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  Updated February, 5 2013 465.484 documents processed, 11.198.332 references and 4.512.497 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 (2011), 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
19900.080000.04
19910.080000.04
19920.080000.04
19930.090000.05
19940.10000.05
19950.190000.07
19960.230000.1
19970.290000.1
19980.290000.11
19990.340000.15
20000.430000.17
20010.450000.17
20020.460000.21
20030.480000.21
20040.550000.23
20050.5755540010.020.24
20060.050.546341553010.020.22
20070.080.4862281181000.19
20080.060.540341257020.050.22
20090.150.51545910215040.070.21
20100.210.465516942000.17
20110.170.64552910918080.150.26
 
 
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
II: 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]		21
2009SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
RePEc:wsi:ijtafx:v:12:y:2009:i:06:p:861-876 [Citation Analysis]		10
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]		10
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]		6
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]		6
2005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:13-58 [Citation Analysis]		6
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]		5
2006OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:825-841 [Citation Analysis]		5
2006PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:185-197 [Citation Analysis]		5
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]		5
2005EXPERTS EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION
RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:933-946 [Citation Analysis]		5
2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:899-943 [Citation Analysis]		5
2008EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:325-343 [Citation Analysis]		5
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]		4
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]		4
2010EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
RePEc:wsi:ijtafx:v:13:y:2010:i:01:p:1-43 [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
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]		3
2008A SHOT NOISE MODEL FOR FINANCIAL ASSETS
RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:87-106 [Citation Analysis]		3
2012ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
RePEc:wsi:ijtafx:v:15:y:2012:i:05:p:1250034-1-1250034-24 [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]		3
2005PARTIAL INFORMATION AND HAZARD PROCESS
RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:807-838 [Citation Analysis]		3
2008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:19-54 [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
2009A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:925-947 [Citation Analysis]		3
2006PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:915-949 [Citation Analysis]		3
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]		3
2007KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:505-516 [Citation Analysis]		3
2006MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:455-481 [Citation Analysis]		3
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]		3
2007JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS
RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:733-748 [Citation Analysis]		3
2009DOES CURVATURE ENHANCE FORECASTING?
RePEc:wsi:ijtafx:v:12:y:2009:i:08:p:1171-1196 [Citation Analysis]		3
2011MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
RePEc:wsi:ijtafx:v:14:y:2011:i:04:p:433-463 [Citation Analysis]		3
2007STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS
RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:633-652 [Citation Analysis]		2
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]		2
2007VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:363-387 [Citation Analysis]		2
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]		2
2008EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:295-323 [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
2008FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:277-294 [Citation Analysis]		2
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]		2
2007HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS
RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:517-534 [Citation Analysis]		2
2008INFORMATION-BASED ASSET PRICING
RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:107-142 [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
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
2006OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:151-170 [Citation Analysis]		2
2005MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS
RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:75-95 [Citation Analysis]		2
2008ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:249-276 [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
2005INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS
RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:603-622 [Citation Analysis]		2

Citing documents used to compute impact factor 18:
YearTitleSee
2011Adjoint expansions in local Lévy models
RePEc:pra:mprapa:34571		[Citation Analysis]
2011A limit order book model for latency arbitrage
RePEc:arx:papers:1110.4811		[Citation Analysis]
2011Liquidity risk, price impacts and the replication problem
RePEc:spr:finsto:v:15:y:2011:i:3:p:399-419		[Citation Analysis]
2011Computation of copulas by Fourier methods
RePEc:arx:papers:1108.1216		[Citation Analysis]
2011Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
RePEc:arx:papers:1107.1831		[Citation Analysis]
2011Fast delta computations in the swap-rate market model
RePEc:eee:dyncon:v:35:y:2011:i:5:p:764-775		[Citation Analysis]
2011FIX - The fear index. Measuring market fear.
RePEc:ner:leuven:urn:hdl:123456789/313200		[Citation Analysis]
2011On economic evaluation of directional forecasts
RePEc:eee:intfor:v:27:y:2011:i:4:p:1058-1065		[Citation Analysis]
2011Utility indifference valuation for jump risky assets
RePEc:spr:decfin:v:34:y:2011:i:2:p:85-120		[Citation Analysis]
2011Hedging of a credit default swaption in the CIR default intensity model
RePEc:spr:finsto:v:15:y:2011:i:3:p:541-572		[Citation Analysis]
2011Levy subordinator model: A two parameter model of default dependency
RePEc:pra:mprapa:26274		[Citation Analysis]
2011Foreign currency bubbles
RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83		[Citation Analysis]
2011Impact of the first to default time on Bilateral CVA
RePEc:arx:papers:1106.3496		[Citation Analysis]
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
RePEc:arx:papers:1112.1521		[Citation Analysis]
2011Implied Volatility Surface: Construction Methodologies and Characteristics
RePEc:arx:papers:1107.1834		[Citation Analysis]
2011The Small and Large Time Implied Volatilities in the Minimal Market Model
RePEc:arx:papers:1109.6154		[Citation Analysis]
2011The Small and Large Time Implied Volatilities in the Minimal Market Model
RePEc:uts:rpaper:297		[Citation Analysis]
2011Two-factor capital structure models for equity and credit
RePEc:arx:papers:1110.5846		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

YearTitleSee
2011An algorithm for calculating the set of superhedging portfolios and strategies in markets with transaction costs
RePEc:arx:papers:1107.5720		[Citation Analysis]
2011On martingale measures and pricing for continuous bond-stock market with stochastic bond
RePEc:arx:papers:1108.0719		[Citation Analysis]
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
RePEc:arx:papers:1112.1521		[Citation Analysis]
2011On the game interpretation of a shadow price process in utility maximization problems under transaction costs
RePEc:arx:papers:1112.2406		[Citation Analysis]
2011Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX
RePEc:dgr:eureir:1765022806		[Citation Analysis]
2011Liquidity mergers
RePEc:eee:jfinec:v:102:y:2011:i:3:p:526-558		[Citation Analysis]
2011Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion
RePEc:hst:ghsdps:gd11-214		[Citation Analysis]
2011Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
RePEc:ucm:doicae:1117		[Citation Analysis]

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]
2008Two-sided coherent risk measures and their application in realistic portfolio optimization
RePEc:eee:jbfina:v:32:y:2008:i:12:p:2667-2673		[Citation Analysis]

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.
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