International Journal of Theoretical and Applied Finance (IJTAF)

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.09 1997 0.21 0 0 0 0.08 1998 0.25 0 0 0 0.1 1999 0.32 0 0 0 0.15 2000 0.43 0 0 0 0.19 2001 0.41 0 0 0 0.17 2002 0.44 0 0 0 0.2 2003 0.47 0 0 0 0.22 2004 0.52 0 0 0 0.23 2005 0.56 55 17 0 0 1 0.02 0.25 2006 0.02 0.57 63 12 55 1 0 1 0.02 0.24 2007 0.05 0.48 62 6 118 6 0 0.22
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in 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 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:	Immediacy Index:
Documents published:	Citations received:

Most cited documents in this series:

(1) RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:185-197 PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES (2006).
Cited: 4 times.

(2) RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:839-869 A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK (2005).
Cited: 4 times.

(3) RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:537-551 VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS (2005).
Cited: 3 times.

(4) RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:273-306 ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS (2007).
Cited: 2 times.

(5) RePEc:wsi:ijtafx:v:08:y:2005:i:03:p:301-319 OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET (2005).
Cited: 2 times.

(6) RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:915-949 PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES (2006).
Cited: 2 times.

(7) RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:87-106 A SHOT NOISE MODEL FOR FINANCIAL ASSETS (2008).
Cited: 2 times.

(8) RePEc:wsi:ijtafx:v:08:y:2005:i:04:p:523-536 A NOTE ON ASSET BUBBLES IN CONTINUOUS-TIME (2005).
Cited: 1 times.

(9) RePEc:wsi:ijtafx:v:11:y:2008:i:05:p:503-528 MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES (2008).
Cited: 1 times.

(10) RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1085-1106 IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS (2005).
Cited: 1 times.

(11) RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:325-343 EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS (2008).
Cited: 1 times.

(12) RePEc:wsi:ijtafx:v:08:y:2005:i:02:p:161-184 AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING (2005).
Cited: 1 times.

(13) RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:555-576 A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH (2006).
Cited: 1 times.

(14) RePEc:wsi:ijtafx:v:10:y:2007:i:07:p:1203-1227 CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA (2007).
Cited: 1 times.

(15) RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:517-532 PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES (2006).
Cited: 1 times.

(16) RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:363-387 VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS (2007).
Cited: 1 times.

(17) RePEc:wsi:ijtafx:v:09:y:2006:i:03:p:415-453 PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY (2006).
Cited: 1 times.

(18) RePEc:wsi:ijtafx:v:11:y:2008:i:06:p:611-634 PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008).
Cited: 1 times.

(19) RePEc:wsi:ijtafx:v:08:y:2005:i:03:p:381-392 LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING (2005).
Cited: 1 times.

(20) RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:203-233 STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION (2007).
Cited: 1 times.

(21) RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1135-1155 THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY (2005).
Cited: 1 times.

(22) RePEc:wsi:ijtafx:v:11:y:2008:i:05:p:415-445 SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS (2008).
Cited: 1 times.

(23) RePEc:wsi:ijtafx:v:08:y:2005:i:02:p:255-281 PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE (2005).
Cited: 1 times.

(24) RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:825-841 OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING (2006).
Cited: 1 times.

(25) RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:933-946 EXPERTS EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION (2005).
Cited: 1 times.

(26) RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:533-553 PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD (2006).
Cited: 1 times.

(27) RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:717-735 AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL (2005).
Cited: 1 times.

(28) RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:607-631 CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES (2007).
Cited: 1 times.

(29) RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:455-481 MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (2006).
Cited: 1 times.

(30) RePEc:wsi:ijtafx:v:12:y:2009:i:03:p:393-425 THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES (2009).
Cited: 1 times.

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

Recent citations received in: 2006

(1) RePEc:hum:wpaper:sfb649dp2006-051 Regression methods in pricing American and Bermudan options using consumption processes (2006). Sonderforschungsbereich 649, Humboldt University, Berlin, Germany / SFB 649 Discussion Papers

Recent citations received in: 2005

(1) RePEc:upf:upfgen:880 A Note on the Malliavin differentiability of the Heston Volatility (2005). Department of Economics and Business, Universitat Pompeu Fabra / Economics Working Papers

Recent citations received in: 2004

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Source data used to compute the impact factor of RePEc series.