International Journal of Theoretical and Applied Finance (IJTAF)

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.08 1997 0.21 0 0 0 0.08 1998 0.22 0 0 0 0.1 1999 0.28 0 0 0 0.13 2000 0.37 0 0 0 0.16 2001 0.37 0 0 0 0.16 2002 0.41 0 0 0 0.19 2003 0.42 0 0 0 0.2 2004 0.47 0 0 0 0.21 2005 0.5 55 24 0 0 1 0.02 0.23 2006 0.02 0.51 63 22 55 1 0 1 0.02 0.22 2007 0.05 0.4 62 19 118 6 0 0.18 2008 0.05 0.42 40 13 125 6 0 1 0.03 0.21 2009 0.1 0.43 54 35 102 10 0 4 0.07 0.19
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:12:y:2009:i:07:p:1007-1026 COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009).
Cited: 15 times.

(2) RePEc:wsi:ijtafx:v:12:y:2009:i:06:p:861-876 SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009).
Cited: 5 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: 5 times.

(4) 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.

(5) RePEc:wsi:ijtafx:v:09:y:2006:i:01:p:23-42 THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY (2006).
Cited: 4 times.

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

(7) RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:733-748 JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS (2007).
Cited: 3 times.

(8) RePEc:wsi:ijtafx:v:12:y:2009:i:04:p:427-441 ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY (2009).
Cited: 3 times.

(9) RePEc:wsi:ijtafx:v:14:y:2011:i:01:p:137-162 COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME (2011).
Cited: 3 times.

(10) RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:517-534 HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS (2007).
Cited: 2 times.

(11) RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:455-481 MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (2006).
Cited: 2 times.

(12) RePEc:wsi:ijtafx:v:13:y:2010:i:01:p:1-43 EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL (2010).
Cited: 2 times.

(13) RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:807-838 PARTIAL INFORMATION AND HAZARD PROCESS (2005).
Cited: 2 times.

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

(15) 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.

(16) RePEc:wsi:ijtafx:v:12:y:2009:i:08:p:1213-1230 CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION (2009).
Cited: 2 times.

(17) RePEc:wsi:ijtafx:v:12:y:2009:i:01:p:45-62 A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS (2009).
Cited: 2 times.

(18) RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:633-652 STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS (2007).
Cited: 2 times.

(19) RePEc:wsi:ijtafx:v:13:y:2010:i:06:p:821-838 AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA (2010).
Cited: 2 times.

(20) RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:773-802 ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011).
Cited: 2 times.

(21) 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.

(22) 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.

(23) 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: 2 times.

(24) 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: 2 times.

(25) RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:933-946 EXPERTS EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION (2005).
Cited: 2 times.

(26) RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:325-343 EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS (2008).
Cited: 2 times.

(27) 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: 2 times.

(28) 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: 2 times.

(29) RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:825-841 OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING (2006).
Cited: 2 times.

(30) RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:1-12 BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH (2005).
Cited: 1 times.

(31) RePEc:wsi:ijtafx:v:13:y:2010:i:03:p:415-440 A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE (2010).
Cited: 1 times.

(32) RePEc:wsi:ijtafx:v:11:y:2008:i:02:p:163-197 A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING (2008).
Cited: 1 times.

(33) RePEc:wsi:ijtafx:v:14:y:2011:i:04:p:433-463 MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX (2011).
Cited: 1 times.

(34) RePEc:wsi:ijtafx:v:12:y:2009:i:02:p:179-207 PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH (2009).
Cited: 1 times.

(35) RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:51-88 PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE (2007).
Cited: 1 times.

(36) RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:949-967 PRICING AND HEDGING IN CARBON EMISSIONS MARKETS (2009).
Cited: 1 times.

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

(38) RePEc:wsi:ijtafx:v:10:y:2007:i:06:p:985-1014 UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET (2007).
Cited: 1 times.

(39) RePEc:wsi:ijtafx:v:13:y:2010:i:08:p:1149-1177 MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010).
Cited: 1 times.

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

(41) RePEc:wsi:ijtafx:v:09:y:2006:i:05:p:643-671 TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS (2006).
Cited: 1 times.

(42) RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:505-516 KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES (2007).
Cited: 1 times.

(43) RePEc:wsi:ijtafx:v:14:y:2011:i:03:p:353-368 OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011).
Cited: 1 times.

(44) 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.

(45) RePEc:wsi:ijtafx:v:12:y:2009:i:01:p:83-112 CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION (2009).
Cited: 1 times.

(46) RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:111-127 VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (2007).
Cited: 1 times.

(47) RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:901-924 FORWARD AND FUTURES PRICES WITH BUBBLES (2009).
Cited: 1 times.

(48) RePEc:wsi:ijtafx:v:13:y:2010:i:06:p:839-865 FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS (2010).
Cited: 1 times.

(49) 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.

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

Recent citations received in: | 2009 | 2008 | 2007 | 2006

Recent citations received in: 2009

(1) RePEc:arx:papers:0912.4404 Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk (2009). Quantitative Finance Papers

(2) RePEc:kap:apfinm:v:16:y:2009:i:3:p:169-181 Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity (2009). Asia-Pacific Financial Markets

(3) RePEc:mee:wpaper:0918 A Comparison of Reduced-Form Permit Price Models and their Empirical Performances (2009). Working Papers

(4) RePEc:uts:rpaper:256 The Representation of American Options Prices under Stochastic Volatility and Jump-Diffusion Dynamics (2009). Research Paper Series

Recent citations received in: 2008

(1) RePEc:cte:wbrepe:wb084912 Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects (2008). Business Economics Working Papers

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). SFB 649 Discussion Papers

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