	58
8	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	57
9	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	53
10	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	52
11	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	51
12	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	50
13	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	49
14	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	45
15	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	43
16	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	40
17	2009	SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL. (2009). Jacquier, Antoine ; Forde, Martin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:06:n:s021902490900549x. Full description at Econpapers \|\| Download paper	39
18	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	36
19	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	35
20	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	34
21	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	33
22	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	32
23	2012	A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD. (2012). Takahashi, Akihiko ; Toda, Masashi ; Takehara, Kohta . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:06:n:s0219024912500446. Full description at Econpapers \|\| Download paper	32
24	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	31
25	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	30
26	2012	ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME. (2012). Fujii, Masaaki ; Takahashi, Akihiko. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:05:n:s0219024912500343. Full description at Econpapers \|\| Download paper	30
27	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	29
28	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	29
29	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	29
30	2003	Backward Stochastic PDE and Imperfect Hedging. (2003). Mania, M ; Tevzadze, R. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:06:y:2003:i:07:n:s0219024903002122. Full description at Econpapers \|\| Download paper	28
31	2001	BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY. (2001). Johansen, Anders ; Sornette, Didier. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:06:n:s0219024901001218. Full description at Econpapers \|\| Download paper	24
32	2013	ASYMPTOTICS FOR EXPONENTIAL LÃâ°VY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS. (2013). Andersen, Leif ; Lipton, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:01:n:s0219024913500015. Full description at Econpapers \|\| Download paper	24
33	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	24
34	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	24
35	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	24
36	2008	PRICING 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. Full description at Econpapers \|\| Download paper	23
37	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	23
38	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	23
39	2004	ANALYTICAL 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. Full description at Econpapers \|\| Download paper	22
40	2009	ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY. (2009). Roper, Michael ; Rutkowski, Marek. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:04:n:s0219024909005336. Full description at Econpapers \|\| Download paper	22
41	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	22
42	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	22
43	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	21
44	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	20
45	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	20
46	2004	MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX. (2004). Platen, Eckhard. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:04:n:s0219024904002499. Full description at Econpapers \|\| Download paper	20
47	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	20
48	2001	VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY. (2001). Skiadopoulos, George. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:03:n:s021902490100105x. Full description at Econpapers \|\| Download paper	19
49	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	19
50	2000	CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS. (2000). Lo, C F ; Hui, C H ; Yuen, P H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000814. Full description at Econpapers \|\| Download paper	19

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	47
2	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	34
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	27
4	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	25
5	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	22
6	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
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	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	15
9	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	14
10	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
11	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	12
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	12
13	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	12
14	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	11
15	2019	HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS. (2019). Garcin, Matthieu. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500249. Full description at Econpapers \|\| Download paper	11
16	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	11
17	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	10
18	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	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	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	10
21	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
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	10
23	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	10
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	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	8
26	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	8
27	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	8
28	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	8
29	2009	PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÃâ°VY-DRIVEN MODELS. (2009). BOYARCHENKO, MITYA ; Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:08:n:s0219024909005610. Full description at Econpapers \|\| Download paper	8
30	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	8
31	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	8
32	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	8
33	2009	THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET. (2009). Fenn, Daniel J ; Johnson, Neil F ; Williams, Stacy ; McDonald, Mark ; Howison, Sam D. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:08:n:s0219024909005609. Full description at Econpapers \|\| Download paper	7
34	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	7
35	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	7
36	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	7
37	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	7
38	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	7
39	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	7
40	2018		7
41	2018	BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS. (2018). Neufeld, Ariel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:08:n:s0219024918500516. Full description at Econpapers \|\| Download paper	6
42	2017	EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT. (2017). Sass, Jorn ; Wunderlich, Ralf ; Westphal, Dorothee. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500224. Full description at Econpapers \|\| Download paper	6
43	2004	THE 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. Full description at Econpapers \|\| Download paper	6
44	2014	METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES. (2014). Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:05:n:s0219024914500332. Full description at Econpapers \|\| Download paper	6
45	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
46	2014	AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION. (2014). Lo, Chia Chun ; Skindilias, Konstantinos. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:07:n:s0219024914500472. Full description at Econpapers \|\| Download paper	6
47	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
48	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	6
49	2015	WEAK 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. Full description at Econpapers \|\| Download paper	6
50	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	6

Citing documents used to compute impact factor: 40

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2021	Accuracies of Model Risks in Finance using Machine Learning. (2021). SADEFO, Jules ; Fadugba, Jeremiah ; Osei, Salomey ; Kamdem, Jules Sadefo ; Mpinda, Berthine Nyunga. In: Working Papers. RePEc:hal:wpaper:hal-03191437. Full description at Econpapers \|\| Download paper
2021	The Relationship Between the Financial Performance of Banks and the Quality of Credit Scoring Models. (2021). Anpilogov, Vadim ; Masyutin, Aleksey ; Tikhonov, Roman. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:80:y:2021:i:2:p:76-95. Full description at Econpapers \|\| Download paper
2021	Trading Signals In VIX Futures. (2021). Wang, G ; Papanicolaou, A ; Li, T N ; Avellaneda, M. In: Papers. RePEc:arx:papers:2103.02016. Full description at Econpapers \|\| Download paper
2021	The value of power-related options under spectrally negative LÃ©vy processes. (2021). Aguilar, Jean-Philippe. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09174-0. Full description at Econpapers \|\| Download paper
2021	Cryptocurrencies and the Future of Money. (2021). Lipton, Alexander ; Grasselli, Matheus R. In: Papers. RePEc:arx:papers:2109.10177. Full description at Econpapers \|\| Download paper
2021	Optimal management of pumped hydroelectric production with state constrained optimal control. (2021). Vargiolu, Tiziano ; Picarelli, Athena. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:126:y:2021:i:c:s0165188920301081. Full description at Econpapers \|\| Download paper
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2021	Multivariate tempered stable additive subordination for financial models. (2021). Semeraro, Patrizia. In: Papers. RePEc:arx:papers:2105.00844. Full description at Econpapers \|\| Download paper
2021	On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731. Full description at Econpapers \|\| Download paper
2021	SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738. Full description at Econpapers \|\| Download paper
2021	Bayesian estimation and likelihood-based comparison of agent-based volatility models. (2021). Mozzhorin, Iurii ; Bertschinger, Nils. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:1:d:10.1007_s11403-020-00289-z. Full description at Econpapers \|\| Download paper
2021	Model-free price bounds under dynamic option trading. (2021). Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2101.01024. Full description at Econpapers \|\| Download paper
2021	Weak transport for non?convex costs and model?independence in a fixed?income market. (2021). Pammer, Gudmund ; Beiglbock, Mathias ; Acciaio, Beatrice. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1423-1453. Full description at Econpapers \|\| Download paper
2021	Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557. Full description at Econpapers \|\| Download paper
2021	Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough). (2021). Grasselli, Martino ; Callegaro, Giorgia ; Paees, Gilles. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:46:y:2021:i:1:p:221-254. Full description at Econpapers \|\| Download paper
2021	Variance and volatility swaps valuations with the stochastic liquidity risk. (2021). Huang, Nan-Jing ; Kang, Jian-Hao ; Yang, Ben-Zhang ; Xu, De-Xuan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309778. Full description at Econpapers \|\| Download paper
2021	First-to-default and second-to-default options in models with various information flows. (2021). Jeanblanc, Monique ; Gapeev, Pavel V. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:110750. Full description at Econpapers \|\| Download paper
2021	A closed formula for illiquid corporate bonds and an application to the European market. (2021). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000020. Full description at Econpapers \|\| Download paper
2021	Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727. Full description at Econpapers \|\| Download paper
2021	Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Working Papers. RePEc:hal:wpaper:hal-02903655. Full description at Econpapers \|\| Download paper
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2021	Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822. Full description at Econpapers \|\| Download paper
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140. Full description at Econpapers \|\| Download paper
2021	Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167. Full description at Econpapers \|\| Download paper
2021	Cryptocurrency Market Consolidation in 2020--2021. (2021). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2112.06552. Full description at Econpapers \|\| Download paper
2021	Portfolio Optimization with Sparse Multivariate Modelling. (2021). Aste, Tomaso ; Procacci, Pier Francesco. In: Papers. RePEc:arx:papers:2103.15232. Full description at Econpapers \|\| Download paper
2021	Combined multiplicativeâHeston model for stochastic volatility. (2021). Serota, R A ; Moghaddam, Dashti M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:561:y:2021:i:c:s0378437120306671. Full description at Econpapers \|\| Download paper
2021	How Much Do Negative Probabilities Matter in Option Pricing?: A Case of a Lattice-Based Approach for Stochastic Volatility Models. (2021). Chung, San-Lin ; Miao, Daniel Wei-Chung ; Tseng, Chung-Li ; Shih, Pai-Ta. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:241-:d:565725. Full description at Econpapers \|\| Download paper
2021	Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428. Full description at Econpapers \|\| Download paper
2021	A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918. Full description at Econpapers \|\| Download paper
2021	A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Feron, Olivier ; Deschatre, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881. Full description at Econpapers \|\| Download paper
2021	A 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. Full description at Econpapers \|\| Download paper
2021	Set-Valued Dynamic Risk Measures for Processes and Vectors. (2021). Feinstein, Zachary ; Chen, Yanhong. In: Papers. RePEc:arx:papers:2103.00905. Full description at Econpapers \|\| Download paper
2021	The Variance Gamma++ Process and Applications to Energy Markets. (2021). E, ; P., ; M., . In: Papers. RePEc:arx:papers:2106.15452. Full description at Econpapers \|\| Download paper
2021	Correlating LÃ©vy processes with self-decomposability: applications to energy markets. (2021). Gardini, Matteo ; Sasso, Emanuela ; Sabino, Piergiacomo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00352-9. Full description at Econpapers \|\| Download paper
2021	The term structure of the VXX option smirk: Pricing VXX option with a two?factor model and asymmetry jumps. (2021). Zhang, Zili ; Zhao, Xuejun ; Li, Shenghong ; Lin, Wei ; Wang, Chengxiang ; Tan, Xiaoyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:439-457. Full description at Econpapers \|\| Download paper
2021	Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis. (2021). Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan. In: Papers. RePEc:arx:papers:2106.09128. Full description at Econpapers \|\| Download paper
2021	Pricing Product Options and Using Them to Complete Markets for Functions of Two Underlying Asset Prices. (2021). Wang, King ; Madan, Dilip B. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:355-:d:608072. Full description at Econpapers \|\| Download paper
2021	Time-consistency of optimal investment under smooth ambiguity. (2021). Mahayni, Antje ; Balter, Anne G ; Schweizer, Nikolaus. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:643-657. Full description at Econpapers \|\| Download paper
2021	LÃ©vy interest rate models with a long memory. (2021). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021020. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2021

Year	Citing document
2021	Capital growth and survival strategies in a market with endogenous prices. (2021). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2101.09777. Full description at Econpapers \|\| Download paper
2021	Robustness and sensitivity analyses for rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan. In: Papers. RePEc:arx:papers:2107.12462. Full description at Econpapers \|\| Download paper
2021	Asymptotically optimal strategies in a diffusion approximation of a repeated betting game. (2021). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2108.11998. Full description at Econpapers \|\| Download paper
2021	Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models. (2021). Hu, Dongdong ; He, Kai ; Abudurexiti, Nuerxiati ; Sun, Ruoyu ; Sayit, Hasanjan ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2111.04311. Full description at Econpapers \|\| Download paper
2021	AumannâSerrano index of risk in portfolio optimization. (2021). Fan, QI ; Kim, Young Shin ; Li, Tiantian ; Zhu, Fumin. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:94:y:2021:i:2:d:10.1007_s00186-021-00753-x. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	Finite Mixture Approximation of CARMA(p,q) Models. (2020). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Papers. RePEc:arx:papers:2005.10130. Full description at Econpapers \|\| Download paper
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	Intraday Electricity Pricing of Night Contracts. (2020). Paraschiv, Florentina ; Kiesel, Rudiger ; Kremer, Marcel. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:17:p:4501-:d:406944. Full description at Econpapers \|\| Download paper
2020	Modeling Multivariate Financial Series and Computing Risk Measures via GramâCharlier-Like Expansions. (2020). Zoia, Maria ; Vacca, Gianmarco ; Barbieri, Laura. 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	Static and semi-static hedging as contrarian or conformist bets. (2019). Boyarchenko, Svetlana ; Levendorskii, Sergei. In: Papers. RePEc:arx:papers:1902.02854. Full description at Econpapers \|\| Download paper
2019	On the consistency of jump-diffusion dynamics for FX rates under inversion. (2019). Pallavicini, Andrea ; Brigo, Damiano ; Graceffa, Federico. In: Papers. RePEc:arx:papers:1905.05310. Full description at Econpapers \|\| Download paper
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	Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models. (2019). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:1912.06948. 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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	80	923
2	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	29	156
3	Physica A: Statistical Mechanics and its Applications / Elsevier	70	95
4	Finance and Stochastics / Springer	51	65
5	European Journal of Operational Research / Elsevier	121	54
6	Working Papers / HAL	56	50
7	Annals of Operations Research / Springer	46	48
8	Stochastic Processes and their Applications / Elsevier	44	47
9	Risks / MDPI	15	47
10			44
11	Mathematical Finance / Wiley Blackwell	67	39