International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.
Citation Profile [Updated: 2024-03-05 07:42:34]
5 Years H Index
29
Impact Factor (IF)
0.23
5 Years IF
0.32
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]
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 2019 | 0.3 | 0.58 | 8.79 | 0.37 | 57 | 57 | 101 | 501 | 501 | 115 | 35 | 281 | 104 | 46 | 9.2 | 9 | 0.16 | 0.23 |
| 2020 | 0.37 | 0.7 | 4.82 | 0.43 | 55 | 112 | 67 | 540 | 1041 | 116 | 43 | 283 | 121 | 14 | 2.6 | 5 | 0.09 | 0.33 |
| 2021 | 0.36 | 0.84 | 3.34 | 0.36 | 30 | 142 | 26 | 474 | 1515 | 112 | 40 | 282 | 102 | 0 | 3 | 0.1 | 0.31 | |
| 2022 | 0.39 | 0.93 | 2.34 | 0.35 | 36 | 178 | 9 | 417 | 1932 | 85 | 33 | 257 | 91 | 0 | 3 | 0.08 | 0.28 | |
| 2023 | 0.23 | 1.04 | 2.19 | 0.32 | 19 | 197 | 0 | 431 | 2363 | 66 | 15 | 237 | 76 | 0 | 0 | 0.28 |
| 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 | 267 |
| 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 | 187 |
| 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 | 123 |
| 4 | 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 | 100 |
| 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 | 95 |
| 6 | 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 | 79 |
| 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 | 63 |
| 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 | 60 |
| 9 | 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 | 58 |
| 10 | 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 | 56 |
| 11 | 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 | 54 |
| 12 | 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 |
| 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 | 52 |
| 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 | 51 |
| 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 | 46 |
| 16 | 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 | 42 |
| 17 | 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 | 42 |
| 18 | 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 |
| 19 | 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 | 38 |
| 20 | 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 | 36 |
| 21 | 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 |
| 22 | 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 | 35 |
| 23 | 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 | 33 |
| 24 | 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 | 33 |
| 25 | 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 | 32 |
| 26 | 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 |
| 27 | 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 | 31 |
| 28 | 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 |
| 29 | 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 | 30 |
| 30 | 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 | 29 |
| 31 | 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 |
| 32 | 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 | 28 |
| 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 | 28 |
| 34 | 2000 | FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS. (2000). Matacz, Andrew. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:01:n:s0219024900000073. Full description at Econpapers || Download paper | 27 |
| 35 | 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 | 26 |
| 36 | 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 | 26 |
| 37 | 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 | 25 |
| 38 | 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 | 25 |
| 39 | 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 | 25 |
| 40 | 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 | 25 |
| 41 | 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 | 24 |
| 42 | 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 | 23 |
| 43 | 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 |
| 44 | 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 |
| 45 | 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 | 22 |
| 46 | 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 | 22 |
| 47 | 1999 | NEURAL NETWORKS FOR TECHNICAL ANALYSIS: A STUDY ON KLCI. (1999). Yao, Jingtao ; Poh, Hean-Lee ; Tan, Chew Lim . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:02:y:1999:i:02:n:s0219024999000145. Full description at Econpapers || Download paper | 21 |
| 48 | 2003 | A CLOSER LOOK AT THE EPPS EFFECT. (2003). Reno, Roberto. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:06:y:2003:i:01:n:s0219024903001839. Full description at Econpapers || Download paper | 21 |
| 49 | 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 | 21 |
| 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 | 21 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 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 | 28 |
| 2 | 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 | 20 |
| 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 | 18 |
| 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 | 18 |
| 5 | 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 | 18 |
| 6 | 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 | 15 |
| 7 | 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 | 12 |
| 8 | 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 | 11 |
| 9 | 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 | 9 |
| 10 | 2019 | OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT. (2019). Lorig, Matthew ; Barger, Weston. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:02:n:s0219024918500590. Full description at Econpapers || Download paper | 8 |
| 11 | 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 | 8 |
| 12 | 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 | 7 |
| 13 | 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 |
| 14 | 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 | 7 |
| 15 | 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 | 6 |
| 16 | 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 |
| 17 | 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 |
| 18 | 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 | 6 |
| 19 | 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 | 6 |
| 20 | 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 | 6 |
| 21 | 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 |
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| 23 | 2012 | EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL. (2012). Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:07:n:s0219024912500501. Full description at Econpapers || Download paper | 6 |
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| 25 | 2019 | SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS. (2019). Boyarchenko, Svetlana ; Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500110. Full description at Econpapers || Download paper | 5 |
| 26 | 2019 | SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS. (2019). Jourdain, Benjamin ; Corbetta, Jacopo ; Alfonsi, Aurelien. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s021902491950002x. Full description at Econpapers || Download paper | 5 |
| 27 | 1999 | NEURAL NETWORKS FOR TECHNICAL ANALYSIS: A STUDY ON KLCI. (1999). Yao, Jingtao ; Poh, Hean-Lee ; Tan, Chew Lim . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:02:y:1999:i:02:n:s0219024999000145. Full description at Econpapers || Download paper | 5 |
| 28 | 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 | 5 |
| 29 | 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 | 5 |
| 30 | 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 | 5 |
| 31 | 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 | 5 |
| 32 | 2021 | DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS. (2021). Merino, Raul ; Vives, Josep ; Sottinen, Tommi ; Sobotka, Toma ; Pospiil, Jan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:24:y:2021:i:02:n:s0219024921500084. Full description at Econpapers || Download paper | 5 |
| 33 | 2001 | MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS. (2001). Konno, Hiroshi ; Wijayanayake, Annista. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:06:n:s0219024901001292. Full description at Econpapers || Download paper | 5 |
| 34 | 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 | 5 |
| 35 | 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 | 5 |
| 36 | 2010 | UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS. (2010). Kallsen, Jan ; Muhle-Karbe, Johannes. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:03:n:s0219024910005851. Full description at Econpapers || Download paper | 5 |
| 37 | 2020 | BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS. (2020). Bernard, Carole ; de Gennaro, Luca. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:08:n:s0219024920500508. Full description at Econpapers || Download paper | 5 |
| 38 | 2021 | CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS. (2021). Alos, E ; Scarlatti, S ; Ramponi, A ; Antonelli, F. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:24:y:2021:i:02:n:s0219024921500102. Full description at Econpapers || Download paper | 5 |
| 39 | 2009 | NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING. (2009). A. Q. M. KHALIQ, ; Liu, R H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:n:s0219024909005245. Full description at Econpapers || Download paper | 5 |
| 40 | 2017 | ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION. (2017). Cong, F ; Oosterlee, C W. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500492. Full description at Econpapers || Download paper | 5 |
| 41 | 2017 | FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET. (2017). Rachev, Svetlozar T ; Fabozzi, Frank J ; Stoyanov, Stoyan V. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500546. Full description at Econpapers || Download paper | 4 |
| 42 | 2020 | ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION. (2020). Vigna, Elena. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:06:n:s0219024920500429. Full description at Econpapers || Download paper | 4 |
| 43 | 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 | 4 |
| 44 | 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 | 4 |
| 45 | 2011 | ABSOLUTELY CONTINUOUS COMPENSATORS. (2011). Janson, Svante ; Protter, Philip. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:n:s0219024911006565. Full description at Econpapers || Download paper | 4 |
| 46 | 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 | 4 |
| 47 | 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 | 4 |
| 48 | 2019 | CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONS. (2019). Flori, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500201. Full description at Econpapers || Download paper | 4 |
| 49 | 2020 | MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS. (2020). Madan, Dilip B. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:06:n:s0219024920500417. Full description at Econpapers || Download paper | 4 |
| 50 | 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 | 4 |
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