Last updated February, 3 2014 581.217 documents processed, 14.657.417 references and 5.549.674 citations

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

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.08000000.04
19910.08000000.04
19920.08000000.04
19930.09000000.05
19940.1000000.04
19950.19000000.07
19960.23000000.09
19970.29000000.1
19980.29000000.11
19990.33000000.14
20000.42000000.16
20010.44000000.17
20020.44000000.19
20030.46000000.2
20040.53030000.22
20050.56555530.05820010.020.23
20060.070.536311850.0461554010.020.22
20070.110.4662180150.08491181300.19
20080.060.4940220220.1751257020.050.21
20090.170.554274400.159110217040.070.2
20100.240.4655329570.17359423010.020.16
20110.170.5755384600.165810918060.110.22
20120.270.66604441260.282911030020.030.26
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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

 

Most cited documents in this series:

YearTitleCited
2009COUNTERPARTY 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:p:1007-1026.

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27
2009SMALL-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:p:861-876.

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13
2005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION. (2005). CHEKHLOV, ALEXEI ; Uryasev, Stanislav ; ZABARANKIN, MICHAEL. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:13-58.

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12
2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK. (2011). Schied, Alexander ; Gatheral, Jim . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:p:353-368.

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11
2008PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES. (2008). BACKHAUS, JOCHEN ; FREY, RDIGER. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:06:p:611-634.

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10
2011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME. (2011). Kupper, Michael ; Cheridito, Patrick . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:01:p:137-162.

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10
2005VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS. (2005). SADEFO KAMDEM, Jules. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:537-551.

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10
2012ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME. (2012). Takahashi, Akihiko ; Fujii, Masaaki . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:05:p:1250034-1-1250034-24.

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10
2008EQUILIBRIUM 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:p:325-343.

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10
2008THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS. (2008). JAIN, ASHISH ; Broadie, Mark . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:08:p:761-797.

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9
2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS. (2011). Ielpo, Florian ; DA FONSECA, José ; Grasselli, Martino . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:899-943.

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8
2011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Pallavicini, Andrea ; Brigo, Damiano ; PAPATHEODOROU, VASILEIOS . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:773-802.

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6
2010A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS. (2010). Takahashi, Akihiko ; Takehara, Kohta . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:p:1179-1221.

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6
2005EXPERTS EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION. (2005). Bouchaud, Jean-Philippe ; GUEDJ, OLIVIER. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:933-946.

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6
2009ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY. (2009). RUTKOWSKI, MAREK ; ROPER, MICHAEL . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:04:p:427-441.

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6
2010EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL. (2010). Benhamou, E. ; Miri, M. ; Gobet, E.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:04:p:603-634.

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6
2006THE 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:p:23-42.

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6
2005THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY. (2005). Fabozzi, Frank ; BIGLOVA, ALMIRA ; Rachev, Svetlozar T. ; STOYANOV, STOYAN ; Ortobelli, Sergio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1107-1133.

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5
2006PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES. (2006). Fajardo, José ; Mordecki, Ernesto. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:185-197.

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5
2008MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES. (2008). Tankov, Peter ; Meyer-Brandis, Thilo . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:05:p:503-528.

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5
2005A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK. (2005). Wu, Shu ; Zeng, Yong . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:839-869.

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5
2006TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA. (2006). Saadi, Samir ; Gandhi, Devinder ; Dutta, Shantanu . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:07:p:1021-1050.

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5
2009THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Kang, Boda ; Chiarella, Carl ; Ziogas, Andrew ; MEYER, GUNTER H.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:p:393-425.

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5
2006OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING. (2006). Siu, Tak Kuen ; Chan, Leunglung ; Elliott, Robert J.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:825-841.

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5
2008A SHOT NOISE MODEL FOR FINANCIAL ASSETS. (2008). Schmidt, Thorsten ; Stute, Winfried ; ALTMANN, TIMO. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:87-106.

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5
2005THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY. (2005). ABID, Fathi ; Naifar, Nader . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1135-1155.

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5
2006TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS. (2006). Westerhoff, Frank. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:227-244.

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4
2010AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA. (2010). BLAIS, MARCEL ; Protter, Philip . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:06:p:821-838.

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4
2008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). Fabozzi, Frank ; BIGLOVA, ALMIRA ; Rachev, Svetlozar ; STOYANOV, STOYAN ; Ortobelli, Sergio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:19-54.

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4
2012A 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:p:1250044-1-1250044-25.

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4
2005INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS. (2005). Sharkasi, Adel ; Crane, Martin ; Ruskin, Heather J.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:603-622.

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4
2008A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING. (2008). SIDENIUS, JAKOB ; Piterbarg, Vladimir ; Andersen, Leif . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:02:p:163-197.

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4
2005PARTIAL INFORMATION AND HAZARD PROCESS. (2005). Jeanblanc, Monique ; VALCHEV, STOYAN. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:807-838.

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4
2007CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA. (2007). Zhu, Song-Ping ; HE, ZHI-WEI. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:07:p:1203-1227.

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4
2005CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING. (2005). Platen, Eckhard ; Heath, David . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1157-1177.

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4
2010EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL. (2010). Pelsser, Antoon ; van Haastrecht, Alexander . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:01:p:1-43.

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4
2009A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES. (2009). Huu, Adrien Nguyen ; AD, REN ; Touzi, Nizar ; Campi, Luciano . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:925-947.

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4
2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES. (2007). Pallavicini, Andrea ; Brigo, Damiano ; Torresetti, Roberto . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:607-631.

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4
2007VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING. (2007). Zhang, Jin E. ; Zhu, Yingzi . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:111-127.

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4
2009CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION. (2009). Hurd, T. R.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:08:p:1213-1230.

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3
2007JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS. (2007). EPPLE, FRIEDEL ; MORGAN, SAM ; SCHLOEGL, LUTZ. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:733-748.

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3
2009FORWARD AND FUTURES PRICES WITH BUBBLES. (2009). Jarrow, Robert ; Protter, Philip . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:901-924.

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3
2008ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS. (2008). Schmid, Wolfgang ; Okhrin, Yarema . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:249-276.

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3
2007VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS. (2007). CHU, CHI CHIU ; Kwok, Yue Kuen . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:363-387.

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3
2009DOES CURVATURE ENHANCE FORECASTING?. (2009). Vicente, José Valentim ; Almeida, Caio ; LEITE, ANDR ; Gomes, Romeu ; SIMONSEN, AXEL . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:08:p:1171-1196.

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3
2009A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS. (2009). Rogers, Leonard ; DI GRAZIANO, GIUSEPPE . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:01:p:45-62.

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3
2012STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS. (2012). Minca, Andreea ; Cont, Rama ; AMINI, HAMED . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:p:1250006-1-1250006-20.

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3
2008INFORMATION-BASED ASSET PRICING. (2008). Macrina, Andrea ; Hughston, Lane P. ; Brody, Dorje C.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:107-142.

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3
2006MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES. (2006). Belomestny, Denis ; Milstein, Grigori N.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:455-481.

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3
2006STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY. (2006). PANG, TAO. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:869-887.

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3

Citing documents used to compute impact factor 30:

YearTitleSee
2012Collateralized CVA Valuation with Rating Triggers and Credit Migrations. (2012). Cialenco, Igor ; Bielecki, Tomasz R. ; IYIGUNLER, ISMAIL . In: Papers. RePEc:arx:papers:1205.6542.

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[Citation Analysis]
2012On absolutely continuous compensators and nonlinear filtering equations in default risk models. (2012). etin, Umut . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:11:p:3619-3647.

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[Citation Analysis]
2012Optimal trade execution: A mean quadratic variation approach. (2012). Windcliff, H. ; Tse, S. T. ; Forsyth, P. A. ; Kennedy, J. S.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:12:p:1971-1991.

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[Citation Analysis]
2012Bivariate Semi-Markov Process for Counterparty Credit Risk. (2012). Salvi, Giovanni ; Manca, Raimondo ; D'Amico, Guglielmo . In: Papers. RePEc:arx:papers:1112.0226.

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[Citation Analysis]
2012Optimal Limit Methods for Computing Sensitivities of. (2012). Joshi, Mark ; Chan, Jiun Hong . In: Department of Economics - Working Papers Series. RePEc:mlb:wpaper:1142.

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[Citation Analysis]
2012Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending. (2012). Brigo, Damiano. In: Papers. RePEc:arx:papers:1111.1331.

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[Citation Analysis]
2012Restructuring Counterparty Credit Risk. (2012). Oertel, Frank ; Brigo, Damiano ; ALBANESE, CLAUDIO . In: Papers. RePEc:arx:papers:1112.1607.

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[Citation Analysis]
2012Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments. (2012). Pallavicini, Andrea ; Brigo, Damiano ; Perini, Daniele . In: Papers. RePEc:arx:papers:1210.3811.

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[Citation Analysis]
2012The Wishart short rate model. (2012). Gnoatto, Alessandro . In: Papers. RePEc:arx:papers:1203.5513.

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[Citation Analysis]
2012A flexible matrix Libor model with smiles. (2012). DA FONSECA, José ; Gnoatto, Alessandro ; Grasselli, Martino ; Jos'e Da Fonseca, . In: Papers. RePEc:arx:papers:1203.4786.

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[Citation Analysis]
2012Keep on smiling? The pricing of Quanto options when all covariances are stochastic. (2012). Muck, Matthias ; Branger, Nicole . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:6:p:1577-1591.

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[Citation Analysis]
2012Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods. (2012). Platen, Eckhard ; Baldeaux, Jan. In: Papers. RePEc:arx:papers:1204.1126.

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[Citation Analysis]
2012Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities. (2012). Swishchuk, Anatoliy V. ; Salvi, Giovanni . In: Papers. RePEc:arx:papers:1205.5565.

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[Citation Analysis]
2012Dynamic quasi-concave performance measures. (2012). Bion-Nadal, Jocelyne ; Biagini, Sara . In: Papers. RePEc:arx:papers:1212.3958.

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[Citation Analysis]
2012Asymptotically optimal discretization of hedging strategies with jumps. (2012). Rosenbaum, Mathieu ; Tankov, Peter . In: Papers. RePEc:arx:papers:1108.5940.

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[Citation Analysis]
2012Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles. (2012). Acciaio, Beatrice ; Penner, Irina ; Follmer, Hans . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:669-709.

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[Citation Analysis]
2012Time consistency of dynamic risk measures in markets with transaction costs. (2012). Rudloff, Birgit ; Feinstein, Zachary . In: Papers. RePEc:arx:papers:1201.1483.

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[Citation Analysis]
2012Time-Consistent and Market-Consistent Evaluations (Revised version of CentER DP 2011-063). (2012). Pelsser, Antoon ; Stadje, M. A.. In: Discussion Paper. RePEc:dgr:kubcen:2012086.

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[Citation Analysis]
2012Asymptotic and non asymptotic approximations for option valuation. (2012). Gobet, Emmanuel ; Bompis, Romain . In: Post-Print. RePEc:hal:journl:hal-00720650.

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[Citation Analysis]
2012Stochastic expansion for the pricing of call options with discrete dividends. (2012). Gobet, Emmanuel ; Etore, Pierre . In: Post-Print. RePEc:hal:journl:hal-00507787.

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[Citation Analysis]
2012A decomposition formula for option prices in the Heston model and applications to option pricing approximation. (2012). Alos, Elisa . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:3:p:403-422.

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[Citation Analysis]
2012The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management. (2012). Marco, Bianchetti . In: MPRA Paper. RePEc:pra:mprapa:42247.

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[Citation Analysis]
2012Markets Evolution After the Credit Crunch. (2012). Bianchetti, Marco ; Carlicchi, Mattia . In: MPRA Paper. RePEc:pra:mprapa:44023.

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[Citation Analysis]
2012Note on an Extension of an Asymptotic Expansion Scheme. (2012). Takahashi, Akihiko ; Toda, Masashi . In: CARF F-Series. RePEc:cfi:fseres:cf286.

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[Citation Analysis]
2012Inflation Derivatives Under Inflation Target Regimes. (2012). Raviv, Alon ; Hilscher, Jens ; AVRIEL, Mordecai . In: Working Papers. RePEc:brd:wpaper:43.

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[Citation Analysis]
2012Conditional sampling for barrier option pricing under the Heston model. (2012). Nuyens, Dirk ; Cools, Ronald ; Achtsis, Nico . In: Papers. RePEc:arx:papers:1207.6566.

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[Citation Analysis]
2012Conditional sampling for barrier option pricing under the LT method. (2012). Nuyens, Dirk ; Cools, Ronald ; Achtsis, Nico . In: Papers. RePEc:arx:papers:1111.4808.

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[Citation Analysis]
2012Signing trades and an evaluation of the Lee–Ready algorithm. (2012). BLAIS, MARCEL ; Protter, Philip . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:1-13.

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2012Local Volatility Pricing Models for Long-dated FX Derivatives. (2012). Rayée, Grégory ; Gr'egory Ray'ee, ; Deelstra, Griselda . In: Papers. RePEc:arx:papers:1204.0633.

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2012Hierarchical reinforced urn processes. (2012). Fortini, S. ; Petrone, S.. In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:8:p:1521-1529.

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Cites in year: CiY

Recent citations received in: 2012

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2012An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: Papers. RePEc:arx:papers:1211.5867.

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2012An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). . In: CARF F-Series. RePEc:cfi:fseres:cf302.

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Recent citations received in: 2011

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2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation. (2011). Pallavicini, Andrea ; Brigo, Damiano ; Perini, Daniele . In: Papers. RePEc:arx:papers:1112.1521.

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2011On the game interpretation of a shadow price process in utility maximization problems under transaction costs. (2011). Rokhlin, Dmitry B.. In: Papers. RePEc:arx:papers:1112.2406.

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2011Variance risk, financial intermediation, and the cross-section of expected option returns. (2011). Schuerhoff, Norman ; Ziegler, Alexandre ; Schurhoff, Norman . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8268.

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2011Liquidity mergers. (2011). Hackbarth, Dirk ; Campello, Murillo ; Almeida, Heitor . In: Journal of Financial Economics. RePEc:eee:jfinec:v:102:y:2011:i:3:p:526-558.

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2011Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion. (2011). Ubukata, Masato ; Watanabe, Toshiaki . In: Global COE Hi-Stat Discussion Paper Series. RePEc:hst:ghsdps:gd11-214.

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2011Forward-backward systems for expected utility maximization. (2011). Horst, Ulrich ; Reveillac, Anthony ; Hu, Ying ; Imkeller, Peter . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-061.

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Recent citations received in: 2010

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2010Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness. (2010). Madan, Dilip B.. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:3:y:2010:i:1:p:1-25:d:28367.

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Recent citations received in: 2009

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2009Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk. (2009). Brigo, Damiano ; Tarenghi, Marco ; MORINI, MASSIMO . In: Papers. RePEc:arx:papers:0912.4404.

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

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2009Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery. (2009). Li, Hui . In: MPRA Paper. RePEc:pra:mprapa:19684.

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2009An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics. (2009). Chiarella, Carl ; Ziogas, Andrew ; Cheang, Gerald . In: Research Paper Series. RePEc:uts:rpaper:256.

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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.