[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]
IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1991 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1992 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1993 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
1994 | 0 | 0.11 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
1995 | 0 | 0.19 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.08 | |||||
1996 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 | |||||
1997 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.09 | |||||
1998 | 0 | 0.26 | 0 | 0 | 27 | 27 | 51 | 0 | 0 | 0 | 0 | 0 | 0.12 | |||||
1999 | 0 | 0.28 | 0 | 0 | 22 | 49 | 18 | 0 | 27 | 27 | 0 | 0 | 0.14 | |||||
2000 | 0 | 0.33 | 0 | 0 | 79 | 128 | 134 | 0 | 49 | 49 | 0 | 0 | 0.15 | |||||
2001 | 0 | 0.36 | 0.03 | 0.01 | 43 | 171 | 49 | 5 | 5 | 101 | 128 | 1 | 4 | 80 | 2 | 0.05 | 0.15 | |
2002 | 0.03 | 0.39 | 0.03 | 0.04 | 44 | 215 | 67 | 6 | 11 | 122 | 4 | 171 | 6 | 1 | 16.7 | 0 | 0.21 | |
2003 | 0.03 | 0.4 | 0.02 | 0.03 | 45 | 260 | 27 | 6 | 17 | 87 | 3 | 215 | 6 | 1 | 16.7 | 0 | 0.2 | |
2004 | 0.06 | 0.45 | 0.05 | 0.05 | 52 | 312 | 76 | 15 | 33 | 89 | 5 | 233 | 12 | 1 | 6.7 | 2 | 0.04 | 0.2 |
2005 | 0.02 | 0.46 | 0.04 | 0.04 | 55 | 367 | 97 | 15 | 49 | 97 | 2 | 263 | 10 | 0 | 1 | 0.02 | 0.22 | |
2006 | 0.03 | 0.46 | 0.03 | 0.02 | 63 | 430 | 94 | 12 | 61 | 107 | 3 | 239 | 5 | 2 | 16.7 | 0 | 0.21 | |
2007 | 0.08 | 0.42 | 0.05 | 0.04 | 62 | 492 | 51 | 25 | 87 | 118 | 9 | 259 | 11 | 2 | 8 | 0 | 0.18 | |
2008 | 0.06 | 0.44 | 0.05 | 0.06 | 40 | 532 | 89 | 27 | 114 | 125 | 7 | 277 | 18 | 0 | 1 | 0.03 | 0.21 | |
2009 | 0.05 | 0.44 | 0.04 | 0.04 | 54 | 586 | 71 | 25 | 139 | 102 | 5 | 272 | 12 | 0 | 0 | 0.21 | ||
2010 | 0.05 | 0.43 | 0.06 | 0.08 | 55 | 641 | 53 | 39 | 178 | 94 | 5 | 274 | 22 | 0 | 0 | 0.18 | ||
2011 | 0.07 | 0.46 | 0.05 | 0.05 | 55 | 696 | 95 | 31 | 210 | 109 | 8 | 274 | 15 | 0 | 1 | 0.02 | 0.21 | |
2012 | 0.14 | 0.47 | 0.05 | 0.07 | 60 | 756 | 110 | 35 | 245 | 110 | 15 | 266 | 19 | 0 | 1 | 0.02 | 0.19 | |
2013 | 0.03 | 0.53 | 0.03 | 0.04 | 51 | 807 | 78 | 28 | 273 | 115 | 4 | 264 | 11 | 1 | 3.6 | 0 | 0.22 | |
2014 | 0.14 | 0.55 | 0.08 | 0.12 | 55 | 862 | 67 | 69 | 342 | 111 | 15 | 275 | 32 | 3 | 4.3 | 0 | 0.22 | |
2015 | 0.08 | 0.56 | 0.08 | 0.08 | 56 | 918 | 82 | 76 | 418 | 106 | 9 | 276 | 21 | 8 | 10.5 | 2 | 0.04 | 0.21 |
2016 | 0.18 | 0.58 | 0.15 | 0.18 | 55 | 973 | 74 | 149 | 567 | 111 | 20 | 277 | 49 | 43 | 28.9 | 7 | 0.13 | 0.2 |
2017 | 0.14 | 0.6 | 0.17 | 0.16 | 56 | 1029 | 34 | 173 | 740 | 111 | 16 | 277 | 43 | 47 | 27.2 | 8 | 0.14 | 0.22 |
2018 | 0.47 | 0.76 | 0.4 | 0.45 | 59 | 1088 | 13 | 440 | 1180 | 111 | 52 | 273 | 124 | 47 | 10.7 | 2 | 0.03 | 0.31 |
IF: | Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until 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: | selft citations 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 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2000 | VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS. (2000). Lux, Thomas ; Marchesi, Michele . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000826. Full description at Econpapers || Download paper | 46 |
2 | 2000 | CRASHES AS CRITICAL POINTS. (2000). Johansen, Anders ; Sornette, Didier ; Ledoit, Olivier. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:02:n:s0219024900000115. Full description at Econpapers || Download paper | 27 |
3 | 2002 | AMERICAN OPTIONS WITH REGIME SWITCHING. (2002). Buffington, John ; Elliott, Robert J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:05:y:2002:i:05:n:s0219024902001523. Full description at Econpapers || Download paper | 23 |
4 | 1998 | Insider Trading in a Continuous Time Market Model. (1998). GRORUD, AXEL ; Pontier, Monique. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:03:n:s0219024998000199. Full description at Econpapers || Download paper | 20 |
5 | 2013 | A MATHEMATICAL APPROACH TO ORDER BOOK MODELING. (2013). Abergel, Frederic ; Jedidi, Aymen . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:05:n:s0219024913500258. Full description at Econpapers || Download paper | 19 |
6 | 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:n:s0219024906003445. Full description at Econpapers || Download paper | 18 |
7 | 2011 | OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK. (2011). Gatheral, Jim ; Schied, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:n:s0219024911006577. Full description at Econpapers || Download paper | 18 |
8 | 2015 | OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT. (2015). Leung, Tim ; Li, Xin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:03:n:s021902491550020x. Full description at Econpapers || Download paper | 17 |
9 | 2011 | COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME. (2011). Cheridito, Patrick ; Kupper, Michael. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:01:n:s0219024911006292. Full description at Econpapers || Download paper | 17 |
10 | 2000 | RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS. (2000). Laloux, Laurent ; Bouchaud, Jean-Philippe ; Potters, Marc ; Cizeau, Pierre . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000255. Full description at Econpapers || Download paper | 15 |
11 | 2008 | DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). Rachev, Svetlozar ; BIGLOVA, ALMIRA ; Fabozzi, Frank J ; Stoyanov, Stoyan ; Ortobelli, Sergio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:n:s0219024908004713. Full description at Econpapers || Download paper | 15 |
12 | 2005 | THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY. (2005). Ortobelli, Sergio ; BIGLOVA, ALMIRA ; Fabozzi, Frank J ; Stoyanov, Stoyan ; Rachev, Svetlozar T. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:08:n:s0219024905003402. Full description at Econpapers || Download paper | 15 |
13 | 2000 | OPTION PRICING FOR TRUNCATED LÃVY PROCESSES. (2000). Boyarchenko, Svetlana ; Levendorski, Sergei Z. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000541. Full description at Econpapers || Download paper | 14 |
14 | 2008 | THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS. (2008). Broadie, Mark ; Jain, Ashish. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:08:n:s0219024908005032. Full description at Econpapers || Download paper | 13 |
15 | 2007 | THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS. (2007). Al-Zoubi, Haitham ; Maghyereh, Aktham I. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:02:n:s0219024907004184. Full description at Econpapers || Download paper | 13 |
16 | 2009 | THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H ; Kang, Boda. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:n:s0219024909005270. Full description at Econpapers || Download paper | 13 |
17 | 2001 | ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS. (2001). GRORUD, AXEL ; Pontier, Monique. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:02:n:s0219024901000961. Full description at Econpapers || Download paper | 12 |
18 | 1998 | Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility. (1998). Derman, Emanuel ; Kani, Iraj. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:01:n:s0219024998000059. Full description at Econpapers || Download paper | 12 |
19 | 2005 | DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION. (2005). CHEKHLOV, ALEXEI ; Zabarankin, Michael ; Uryasev, Stanislav. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:01:n:s0219024905002767. Full description at Econpapers || Download paper | 12 |
20 | 2004 | THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE. (2004). Linetsky, Vadim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002451. Full description at Econpapers || Download paper | 12 |
21 | 2012 | A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS. (2012). Jarrow, Robert ; Protter, Philip. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:03:n:s0219024912500227. Full description at Econpapers || Download paper | 12 |
22 | 2002 | PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL. (2002). Platen, Eckhard ; Heath, David. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:05:y:2002:i:07:n:s0219024902001729. Full description at Econpapers || Download paper | 11 |
23 | 2012 | PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS. (2012). Frey, Rudiger ; Wunderlich, Ralf ; Gabih, Abdelali. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:n:s0219024911006486. Full description at Econpapers || Download paper | 11 |
24 | 2011 | HEDGING (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:n:s0219024911006784. Full description at Econpapers || Download paper | 11 |
25 | 2013 | COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS. (2013). Bielecki, Tomasz R ; IYIGUNLER, ISMAIL ; Cialenco, Igor. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:02:n:s021902491350009x. Full description at Econpapers || Download paper | 10 |
26 | 2012 | STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS. (2012). Amini, Hamed ; Minca, Andreea ; Cont, Rama. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:n:s0219024911006504. Full description at Econpapers || Download paper | 10 |
27 | 2006 | THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL. (2006). Tabak, Benjamin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:08:n:s0219024906003974. Full description at Econpapers || Download paper | 10 |
28 | 2005 | VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS. (2005). SADEFO, Jules. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003104. Full description at Econpapers || Download paper | 9 |
29 | 2010 | EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL. (2010). Benhamou, Eric ; Miri, M ; Gobet, E. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:04:n:s0219024910005887. Full description at Econpapers || Download paper | 9 |
30 | 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:n:s0219024908004701. Full description at Econpapers || Download paper | 9 |
31 | 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:n:s0219024908004828. Full description at Econpapers || Download paper | 9 |
32 | 2000 | AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE. (2000). Matacz, Andrew ; Bouchaud, Jean-Philippe. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000838. Full description at Econpapers || Download paper | 8 |
33 | 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:n:s0219024905003372. Full description at Econpapers || Download paper | 8 |
34 | 2001 | WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS. (2001). Avellaneda, Marco ; Newman, Joshua ; Kruk, Lukasz ; Grandechamp, Nicolas ; Friedman, Craig ; Buff, Robert. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:01:n:s0219024901000882. Full description at Econpapers || Download paper | 8 |
35 | 2006 | A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH. (2006). Ceci, Claudia ; Gerardi, Anna . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:04:n:s0219024906003676. Full description at Econpapers || Download paper | 8 |
36 | 2013 | RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY. (2013). Roch, Alexandre ; Soner, Mete H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:06:n:s0219024913500374. Full description at Econpapers || Download paper | 7 |
37 | 2010 | EFFICIENT, 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:n:s0219024910005668. Full description at Econpapers || Download paper | 7 |
38 | 2006 | PRICING DERIVATIVES ON TWO-DIMENSIONAL LÃVY PROCESSES. (2006). Fajardo, José ; Mordecki, Ernesto. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:02:n:s0219024906003536. Full description at Econpapers || Download paper | 7 |
39 | 2004 | PRICING OF THE AMERICAN PUT UNDER LÃVY PROCESSES. (2004). Levendorski, S Z. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002463. Full description at Econpapers || Download paper | 7 |
40 | 2008 | MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES. (2008). Meyer-Brandis, Thilo ; Tankov, Peter. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:05:n:s0219024908004907. Full description at Econpapers || Download paper | 7 |
41 | 1998 | Minimum-Relative-Entropy Calibration of Asset-Pricing Models. (1998). Avellaneda, Marco. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:04:n:s0219024998000242. Full description at Econpapers || Download paper | 7 |
42 | 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:n:s0219024909005567. Full description at Econpapers || Download paper | 7 |
43 | 2010 | MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. (2010). Madan, Dilip B ; Cherny, Alexander . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:n:s0219024910006157. Full description at Econpapers || Download paper | 7 |
44 | 2016 | PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATIONS LEVEL OF MEAN REVERSION. (2016). Lee, Sang Min ; Papanicolaou, Andrew. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:08:n:s0219024916500540. Full description at Econpapers || Download paper | 7 |
45 | 2004 | CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS. (2004). Soofi, Abdol ; Wang, Shouyang ; Lu, Zudi ; Zhu, Hongquan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:02:n:s0219024904002414. Full description at Econpapers || Download paper | 7 |
46 | 2000 | MEAN-REVERTING STOCHASTIC VOLATILITY. (2000). Fouque, Jean-Pierre ; Sircar, Ronnie K ; Papanicolaou, George . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:01:n:s0219024900000061. Full description at Econpapers || Download paper | 7 |
47 | 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:n:s0219024914500125. Full description at Econpapers || Download paper | 7 |
48 | 2016 | LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION. (2016). Caccioli, Fabio ; Still, Susanne ; Marsili, Matteo ; Kondor, Imre. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:05:n:s0219024916500357. Full description at Econpapers || Download paper | 6 |
49 | 2004 | ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS. (2004). Bayraktar, Erhan ; Sircar, Ronnie K ; Poor, Vincent H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:05:n:s021902490400258x. Full description at Econpapers || Download paper | 6 |
50 | 2011 | MAXIMUM DRAWDOWN INSURANCE. (2011). Carr, Peter ; Hadjiliadis, Olympia ; Zhang, Hongzhong. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:08:n:s0219024911006826. Full description at Econpapers || Download paper | 6 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2000 | VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS. (2000). Lux, Thomas ; Marchesi, Michele . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000826. Full description at Econpapers || Download paper | 31 |
2 | 2000 | CRASHES AS CRITICAL POINTS. (2000). Johansen, Anders ; Sornette, Didier ; Ledoit, Olivier. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:02:n:s0219024900000115. Full description at Econpapers || Download paper | 22 |
3 | 2002 | AMERICAN OPTIONS WITH REGIME SWITCHING. (2002). Buffington, John ; Elliott, Robert J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:05:y:2002:i:05:n:s0219024902001523. Full description at Econpapers || Download paper | 14 |
4 | 2015 | OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT. (2015). Leung, Tim ; Li, Xin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:03:n:s021902491550020x. Full description at Econpapers || Download paper | 14 |
5 | 2013 | A MATHEMATICAL APPROACH TO ORDER BOOK MODELING. (2013). Abergel, Frederic ; Jedidi, Aymen . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:05:n:s0219024913500258. Full description at Econpapers || Download paper | 12 |
6 | 1998 | Insider Trading in a Continuous Time Market Model. (1998). GRORUD, AXEL ; Pontier, Monique. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:03:n:s0219024998000199. Full description at Econpapers || Download paper | 11 |
7 | 2005 | DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION. (2005). CHEKHLOV, ALEXEI ; Zabarankin, Michael ; Uryasev, Stanislav. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:01:n:s0219024905002767. Full description at Econpapers || Download paper | 10 |
8 | 2012 | PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS. (2012). Frey, Rudiger ; Wunderlich, Ralf ; Gabih, Abdelali. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:01:n:s0219024911006486. Full description at Econpapers || Download paper | 10 |
9 | 2011 | OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK. (2011). Gatheral, Jim ; Schied, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:03:n:s0219024911006577. Full description at Econpapers || Download paper | 10 |
10 | 2013 | COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS. (2013). Bielecki, Tomasz R ; IYIGUNLER, ISMAIL ; Cialenco, Igor. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:02:n:s021902491350009x. Full description at Econpapers || Download paper | 10 |
11 | 2008 | THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS. (2008). Broadie, Mark ; Jain, Ashish. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:08:n:s0219024908005032. Full description at Econpapers || Download paper | 10 |
12 | 2000 | RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS. (2000). Laloux, Laurent ; Bouchaud, Jean-Philippe ; Potters, Marc ; Cizeau, Pierre . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000255. Full description at Econpapers || Download paper | 9 |
13 | 2006 | THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL. (2006). Tabak, Benjamin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:08:n:s0219024906003974. Full description at Econpapers || Download paper | 8 |
14 | 2011 | COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME. (2011). Cheridito, Patrick ; Kupper, Michael. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:01:n:s0219024911006292. Full description at Econpapers || Download paper | 8 |
15 | 2016 | PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATIONS LEVEL OF MEAN REVERSION. (2016). Lee, Sang Min ; Papanicolaou, Andrew. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:08:n:s0219024916500540. Full description at Econpapers || Download paper | 7 |
16 | 2004 | THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE. (2004). Linetsky, Vadim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002451. Full description at Econpapers || Download paper | 7 |
17 | 2001 | WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS. (2001). Avellaneda, Marco ; Newman, Joshua ; Kruk, Lukasz ; Grandechamp, Nicolas ; Friedman, Craig ; Buff, Robert. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:01:n:s0219024901000882. Full description at Econpapers || Download paper | 7 |
18 | 2000 | OPTION PRICING FOR TRUNCATED LÃVY PROCESSES. (2000). Boyarchenko, Svetlana ; Levendorski, Sergei Z. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000541. Full description at Econpapers || Download paper | 7 |
19 | 2009 | THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H ; Kang, Boda. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:n:s0219024909005270. Full description at Econpapers || Download paper | 7 |
20 | 2012 | A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS. (2012). Jarrow, Robert ; Protter, Philip. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:03:n:s0219024912500227. Full description at Econpapers || Download paper | 7 |
21 | 1998 | Minimum-Relative-Entropy Calibration of Asset-Pricing Models. (1998). Avellaneda, Marco. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:04:n:s0219024998000242. Full description at Econpapers || Download paper | 6 |
22 | 2016 | MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS. (2016). Lipton, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:06:n:s0219024916500345. Full description at Econpapers || Download paper | 6 |
23 | 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:n:s0219024914500125. Full description at Econpapers || Download paper | 6 |
24 | 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:n:s0219024908004701. Full description at Econpapers || Download paper | 6 |
25 | 2016 | ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS. (2016). Cartea, ÃÂlvaro ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:06:n:s0219024916500382. Full description at Econpapers || Download paper | 6 |
26 | 2011 | MAXIMUM DRAWDOWN INSURANCE. (2011). Carr, Peter ; Hadjiliadis, Olympia ; Zhang, Hongzhong. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:08:n:s0219024911006826. Full description at Econpapers || Download paper | 6 |
27 | 2007 | THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS. (2007). Al-Zoubi, Haitham ; Maghyereh, Aktham I. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:02:n:s0219024907004184. Full description at Econpapers || Download paper | 6 |
28 | 2001 | ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS. (2001). GRORUD, AXEL ; Pontier, Monique. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:02:n:s0219024901000961. Full description at Econpapers || Download paper | 6 |
29 | 2016 | LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION. (2016). Caccioli, Fabio ; Still, Susanne ; Marsili, Matteo ; Kondor, Imre. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:05:n:s0219024916500357. Full description at Econpapers || Download paper | 5 |
30 | 2009 | PRICING AND HEDGING IN CARBON EMISSIONS MARKETS. (2009). Etin, Umut ; Verschuere, Michel . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s0219024909005531. Full description at Econpapers || Download paper | 5 |
31 | 2008 | MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES. (2008). Meyer-Brandis, Thilo ; Tankov, Peter. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:05:n:s0219024908004907. Full description at Econpapers || Download paper | 5 |
32 | 2004 | AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES. (2004). Kalotay, Andrew ; Fabozzi, Frank J ; Yang, Deane . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:08:n:s0219024904002785. Full description at Econpapers || Download paper | 5 |
33 | 2012 | ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME. (2012). Fujii, Masaaki ; Takahashi, Akihiko. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:05:n:s0219024912500343. Full description at Econpapers || Download paper | 5 |
34 | 2008 | DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). Rachev, Svetlozar ; BIGLOVA, ALMIRA ; Fabozzi, Frank J ; Stoyanov, Stoyan ; Ortobelli, Sergio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:n:s0219024908004713. Full description at Econpapers || Download paper | 5 |
35 | 2013 | RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY. (2013). Roch, Alexandre ; Soner, Mete H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:06:n:s0219024913500374. Full description at Econpapers || Download paper | 5 |
36 | 2016 | ALGORITHMIC TRADING WITH LEARNING. (2016). Cartea, ÃÂlvaro ; Kinzebulatov, Damir ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:n:s021902491650028x. Full description at Econpapers || Download paper | 5 |
37 | 2004 | THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS. (2004). Benth, Fred Espen ; Altyt-Benth, Jrat. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:02:n:s0219024904002360. Full description at Econpapers || Download paper | 5 |
38 | 2015 | AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:05:n:s0219024915500326. Full description at Econpapers || Download paper | 5 |
39 | 2015 | COUPLED NETWORK APPROACH TO PREDICTABILITY OF FINANCIAL MARKET RETURNS AND NEWS SENTIMENTS. (2015). Curme, Chester ; Vodenska, Irena ; Stanley, Eugene H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500430. Full description at Econpapers || Download paper | 5 |
40 | 2006 | A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH. (2006). Ceci, Claudia ; Gerardi, Anna . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:09:y:2006:i:04:n:s0219024906003676. Full description at Econpapers || Download paper | 5 |
41 | 2014 | HEAT KERNEL MODELS FOR ASSET PRICING. (2014). Macrina, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:07:n:s0219024914500484. Full description at Econpapers || Download paper | 5 |
42 | 1998 | Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility. (1998). Derman, Emanuel ; Kani, Iraj. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:01:n:s0219024998000059. Full description at Econpapers || Download paper | 5 |
43 | 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:n:s0219024909005567. Full description at Econpapers || Download paper | 5 |
44 | 2007 | VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING. (2007). Zhu, Yingzi ; Zhang, Jin E. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:10:y:2007:i:01:n:s0219024907004123. Full description at Econpapers || Download paper | 5 |
45 | 2010 | MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. (2010). Madan, Dilip B ; Cherny, Alexander . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:n:s0219024910006157. Full description at Econpapers || Download paper | 5 |
46 | 2004 | CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS. (2004). Soofi, Abdol ; Wang, Shouyang ; Lu, Zudi ; Zhu, Hongquan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:02:n:s0219024904002414. Full description at Econpapers || Download paper | 5 |
47 | 2004 | ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM. (2004). Sepp, Artur . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:02:n:s0219024904002402. Full description at Econpapers || Download paper | 5 |
48 | 1999 | A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS. (1999). Bennati, Eleonora ; Taddei, Stefano ; Rosa-Clot, Marco . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:02:y:1999:i:04:n:s0219024999000200. Full description at Econpapers || Download paper | 4 |
49 | 2005 | CALIBRATED OPTION BOUNDS. (2005). King, Alan J ; Pennanen, Teemu ; Koivu, Matti . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:02:n:s0219024905002925. Full description at Econpapers || Download paper | 4 |
50 | 2011 | DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS. (2011). Boyarchenko, Svetlana. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:07:n:s0219024911006620. Full description at Econpapers || Download paper | 4 |
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2018 | Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1704.06697. Full description at Econpapers || Download paper | |
2018 | TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE. (2018). Cartea, Alvaro ; Ricci, Jason ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500255. Full description at Econpapers || Download paper | |
2018 | ||
2018 | Transition probability of Brownian motion in the octant and its application to default modeling. (2018). Reisinger, Christoph ; Lipton, Alexander ; Kaushansky, Vadim. In: Papers. RePEc:arx:papers:1801.00362. Full description at Econpapers || Download paper | |
2018 | Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary. (2018). Reisinger, Christoph ; Kaushansky, Vadim ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1808.05311. Full description at Econpapers || Download paper | |
2018 | On the Normality of Negative Interest Rates. (2018). Lipton, Alexander ; Grasselli, Matheus R. In: Papers. RePEc:arx:papers:1808.07909. Full description at Econpapers || Download paper | |
2018 | The Broad Consequences of Narrow Banking. (2018). Lipton, Alexander ; Grasselli, Matheus R. In: Papers. RePEc:arx:papers:1810.05689. Full description at Econpapers || Download paper | |
2018 | Robust pricingâhedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9. Full description at Econpapers || Download paper | |
2018 | CONIC CPPIs. (2018). Marquet, Ine ; Schoutens, Wim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500127. Full description at Econpapers || Download paper | |
2018 | A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL. (2018). Wagalath, Lakshithe ; Zubelli, Jorge P. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500103. Full description at Econpapers || Download paper | |
2018 | Valuation of power plants. (2018). Ernstsen, Rune Ramsdal ; Boomsma, Trine Krogh. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:3:p:1153-1174. Full description at Econpapers || Download paper | |
2018 | Portfolio similarity and asset liquidation in the insurance industry. (2018). Pelizzon, Loriana ; Nikolova, Stanislava (Stas) ; Getmansky, Mila ; Hanley, Kathleen Weiss ; Girardi, Giulio . In: SAFE Working Paper Series. RePEc:zbw:safewp:224. Full description at Econpapers || Download paper | |
2018 | Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models. (2018). Nakashima, Ryo ; Imai, Yuto ; Arai, Takuji. In: Papers. RePEc:arx:papers:1801.05597. Full description at Econpapers || Download paper | |
2018 | ||
2018 | ||
2018 | An analysis of the Solvency II regulatory frameworkâs Smith-Wilson model for the term structure of risk-free interest rates. (2018). Jorgensen, Peter Lochte . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:219-237. Full description at Econpapers || Download paper | |
2018 | PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS. (2018). Hess, Markus. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500310. Full description at Econpapers || Download paper | |
2018 | Agent-based model of system-wide implications of funding risk. (2018). Halaj, Grzegorz ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20182121. Full description at Econpapers || Download paper | |
2018 | OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY. (2018). Bernard, Carole ; Ye, Jiang ; Vanduffel, Steven. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500139. Full description at Econpapers || Download paper | |
2018 | Dirichlet Forms and Finite Element Methods for the SABR Model. (2018). Reichmann, Oleg ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1801.02719. Full description at Econpapers || Download paper | |
2018 | General Compound Hawkes Processes in Limit Order Books. (2018). Huffman, Aiden ; Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1812.02298. Full description at Econpapers || Download paper | |
2018 | A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. (2018). Nistor, Victor ; Han, Xiao ; Grishchenko, Olesya. In: Papers. RePEc:arx:papers:1812.09904. Full description at Econpapers || Download paper | |
2018 | An exact and explicit implied volatility inversion formula. (2018). Xia, Yuxuan ; Cui, Zhenyu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500329. Full description at Econpapers || Download paper | |
2018 | Technical Uncertainty in Real Options with Learning. (2018). Jaimungal, Sebastian ; Cartea, Alvaro ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1803.05831. Full description at Econpapers || Download paper | |
2018 | CVA and vulnerable options pricing by correlation expansions. (2018). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: Papers. RePEc:arx:papers:1811.07294. Full description at Econpapers || Download paper | |
2018 | Backward SDEs for Control with Partial Information. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1807.08222. Full description at Econpapers || Download paper | |
2018 | Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model. (2018). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1809.05328. Full description at Econpapers || Download paper | |
2018 | Epidemics of liquidity shortages in interbank markets. (2018). Di Clemente, Riccardo ; Cimini, Giulio ; Brandi, Giuseppe . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:255-267. Full description at Econpapers || Download paper | |
2018 | BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY. (2018). Hurd, T R. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500401. Full description at Econpapers || Download paper | |
2018 | Dynamic correlations at different time-scales with empirical mode decomposition. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:534-544. Full description at Econpapers || Download paper | |
2018 | Stock market as temporal network. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1104-1112. Full description at Econpapers || Download paper | |
2018 | Financial time series forecasting using empirical mode decomposition and support vector regression. (2018). Aste, Tomaso ; di Matteo, Tiziana ; Nava, Noemi. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:91028. Full description at Econpapers || Download paper | |
2018 | A First Option Calibration of the GARCH Diffusion Model by a PDE Method. (2018). Lewis, Alan L ; Papadopoulos, Yiannis A. In: Papers. RePEc:arx:papers:1801.06141. Full description at Econpapers || Download paper | |
2018 | CORRIGENDUM: âPRICING AND VALUATION UNDER THE REAL-WORLD MEASUREâ. (2018). Frahm, Gabriel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918920012. Full description at Econpapers || Download paper | |
2018 | An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles. (2018). Jarrow, Robert. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:08:y:2018:i:02:n:s2010139218500052. Full description at Econpapers || Download paper | |
2018 | ||
2018 | DYNAMIC MEANâVARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION. (2018). Schweizer, Martin ; Iki, Mario ; Zivoi, Danijel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500115. Full description at Econpapers || Download paper | |
2018 | SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations. (2018). Boyarchenko, Svetlana ; Levendorskiui, Sergei. In: Papers. RePEc:arx:papers:1808.05295. Full description at Econpapers || Download paper | |
2018 | The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9. Full description at Econpapers || Download paper | |
2018 | Smile Modelling in Commodity Markets. (2018). Pallavicini, Andrea ; Sartorelli, Giulio ; Nastasi, Emanuele. In: Papers. RePEc:arx:papers:1808.09685. Full description at Econpapers || Download paper | |
2018 | Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas ; Zhang, Rongju. In: Papers. RePEc:arx:papers:1803.11467. Full description at Econpapers || Download paper | |
2018 | Optimal Timing to Trade Along a Randomized Brownian Bridge. (2018). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1801.00372. Full description at Econpapers || Download paper | |
2018 | Market Making via Reinforcement Learning. (2018). Koukorinis, Andreas ; Savani, Rahul ; Fearnley, John ; Spooner, Thomas. In: Papers. RePEc:arx:papers:1804.04216. Full description at Econpapers || Download paper | |
2018 | Trading Cointegrated Assets with Price Impact. (2018). Jaimungal, Sebastian ; Gan, Luhui ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1807.01428. Full description at Econpapers || Download paper | |
2018 | A risk-neutral equilibrium leading to uncertain volatility pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0356-8. Full description at Econpapers || Download paper | |
2018 | Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR. (2018). Schweizer, Martin ; Balint, Daniel Agoston. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1823. Full description at Econpapers || Download paper | |
2018 | Semiâefficient valuations and putâcall parity. (2018). Schweizer, Martin ; Herdegen, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:4:p:1061-1106. Full description at Econpapers || Download paper | |
2018 | Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. (2018). Tassinari, Gian Luca ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.05584. Full description at Econpapers || Download paper | |
2018 | Between â and â: The â â Measure for Pricing in Asset Liability Management. (2018). , Marcel ; Oosterlee, Cornelis W. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:67-:d:177971. Full description at Econpapers || Download paper | |
2018 | A subordinated CIR intensity model with application to Wrong-Way risk CVA. (2018). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1801.05673. Full description at Econpapers || Download paper | |
2018 | Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (2018). Brigo, Damiano ; Vrins, Frederic. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164. Full description at Econpapers || Download paper | |
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2018 | VIX-linked fees for GMWBs via explicit solution simulation methods. (2018). Kouritzin, Michael A ; MacKay, Anne. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:1-17. Full description at Econpapers || Download paper | |
2018 | MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS. (2018). Arguin, Louis-Pierre ; Wang, Tai-Ho ; Liu, Nien-Lin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500292. Full description at Econpapers || Download paper |
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2017 | Robust pricing--hedging duality for American options in discrete time financial markets. (2017). Deng, Shuoqing ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1604.05517. Full description at Econpapers || Download paper | |
2017 | Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation. (2017). Keller-Ressel, Martin ; Haubold, Martin ; di Tella, Paolo . In: Papers. RePEc:arx:papers:1709.05527. Full description at Econpapers || Download paper | |
2017 | Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1711.07335. Full description at Econpapers || Download paper | |
2017 | Compound Hawkes Processes in Limit Order Books. (2017). Chavez-Casillas, Jonathan ; Elliott, Robert ; Remillard, Bruno ; Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1712.03106. Full description at Econpapers || Download paper | |
2017 | Efficient simulation of clustering jumps with CIR intensity. (2017). Zhao, Hongbiao ; Dassios, Angelos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:74205. Full description at Econpapers || Download paper | |
2017 | Pólya-based approximation for the ATM-forward implied volatility. (2017). Mati, Ivan ; Stefanica, Dan ; Radoii, Rado. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500323. Full description at Econpapers || Download paper | |
2017 | TIGHTER BOUNDS FOR IMPLIED VOLATILITY. (2017). Gatheral, Jim ; Stefanica, Dan ; Radoii, Rado ; Mati, Ivan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500352. Full description at Econpapers || Download paper | |
2017 | AN EXPLICIT IMPLIED VOLATILITY FORMULA. (2017). Stefanica, Dan ; Radoii, Rado. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500480. Full description at Econpapers || Download paper |
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2016 | Feedback effects and endogenous risk in financial markets. (2016). Wagalath, Lakshithe. In: Finance. RePEc:cai:finpug:fina_372_0039. Full description at Econpapers || Download paper | |
2016 | Replica approach to mean-variance portfolio optimization. (2016). Kondor, Imre ; Caccioli, Fabio ; Varga-Haszonits, Istvan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68955. Full description at Econpapers || Download paper | |
2016 | Probability of Default and Default Correlations. (2016). Li, Weiping. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:7-:d:73405. Full description at Econpapers || Download paper | |
2016 | PRICING COVARIANCE SWAPS FOR BARNDORFFâNIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS. (2016). Habtemicael, Semere ; Sengupta, Indranil. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:03:n:s2010495216500123. Full description at Econpapers || Download paper | |
2016 | Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets. (2016). Habtemicael, Semere ; Sengupta, Indranil. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:04:n:s2424786316500274. Full description at Econpapers || Download paper | |
2016 | SIMULTANEOUS TRADING IN âLITâ AND DARK POOLS. (2016). Crisafi, Alessandra M ; Macrina, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:08:n:s0219024916500552. Full description at Econpapers || Download paper |
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2015 | Option pricing and hedging with execution costs and market impact. (2015). Gueant, Olivier ; Pu, Jiang. In: Post-Print. RePEc:hal:journl:hal-01393124. Full description at Econpapers || Download paper | |
2015 | Optimal investment in multidimensional Markov-modulated affine models. (2015). Escobar Anel, Marcos ; Neykova, Daniela ; Zagst, Rudi. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:503-530. Full description at Econpapers || Download paper |