0.38
Impact Factor
0.48
5-Years IF
12
5-Years H index
CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated December, 3 2015 760.408 documents
processed, 20.499.313 references and 8.066.571 citations
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [
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| IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.09 | 0 | 0 | 0 | (%) | 0.03 | ||||||||||
| 1991 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1993 | 0.1 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1995 | 0.19 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
| 1996 | 0.23 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.27 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1998 | 0.27 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1999 | 0.31 | 0 | 0 | 0 | (%) | 0.13 | ||||||||||
| 2000 | 0.39 | 0 | 0 | 0 | (%) | 0.15 | ||||||||||
| 2001 | 0.41 | 0 | 0 | 0 | (%) | 0.16 | ||||||||||
| 2002 | 0.43 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2003 | 0.45 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2004 | 0.51 | 0 | 3 | 0 | 0 | (%) | 0.21 | |||||||||
| 2005 | 0.54 | 55 | 55 | 3 | 0.05 | 146 | 0 | 0 | 1 (%) | 1 | 0.02 | 0.22 | ||||
| 2006 | 0.11 | 0.52 | 0.11 | 63 | 118 | 7 | 0.06 | 105 | 55 | 6 | 55 | 6 | (%) | 1 | 0.02 | 0.21 |
| 2007 | 0.13 | 0.45 | 0.13 | 62 | 180 | 19 | 0.11 | 90 | 118 | 15 | 118 | 15 | (%) | 1 | 0.02 | 0.18 |
| 2008 | 0.06 | 0.48 | 0.12 | 40 | 220 | 26 | 0.12 | 118 | 125 | 8 | 180 | 22 | (%) | 3 | 0.08 | 0.2 |
| 2009 | 0.22 | 0.48 | 0.21 | 54 | 274 | 53 | 0.19 | 155 | 102 | 22 | 220 | 47 | 1 (%) | 4 | 0.07 | 0.19 |
| 2010 | 0.32 | 0.44 | 0.23 | 55 | 329 | 66 | 0.2 | 76 | 94 | 30 | 274 | 64 | 2 (2.6%) | 1 | 0.02 | 0.16 |
| 2011 | 0.17 | 0.53 | 0.18 | 55 | 384 | 71 | 0.18 | 124 | 109 | 19 | 274 | 50 | (%) | 8 | 0.15 | 0.21 |
| 2012 | 0.27 | 0.58 | 0.37 | 60 | 444 | 139 | 0.31 | 92 | 110 | 30 | 266 | 98 | (%) | 5 | 0.08 | 0.22 |
| 2013 | 0.43 | 0.71 | 0.43 | 51 | 495 | 163 | 0.33 | 43 | 115 | 50 | 264 | 113 | (%) | 3 | 0.06 | 0.25 |
| 2014 | 0.38 | 0.81 | 0.48 | 55 | 550 | 231 | 0.42 | 15 | 111 | 42 | 275 | 133 | (%) | 4 | 0.07 | 0.28 |
| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y IF5: Impact Factor: C5Y / D5Y 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 D5Y: Number of articles published in y-1 until y-5 C5Y: Cites in y to articles published in y-1 until y-5 %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 |
|
50 most cited documents in this series:
[Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2005 | DRAWDOWN 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. Full description at Econpapers || Download paper | 34 |
| 2009 | COUNTERPARTY 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. Full description at Econpapers || Download paper | 34 |
| 2009 | SMALL-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. Full description at Econpapers || Download paper | 24 |
| 2012 | ANALYTICAL 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. Full description at Econpapers || Download paper | 24 |
| 2011 | OPTIMAL 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. Full description at Econpapers || Download paper | 23 |
| 2011 | COMPOSITION 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. Full description at Econpapers || Download paper | 17 |
| 2008 | EQUILIBRIUM 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. Full description at Econpapers || Download paper | 15 |
| 2008 | THE 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. Full description at Econpapers || Download paper | 14 |
| 2009 | A 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. Full description at Econpapers || Download paper | 13 |
| 2010 | A 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. Full description at Econpapers || Download paper | 13 |
| 2005 | VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS. (2005). Kamdem, Jules Sadefo . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:537-551. Full description at Econpapers || Download paper | 12 |
| 2013 | A MATHEMATICAL APPROACH TO ORDER BOOK MODELING. (2013). Jedidi, Aymen ; Abergel, Frederic . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:05:p:1350025-1-1350025-40. Full description at Econpapers || Download paper | 12 |
| 2008 | PRICING 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. Full description at Econpapers || Download paper | 11 |
| 2012 | A 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. Full description at Econpapers || Download paper | 10 |
| 2005 | INTERRELATIONSHIPS 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. Full description at Econpapers || Download paper | 10 |
| 2011 | ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Pallavicini, Andrea ; PAPATHEODOROU, VASILEIOS ; Brigo, Damiano . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:773-802. Full description at Econpapers || Download paper | 10 |
| 2005 | THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY. (2005). BIGLOVA, ALMIRA ; Rachev, Svetlozar T. ; Stoyanov, Stoyan ; Ortobelli, Sergio ; Fabozzi, Frank J.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1107-1133. Full description at Econpapers || Download paper | 10 |
| 2007 | THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS. (2007). Maghyereh, Aktham I.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:235-249. Full description at Econpapers || Download paper | 10 |
| 2009 | ON 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. Full description at Econpapers || Download paper | 10 |
| 2011 | HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS. (2011). DA FONSECA, JOS ; Grasselli, Martino . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:899-943. Full description at Econpapers || Download paper | 10 |
| 2009 | PRICING AND HEDGING IN CARBON EMISSIONS MARKETS. (2009). Verschuere, Michel ; etin, Umut . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:949-967. Full description at Econpapers || Download paper | 10 |
| 2008 | MULTI-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. Full description at Econpapers || Download paper | 9 |
| 2012 | STRESS 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. Full description at Econpapers || Download paper | 9 |
| 2009 | THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Ziogas, Andrew ; Meyer, Gunter H. ; Chiarella, Carl ; Kang, Boda . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:p:393-425. Full description at Econpapers || Download paper | 9 |
| 2006 | TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS. (2006). . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:227-244. Full description at Econpapers || Download paper | 8 |
| 2010 | EXPANSION 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. Full description at Econpapers || Download paper | 8 |
| 2006 | THE 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. Full description at Econpapers || Download paper | 8 |
| 2010 | MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING. (2010). Mercurio, Fabio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:01:p:113-137. Full description at Econpapers || Download paper | 8 |
| 2010 | MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. (2010). Cherny, Alexander ; Madan, Dilip B.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:p:1149-1177. Full description at Econpapers || Download paper | 8 |
| 2007 | VARIANCE 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. Full description at Econpapers || Download paper | 8 |
| 2008 | A 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. Full description at Econpapers || Download paper | 8 |
| 2005 | EXPERTS 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. Full description at Econpapers || Download paper | 8 |
| 2006 | TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA. (2006). 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. Full description at Econpapers || Download paper | 7 |
| 2008 | DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). BIGLOVA, ALMIRA ; Rachev, Svetlozar ; Stoyanov, Stoyan ; Ortobelli, Sergio ; Fabozzi, Frank J.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:19-54. Full description at Econpapers || Download paper | 7 |
| 2005 | A 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. Full description at Econpapers || Download paper | 7 |
| 2012 | A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS. (2012). Protter, Philip . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:03:p:1250022-1-1250022-15. Full description at Econpapers || Download paper | 7 |
| 2013 | ASYMPTOTICS FOR EXPONENTIAL LÃVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS. (2013). Lipton, Alexander ; Andersen, Leif . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:01:p:1350001-1-1350001-98. Full description at Econpapers || Download paper | 7 |
| 2008 | A 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. Full description at Econpapers || Download paper | 7 |
| 2006 | A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH. (2006). Gerardi, Anna ; Ceci, Claudia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:555-576. Full description at Econpapers || Download paper | 6 |
| 2011 | TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÃVY MODELS. (2011). Brodn, Mats ; Tankov, Peter . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:803-837. Full description at Econpapers || Download paper | 6 |
| 2010 | AN 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. Full description at Econpapers || Download paper | 6 |
| 2005 | THE 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. Full description at Econpapers || Download paper | 6 |
| 2011 | MAXIMUM DRAWDOWN INSURANCE. (2011). Zhang, Hongzhong ; Carr, Peter ; Hadjiliadis, Olympia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:08:p:1195-1230. Full description at Econpapers || Download paper | 6 |
| 2008 | A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS. (2008). Semeraro, Patrizia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:1-18. Full description at Econpapers || Download paper | 6 |
| 2006 | LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS. (2006). Shieh, Shwu-Jane . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:05:p:787-799. Full description at Econpapers || Download paper | 6 |
| 2013 | COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA. (2013). Ngor, Nathalie ; Grbac, Zorana ; Crepey, Stephane ; GERBOUD, ReMI . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:02:p:1350006-1-1350006-31. Full description at Econpapers || Download paper | 6 |
| 2011 | A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS. (2011). Badescu, Alexandru ; Siu, Tak Kuen ; Elliott, Robert J. ; Kulperger, Reg ; MIETTINEN, JARKKO . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:05:p:669-708. Full description at Econpapers || Download paper | 6 |
| 2007 | COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY. (2007). TOIVANEN, JARI ; IKONEN, SAMULI. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:331-361. Full description at Econpapers || Download paper | 6 |
| 2005 | CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING. (2005). Heath, David . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1157-1177. Full description at Econpapers || Download paper | 5 |
| 2007 | KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES. (2007). URBN, ANDRS ; LÃSZLÃ? GYÃ?RFI, ; VAJDA, ISTVN. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:03:p:505-516. Full description at Econpapers || Download paper | 5 |
50 most relevant documents in this series:
Papers most cited in the last two years. [Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2005 | DRAWDOWN 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. Full description at Econpapers || Download paper | 22 |
| 2012 | ANALYTICAL 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. Full description at Econpapers || Download paper | 21 |
| 2011 | OPTIMAL 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. Full description at Econpapers || Download paper | 20 |
| 2009 | SMALL-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. Full description at Econpapers || Download paper | 15 |
| 2011 | COMPOSITION 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. Full description at Econpapers || Download paper | 14 |
| 2009 | COUNTERPARTY 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. Full description at Econpapers || Download paper | 13 |
| 2013 | A MATHEMATICAL APPROACH TO ORDER BOOK MODELING. (2013). Jedidi, Aymen ; Abergel, Frederic . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:05:p:1350025-1-1350025-40. Full description at Econpapers || Download paper | 12 |
| 2010 | A 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. Full description at Econpapers || Download paper | 11 |
| 2012 | A 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. Full description at Econpapers || Download paper | 10 |
| 2009 | A 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. Full description at Econpapers || Download paper | 9 |
| 2012 | STRESS 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. Full description at Econpapers || Download paper | 8 |
| 2007 | THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS. (2007). Maghyereh, Aktham I.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:235-249. Full description at Econpapers || Download paper | 8 |
| 2008 | THE 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. Full description at Econpapers || Download paper | 8 |
| 2013 | ASYMPTOTICS FOR EXPONENTIAL LÃVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS. (2013). Lipton, Alexander ; Andersen, Leif . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:01:p:1350001-1-1350001-98. Full description at Econpapers || Download paper | 7 |
| 2010 | MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. (2010). Cherny, Alexander ; Madan, Dilip B.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:p:1149-1177. Full description at Econpapers || Download paper | 7 |
| 2011 | ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Pallavicini, Andrea ; PAPATHEODOROU, VASILEIOS ; Brigo, Damiano . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:773-802. Full description at Econpapers || Download paper | 6 |
| 2011 | A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS. (2011). Badescu, Alexandru ; Siu, Tak Kuen ; Elliott, Robert J. ; Kulperger, Reg ; MIETTINEN, JARKKO . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:05:p:669-708. Full description at Econpapers || Download paper | 6 |
| 2008 | EQUILIBRIUM 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. Full description at Econpapers || Download paper | 6 |
| 2010 | MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING. (2010). Mercurio, Fabio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:01:p:113-137. Full description at Econpapers || Download paper | 6 |
| 2005 | THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY. (2005). BIGLOVA, ALMIRA ; Rachev, Svetlozar T. ; Stoyanov, Stoyan ; Ortobelli, Sergio ; Fabozzi, Frank J.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1107-1133. Full description at Econpapers || Download paper | 6 |
| 2013 | COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA. (2013). Ngor, Nathalie ; Grbac, Zorana ; Crepey, Stephane ; GERBOUD, ReMI . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:02:p:1350006-1-1350006-31. Full description at Econpapers || Download paper | 6 |
| 2012 | A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS. (2012). Protter, Philip . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:03:p:1250022-1-1250022-15. Full description at Econpapers || Download paper | 6 |
| 2008 | MULTI-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. Full description at Econpapers || Download paper | 6 |
| 2011 | TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÃVY MODELS. (2011). Brodn, Mats ; Tankov, Peter . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:803-837. Full description at Econpapers || Download paper | 6 |
| 2011 | MAXIMUM DRAWDOWN INSURANCE. (2011). Zhang, Hongzhong ; Carr, Peter ; Hadjiliadis, Olympia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:08:p:1195-1230. Full description at Econpapers || Download paper | 6 |
| 2008 | A 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. Full description at Econpapers || Download paper | 6 |
| 2005 | INTERRELATIONSHIPS 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. Full description at Econpapers || Download paper | 6 |
| 2006 | LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS. (2006). Shieh, Shwu-Jane . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:05:p:787-799. Full description at Econpapers || Download paper | 5 |
| 2012 | RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES. (2012). Liu, Peng ; Leung, Tim . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:08:p:1250059-1-1250059-34. Full description at Econpapers || Download paper | 5 |
| 2009 | ON 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. Full description at Econpapers || Download paper | 5 |
| 2007 | COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY. (2007). TOIVANEN, JARI ; IKONEN, SAMULI. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:331-361. Full description at Econpapers || Download paper | 5 |
| 2014 | AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS. (2014). Lohne, Andreas ; Rudloff, Birgit . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:02:p:1450012-1-1450012-33. Full description at Econpapers || Download paper | 5 |
| 2011 | BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT. (2011). Pakkanen, Mikko S.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:04:p:579-586. Full description at Econpapers || Download paper | 5 |
| 2007 | VARIANCE 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. Full description at Econpapers || Download paper | 5 |
| 2006 | A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH. (2006). Gerardi, Anna ; Ceci, Claudia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:555-576. Full description at Econpapers || Download paper | 5 |
| 2012 | VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL. (2012). ZARGARI, B. ; Bielecki, T. R. ; CRePEY, S. ; JEANBLANC, M.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:p:1250004-1-1250004-39. Full description at Econpapers || Download paper | 4 |
| 2009 | PRICING AND HEDGING IN CARBON EMISSIONS MARKETS. (2009). Verschuere, Michel ; etin, Umut . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:p:949-967. Full description at Econpapers || Download paper | 4 |
| 2008 | A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS. (2008). Semeraro, Patrizia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:1-18. Full description at Econpapers || Download paper | 4 |
| 2012 | ASYMPTOTIC EQUIVALENCE IN LEES MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARGS CONJECTURE. (2012). Gulisashvili, Archil . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:03:p:1250020-1-1250020-34. Full description at Econpapers || Download paper | 4 |
| 2011 | HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS. (2011). DA FONSECA, JOS ; Grasselli, Martino . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:p:899-943. Full description at Econpapers || Download paper | 4 |
| 2010 | EXPANSION 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. Full description at Econpapers || Download paper | 4 |
| 2008 | DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). BIGLOVA, ALMIRA ; Rachev, Svetlozar ; Stoyanov, Stoyan ; Ortobelli, Sergio ; Fabozzi, Frank J.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:19-54. Full description at Econpapers || Download paper | 4 |
| 2012 | THE WISHART SHORT RATE MODEL. (2012). Gnoatto, Alessandro . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:08:p:1250056-1-1250056-24. Full description at Econpapers || Download paper | 4 |
| 2007 | LÃVY SIMPLE STRUCTURAL MODELS. (2007). BAXTER, MARTIN. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:04:p:593-606. Full description at Econpapers || Download paper | 4 |
| 2011 | FORWARD AND FUTURE IMPLIED VOLATILITY. (2011). Glasserman, Paul ; Wu, QI. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:p:407-432. Full description at Econpapers || Download paper | 3 |
| 2008 | PRICING 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. Full description at Econpapers || Download paper | 3 |
| 2010 | A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE. (2010). Luciano, Elisa ; Semeraro, Patrizia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:03:p:415-440. Full description at Econpapers || Download paper | 3 |
| 2013 | ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES. (2013). Tsuzuki, Yukihiro . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:06:p:1350038-1-1350038-17. Full description at Econpapers || Download paper | 3 |
| 2009 | PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH. (2009). Gerardi, Anna ; Ceci, Claudia . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:02:p:179-207. Full description at Econpapers || Download paper | 3 |
| 2011 | ABSOLUTELY CONTINUOUS COMPENSATORS. (2011). Protter, Philip ; Janson, Svante ; SOKHNA M'BAYE, . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:p:335-351. Full description at Econpapers || Download paper | 3 |
Citing documents used to compute impact factor 42:
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | The large-maturity smile for the SteinâStein model. (2014). Forde, Martin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:91:y:2014:i:c:p:145-152. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Valuation and Hedging of Contracts with Funding Costs and
Collateralization. (2014). Rutkowski, Marek ; Bielecki, Tomasz R.. In: Papers. RePEc:arx:papers:1405.4079. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The Small Maturity Implied Volatility Slope for L\evy Models. (2014). Gulum, Ismail Cetin ; Gerhold, Stefan . In: Papers. RePEc:arx:papers:1310.3061. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymptotic analysis of stock price densities and implied volatilities in
mixed stochastic models. (2014). Gulisashvili, Archil ; Vives, Josep . In: Papers. RePEc:arx:papers:1403.5302. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Short-time expansions for close-to-the-money options under a L\evy jump
model with stochastic volatility. (2014). Jos'e E. Figueroa-L'opez, ; Sveinn 'Olafsson, . In: Papers. RePEc:arx:papers:1404.0601. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Implied volatility of basket options at extreme strikes. (2014). Gulisashvili, Archil ; Tankov, Peter . In: Papers. RePEc:arx:papers:1406.0394. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On multicurve models for the term structure. (2014). Morino, Laura ; Ruggaldier, Wolfgang J.. In: Papers. RePEc:arx:papers:1401.5431. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A primal-dual algorithm for BSDEs. (2014). Bender, Christian ; Schweizer, Nikolaus ; Zhuo, Jia . In: Papers. RePEc:arx:papers:1310.3694. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Counterparty risk and funding: Immersion and beyond. (2014). Crepey, Stephane ; Song, S. In: Working Papers. RePEc:hal:wpaper:hal-00989062. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Investment under uncertainty, competition and regulation. (2014). Huu, Adrien Nguyen . In: Post-Print. RePEc:hal:journl:hal-00831263. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Efficient almost-exact Lévy area sampling. (2014). Wiese, Anke ; Malham, Simon J. A., . In: Statistics & Probability Letters. RePEc:eee:stapro:v:88:y:2014:i:c:p:50-55. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymptotics for $d$-dimensional L\evy-type processes. (2014). Pascucci, Andrea ; Pagliarani, Stefano ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1404.3153. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni . In: Papers. RePEc:arx:papers:1407.4512. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | One-level limit order books with sparsity and memory. (2014). Jonathan A. Ch'avez-Casillas, ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:1407.5684. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Exact and asymptotic solutions of the call auction problem. (2014). Toke, Ioane Muni . In: Working Papers. RePEc:hal:wpaper:hal-01061857. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Dynamic Conic Finance via Backward Stochastic Difference Equations. (2014). Cialenco, Igor ; Bielecki, Tomasz R. ; Chen, Tao . In: Papers. RePEc:arx:papers:1412.6459. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A First-Order BSPDE for Swing Option Pricing: Classical Solutions. (2014). Bender, Christian ; Dokuchaev, Nikolai . In: Papers. RePEc:arx:papers:1402.6444. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Diversification and systemic risk. (2014). Raffestin, Louis . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:46:y:2014:i:c:p:85-106. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Systemic risk in banking networks: Advantages of âtieredâ banking systems. (2014). Teteryatnikova, Mariya . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:47:y:2014:i:c:p:186-210. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The Formation of a Core Periphery Structure in Heterogeneous Financial Networks. (2014). Hommes, Cars ; van der Leij, Marco . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140098. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A consistent two-factor model for pricing temperature derivatives. (2014). Groll, Andreas ; Meyer-Brandis, Thilo ; Lopez-Cabrera, Brenda . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-006. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Optimal Starting-Stopping and Switching of a CIR Process with Fixed
Costs. (2014). Li, Xin ; Wang, Zheng . In: Papers. RePEc:arx:papers:1411.6080. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Time-changed CIR default intensities with two-sided mean-reverting jumps. (2014). Mendoza-Arriaga, Rafael ; Linetsky, Vadim . In: Papers. RePEc:arx:papers:1403.5402. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bilateral credit valuation adjustment for large credit derivatives portfolios. (2014). Capponi, Agostino ; Bo, Lijun . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:431-482. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | John Does Old-Age Provision: Dollar Cost Averaging and Time Diversification. (2014). Ulbricht, Dirk . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1376. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Portfolio Optimization under Partial Information with Expert Opinions: a
Dynamic Programming Approach. (2014). Wunderlich, Ralf ; Frey, Rudiger . In: Papers. RePEc:arx:papers:1303.2513. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Expert Opinions and Logarithmic Utility Maximization in a Market with
Gaussian Drift. (2014). GABIH, ABDELALI ; Wunderlich, Ralf ; Sass, Jorn ; Kondakji, Hakam . In: Papers. RePEc:arx:papers:1402.6313. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Exact and Approximate Hidden Markov Chain Filters Based on Discrete
Observations. (2014). Gilitschenski, Igor ; Hanebeck, Uwe D. ; Bauerle, Nicole . In: Papers. RePEc:arx:papers:1411.0849. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Matrix Box-Cox Models for Multivariate Realized Volatility. (2014). Weigand, Roland . In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:29687. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A
Numerical Case Study Extending Black-Scholes. (2014). Pallavicini, Andrea ; LIU, QING ; Sloth, David . In: Papers. RePEc:arx:papers:1404.7314. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Automated Liquidity Provision. (2014). Gerig, Austin ; Michayluk, David . In: Research Paper Series. RePEc:uts:rpaper:345. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Pricing range notes within Wishart affine models. (2014). da Fonseca, Jose ; Grasselli, Martino . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:193-203. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymptotics of implied volatility to arbitrary order. (2014). Gao, Kun ; Lee, Roger . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:349-392. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Local risk-minimization under restricted information to asset prices. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Papers. RePEc:arx:papers:1312.4385. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | BSDEs under partial information and financial applications. (2014). Cretarola, Alessandra ; Russo, Francesco ; Ceci, Claudia . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:8:p:2628-2653. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Modeling and monitoring risk acceptability in markets: The case of the credit default swap market. (2014). Madan, Dilip B.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:47:y:2014:i:c:p:63-73. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Randomised Mixture Models for Pricing Kernels. (2014). Macrina, Andrea ; Parbhoo, Priyanka . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:21:y:2014:i:4:p:281-315. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Pricing Basket Options under Local Stochastic Volatility
with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2014cf913. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Pricing Basket Options under Local Stochastic Volatility with Jumps. (2014). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf336. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Partial Stochastic Dominance. (2014). Stachurski, John . In: Discussion Paper Series. RePEc:kob:dpaper:dp2014-23. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A benchmark approach to risk-minimization under partial information. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:129-146. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2014
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Set-valued shortfall and divergence risk measures. (2014). Hamel, Andreas H. ; Ararat, cCaugin ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1405.4905. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Linear vector optimization and European option pricing under
proportional transaction costs. (2014). Roux, Alet ; Zastawniak, Tomasz . In: Papers. RePEc:arx:papers:1407.5877. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Critical transaction costs and 1-step asymptotic arbitrage in fractional
binary markets. (2014). CORDERO, FERNANDO ; Perez-Ostafe, Lavinia . In: Papers. RePEc:arx:papers:1407.8068. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Modeling and monitoring risk acceptability in markets: The case of the credit default swap market. (2014). Madan, Dilip B.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:47:y:2014:i:c:p:63-73. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2013
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2013 | CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs
Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk,
Initial and Variation Margins, Multiple Discount Curves, FV. (2013). Pallavicini, Andrea ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1312.0128. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Portfolio Risk Measures: The Timeâs Arrow Matters. (2013). Ruttiens, Alain . In: Computational Economics. RePEc:kap:compec:v:41:y:2013:i:3:p:407-424. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | A Weak Approximation with Asymptotic Expansion
and Multidimensional Malliavin Weights. (2013). Takahashi, Akihiko ; Yamada, Toshihiro . In: CIRJE F-Series. RePEc:tky:fseres:2013cf909. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
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| Year | Title | See |
|---|---|---|
| 2012 | Local Risk-Minimization under the Benchmark Approach. (2012). Cretarola, Alessandra ; Biagini, Francesca ; Platen, Eckhard . In: Papers. RePEc:arx:papers:1210.2337. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | An 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. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf302. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Vulnerable Banks. (2012). Landier, Augustin ; Greenwood, Robin ; Thesmar, David . In: NBER Working Papers. RePEc:nbr:nberwo:18537. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | An FBSDE Approach to American Option Pricing
with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: CIRJE F-Series. RePEc:tky:fseres:2012cf871. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
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| Year | Title | See |
|---|---|---|
| 2011 | Funding Valuation Adjustment: a consistent framework including CVA, DVA,
collateral,netting rules and re-hypothecation. (2011). Pallavicini, Andrea ; Perini, Daniele ; Brigo, Damiano . In: Papers. RePEc:arx:papers:1112.1521. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | On 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. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Variance risk, financial intermediation, and the cross-section of expected option returns. (2011). Ziegler, Alexandre ; Schurhoff, Norman . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8268. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Liquidity 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. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX. (2011). Ishida, I. ; McAleer, M. J. ; Oya, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:22806. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Market 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. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Forward-backward systems
for expected utility
maximization. (2011). Reveillac, Anthony ; Hu, Ying ; Imkeller, Peter . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-061. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX. (2011). Oya, Kosuke . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1117. Full description at Econpapers || Download paper | [Citation Analysis] |
10 most frequent citing series:
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Source data used to compute the impact factor of RePEc series.