CitEc
[home]     [Citation data for:  series | authors | papers]      [Maintainers]      [Submit references]      [warning | faq | about]
  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

  
 

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

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2010), Recent citations and documents published in this series in EconPapers.

Create citation feed for this series

Missing citations? Add them with our user input service
Incorrect content? Let us know

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII
19900.090000.04
19910.090000.05
19920.080000.04
19930.090000.05
19940.10000.05
19950.120000.06
19960.160000.08
19970.210000.08
19980.220000.09
19990.280000.13
20000.370000.16
20010.380000.16
20020.410000.2
20030.430000.2
20040.490000.22
20050.5255310010.020.24
20060.020.56325551010.020.23
20070.060.426220118700.19
20080.050.4340191256010.030.21
20090.10.43543910210040.070.19
20100.160.365512941500.15
 
 
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

 

Main indicators

Most cited documents in this series:
YearTitleCited
2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:1007-1026 [Citation Analysis]		17
2009SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
RePEc:wsi:ijtafx:v:12:y:2009:i:06:p:861-876 [Citation Analysis]		6
2005VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:537-551 [Citation Analysis]		6
2008PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
RePEc:wsi:ijtafx:v:11:y:2008:i:06:p:611-634 [Citation Analysis]		5
2005A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:839-869 [Citation Analysis]		4
2006PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:185-197 [Citation Analysis]		4
2006THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY
RePEc:wsi:ijtafx:v:09:y:2006:i:01:p:23-42 [Citation Analysis]		4
2007JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS
RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:733-748 [Citation Analysis]		3
2010EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
RePEc:wsi:ijtafx:v:13:y:2010:i:01:p:1-43 [Citation Analysis]		3
2005PARTIAL INFORMATION AND HAZARD PROCESS
RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:807-838 [Citation Analysis]		3
2010AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
RePEc:wsi:ijtafx:v:13:y:2010:i:06:p:821-838 [Citation Analysis]		3
2011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
RePEc:wsi:ijtafx:v:14:y:2011:i:01:p:137-162 [Citation Analysis]		3
2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
RePEc:wsi:ijtafx:v:14:y:2011:i:03:p:353-368 [Citation Analysis]		3
2005EXPERTS EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION
RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:933-946 [Citation Analysis]		3
2009ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
RePEc:wsi:ijtafx:v:12:y:2009:i:04:p:427-441 [Citation Analysis]		3
2008A SHOT NOISE MODEL FOR FINANCIAL ASSETS
RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:87-106 [Citation Analysis]		3
2011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:773-802 [Citation Analysis]		3
2005AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
RePEc:wsi:ijtafx:v:08:y:2005:i:02:p:161-184 [Citation Analysis]		2
2007STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS
RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:633-652 [Citation Analysis]		2
2008EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:325-343 [Citation Analysis]		2
2006OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:825-841 [Citation Analysis]		2
2005OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
RePEc:wsi:ijtafx:v:08:y:2005:i:03:p:301-319 [Citation Analysis]		2
2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:607-631 [Citation Analysis]		2
2009CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
RePEc:wsi:ijtafx:v:12:y:2009:i:08:p:1213-1230 [Citation Analysis]		2
2007ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:273-306 [Citation Analysis]		2
2007CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
RePEc:wsi:ijtafx:v:10:y:2007:i:07:p:1203-1227 [Citation Analysis]		2
2006MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:455-481 [Citation Analysis]		2
2007HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS
RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:517-534 [Citation Analysis]		2
2009A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
RePEc:wsi:ijtafx:v:12:y:2009:i:01:p:45-62 [Citation Analysis]		2
2006PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:915-949 [Citation Analysis]		2
2007PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:51-88 [Citation Analysis]		1
2010A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE
RePEc:wsi:ijtafx:v:13:y:2010:i:03:p:415-440 [Citation Analysis]		1
2008FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
RePEc:wsi:ijtafx:v:11:y:2008:i:04:p:381-401 [Citation Analysis]		1
2011A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION
RePEc:wsi:ijtafx:v:14:y:2011:i:02:p:221-238 [Citation Analysis]		1
2006TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS
RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:227-244 [Citation Analysis]		1
2009THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
RePEc:wsi:ijtafx:v:12:y:2009:i:03:p:393-425 [Citation Analysis]		1
2006A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES
RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:843-867 [Citation Analysis]		1
2009PRICING AND HEDGING IN CARBON EMISSIONS MARKETS
RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:949-967 [Citation Analysis]		1
2005LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
RePEc:wsi:ijtafx:v:08:y:2005:i:03:p:381-392 [Citation Analysis]		1
2007VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:363-387 [Citation Analysis]		1
2008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:19-54 [Citation Analysis]		1
2010FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS
RePEc:wsi:ijtafx:v:13:y:2010:i:06:p:839-865 [Citation Analysis]		1
2005THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1135-1155 [Citation Analysis]		1
2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
RePEc:wsi:ijtafx:v:11:y:2008:i:08:p:761-797 [Citation Analysis]		1
2011OPTION PRICING VIA MAXIMIZATION OVER UNCERTAINTY AND CORRECTION OF VOLATILITY SMILE
RePEc:wsi:ijtafx:v:14:y:2011:i:04:p:507-524 [Citation Analysis]		1
2006PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:533-553 [Citation Analysis]		1

repec:wsi:ijtafx:v:12:y:2009:i:06:p:877-899 [Citation Analysis]		1
2005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:13-58 [Citation Analysis]		1
2007VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:111-127 [Citation Analysis]		1
2011ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES
RePEc:wsi:ijtafx:v:14:y:2011:i:01:p:163-185 [Citation Analysis]		1

Citing documents used to compute impact factor 15:
YearTitleSee
2010Option data and modeling BSM implied volatility
RePEc:usg:dp2010:2010-32		[Citation Analysis]
2010Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures
RePEc:war:wpaper:2010-03		[Citation Analysis]
2010An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
RePEc:pra:mprapa:20574		[Citation Analysis]
2010Levy Subordinator Model of Default Dependency
RePEc:pra:mprapa:21386		[Citation Analysis]
2010Credit Default Swaps Liquidity modeling: A survey
RePEc:arx:papers:1003.0889		[Citation Analysis]
2010Counterparty Risk Subject To ATE
RePEc:pra:mprapa:28067		[Citation Analysis]
2010Counterparty Risk Subject To ATE
RePEc:pra:mprapa:27782		[Citation Analysis]
2010Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery
RePEc:pra:mprapa:19684		[Citation Analysis]
2010Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
RePEc:arx:papers:0912.5427		[Citation Analysis]
2010Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
RePEc:arx:papers:0911.3331		[Citation Analysis]
2010Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions
RePEc:arx:papers:1011.3355		[Citation Analysis]
2010Forecasting the Yield Curve with Linear Factor Models
RePEc:bcb:wpaper:223		[Citation Analysis]
2010Partial equilibria with convex capital requirements: existence, uniqueness and stability
RePEc:kap:annfin:v:6:y:2010:i:1:p:107-135		[Citation Analysis]
2010Market models for CDOs driven by time-inhomogeneous Levy processes
RePEc:arx:papers:1006.2012		[Citation Analysis]
2010Stochastic Switching Games and Duopolistic Competition in Emissions Markets
RePEc:arx:papers:1001.3455		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

YearTitleSee

Recent citations received in: 2009

YearTitleSee
2009Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
RePEc:arx:papers:0912.4404		[Citation Analysis]
2009Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity
RePEc:kap:apfinm:v:16:y:2009:i:3:p:169-181		[Citation Analysis]
2009A Comparison of Reduced-Form Permit Price Models and their Empirical Performances
RePEc:mee:wpaper:0918		[Citation Analysis]
2009An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics
RePEc:uts:rpaper:256		[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects
RePEc:cte:wbrepe:wb084912		[Citation Analysis]

Recent citations received in: 2007

YearTitleSee

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.
Hosted by Valencian Economic Research Institute ©2012 Jose Manuel Barrueco | mail: barrueco@uv.es