International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.
Citation Profile [Updated: 2023-11-03 08:28:08]
5 Years H Index
29
Impact Factor (IF)
0.4
5 Years IF
0.36
Data available in this
report
[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]
Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 2019 | 0.3 | 0.58 | 8.77 | 0.37 | 57 | 57 | 99 | 500 | 500 | 115 | 35 | 281 | 104 | 46 | 9.2 | 9 | 0.16 | 0.23 |
| 2020 | 0.37 | 0.7 | 4.83 | 0.43 | 55 | 112 | 67 | 541 | 1041 | 116 | 43 | 283 | 122 | 14 | 2.6 | 5 | 0.09 | 0.33 |
| 2021 | 0.36 | 0.87 | 3.34 | 0.37 | 30 | 142 | 24 | 474 | 1515 | 112 | 40 | 282 | 103 | 0 | 3 | 0.1 | 0.32 | |
| 2022 | 0.4 | 1 | 2.37 | 0.36 | 36 | 178 | 8 | 422 | 1937 | 85 | 34 | 257 | 93 | 0 | 3 | 0.08 | 0.31 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years 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 |
50 most cited documents in this series
| # | 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 | 265 |
| 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 | 183 |
| 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 | 119 |
| 4 | 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 | 94 |
| 5 | 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 | 90 |
| 6 | 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 | 78 |
| 7 | 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 | 63 |
| 8 | 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 | 60 |
| 9 | 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 | 58 |
| 10 | 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 | 56 |
| 11 | 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 | 53 |
| 12 | 2002 | LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES. (2002). Brigo, Damiano ; Mercurio, Fabio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:05:y:2002:i:04:n:s0219024902001511. Full description at Econpapers || Download paper | 52 |
| 13 | 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 | 52 |
| 14 | 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 | 50 |
| 15 | 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 | 46 |
| 16 | 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 | 42 |
| 17 | 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:n:s021902490900549x. Full description at Econpapers || Download paper | 39 |
| 18 | 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 | 38 |
| 19 | 2000 | OPTION PRICING FOR TRUNCATED LÃâ°VY 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 | 38 |
| 20 | 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 | 36 |
| 21 | 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 | 36 |
| 22 | 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 | 35 |
| 23 | 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 | 33 |
| 24 | 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 | 33 |
| 25 | 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:n:s0219024912500446. Full description at Econpapers || Download paper | 32 |
| 26 | 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 | 32 |
| 27 | 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 | 31 |
| 28 | 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 | 30 |
| 29 | 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 | 30 |
| 30 | 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 | 28 |
| 31 | 2003 | Backward Stochastic PDE and Imperfect Hedging. (2003). Mania, M ; Tevzadze, R. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:06:y:2003:i:07:n:s0219024903002122. Full description at Econpapers || Download paper | 28 |
| 32 | 2001 | BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY. (2001). Johansen, Anders ; Sornette, Didier. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:06:n:s0219024901001218. Full description at Econpapers || Download paper | 27 |
| 33 | 2000 | FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS. (2000). Matacz, Andrew. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:01:n:s0219024900000073. Full description at Econpapers || Download paper | 27 |
| 34 | 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 | 26 |
| 35 | 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 | 26 |
| 36 | 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 | 25 |
| 37 | 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:n:s021902491000570x. Full description at Econpapers || Download paper | 25 |
| 38 | 2013 | ASYMPTOTICS FOR EXPONENTIAL LÃâ°VY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS. (2013). Andersen, Leif ; Lipton, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:01:n:s0219024913500015. Full description at Econpapers || Download paper | 25 |
| 39 | 2008 | PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES. (2008). Frey, Rudiger ; BACKHAUS, JOCHEN. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:06:n:s0219024908004956. Full description at Econpapers || Download paper | 25 |
| 40 | 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 | 24 |
| 41 | 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 | 23 |
| 42 | 2009 | ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY. (2009). Roper, Michael ; Rutkowski, Marek. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:04:n:s0219024909005336. Full description at Econpapers || Download paper | 23 |
| 43 | 2008 | LONG-RANGE DEPENDENCE IN EXCHANGE RATES: THE CASE OF THE EUROPEAN MONETARY SYSTEM. (2008). Tabak, Benjamin ; Cajueiro, Daniel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:02:n:s0219024908004774. Full description at Econpapers || Download paper | 23 |
| 44 | 2011 | ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Brigo, Damiano ; PAPATHEODOROU, VASILEIOS ; Pallavicini, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006759. Full description at Econpapers || Download paper | 22 |
| 45 | 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 | 22 |
| 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 | 21 |
| 47 | 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 | 21 |
| 48 | 2000 | CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS. (2000). Lo, C F ; Hui, C H ; Yuen, P H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000814. Full description at Econpapers || Download paper | 21 |
| 49 | 1999 | NEURAL NETWORKS FOR TECHNICAL ANALYSIS: A STUDY ON KLCI. (1999). Yao, Jingtao ; Poh, Hean-Lee ; Tan, Chew Lim . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:02:y:1999:i:02:n:s0219024999000145. Full description at Econpapers || Download paper | 21 |
| 50 | 2004 | MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX. (2004). Platen, Eckhard. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:07:y:2004:i:04:n:s0219024904002499. Full description at Econpapers || Download paper | 20 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 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 | 39 |
| 2 | 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 | 27 |
| 3 | 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 | 25 |
| 4 | 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 | 22 |
| 5 | 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 | 22 |
| 6 | 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 | 19 |
| 7 | 2000 | OPTION PRICING FOR TRUNCATED LÃâ°VY 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 | 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 | 13 |
| 9 | 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 | 13 |
| 10 | 2019 | HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS. (2019). Garcin, Matthieu. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500249. Full description at Econpapers || Download paper | 12 |
| 11 | 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 | 11 |
| 12 | 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 | 11 |
| 13 | 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 |
| 14 | 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 | 9 |
| 15 | 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 | 9 |
| 16 | 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 | 9 |
| 17 | 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 | 8 |
| 18 | 2019 | RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION. (2019). Radoii, Rado ; Gatheral, Jim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500109. Full description at Econpapers || Download paper | 8 |
| 19 | 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 | 8 |
| 20 | 2018 | XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS. (2018). Abbas-Turki, Lokman A ; Diallo, Babacar ; Crepey, Stephane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500309. Full description at Econpapers || Download paper | 8 |
| 21 | 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 | 8 |
| 22 | 2015 | UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH. (2015). Jeanblanc, Monique ; Reveillac, Anthony ; Possamai, Dylan ; Mastrolia, Thibaut. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500454. Full description at Econpapers || Download paper | 8 |
| 23 | 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 | 7 |
| 24 | 2019 | SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS. (2019). Jourdain, Benjamin ; Corbetta, Jacopo ; Alfonsi, Aurelien. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s021902491950002x. Full description at Econpapers || Download paper | 7 |
| 25 | 2019 | OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT. (2019). Lorig, Matthew ; Barger, Weston. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:02:n:s0219024918500590. Full description at Econpapers || Download paper | 7 |
| 26 | 2017 | EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT. (2017). Sass, Jorn ; Wunderlich, Ralf ; Westphal, Dorothee. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500224. Full description at Econpapers || Download paper | 7 |
| 27 | 2009 | PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÃâ°VY-DRIVEN MODELS. (2009). BOYARCHENKO, MITYA ; Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:08:n:s0219024909005610. Full description at Econpapers || Download paper | 7 |
| 28 | 2011 | ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Brigo, Damiano ; PAPATHEODOROU, VASILEIOS ; Pallavicini, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006759. Full description at Econpapers || Download paper | 7 |
| 29 | 2004 | PRICING OF THE AMERICAN PUT UNDER LÃâ°VY 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 |
| 30 | 2002 | LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES. (2002). Brigo, Damiano ; Mercurio, Fabio . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:05:y:2002:i:04:n:s0219024902001511. Full description at Econpapers || Download paper | 7 |
| 31 | 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 | 7 |
| 32 | 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 | 7 |
| 33 | 2013 | ASYMPTOTICS FOR EXPONENTIAL LÃâ°VY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS. (2013). Andersen, Leif ; Lipton, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:01:n:s0219024913500015. Full description at Econpapers || Download paper | 6 |
| 34 | 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 |
| 35 | 2019 | SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS. (2019). Boyarchenko, Svetlana ; Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500110. Full description at Econpapers || Download paper | 6 |
| 36 | 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 | 6 |
| 37 | 1999 | THE ENTROPIC MARKET HYPOTHESIS. (1999). Gulko, Les. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:02:y:1999:i:03:n:s0219024999000170. Full description at Econpapers || Download paper | 6 |
| 38 | 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 |
| 39 | 2014 | THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION. (2014). van der Stoep, Anthonie W ; Oosterlee, Cornelis W ; Grzelak, Lech A. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:07:n:s0219024914500459. Full description at Econpapers || Download paper | 6 |
| 40 | 1999 | NEURAL NETWORKS FOR TECHNICAL ANALYSIS: A STUDY ON KLCI. (1999). Yao, Jingtao ; Poh, Hean-Lee ; Tan, Chew Lim . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:02:y:1999:i:02:n:s0219024999000145. Full description at Econpapers || Download paper | 6 |
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| 42 | 2005 | PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE. (2005). Bianchi, Sergio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:02:n:s0219024905002937. Full description at Econpapers || Download paper | 6 |
| 43 | 2014 | EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK. (2014). , Cornelis ; Oosterlee, Cornelis W ; Kandhai, Drona ; Feng, Qian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:04:n:s0219024914500241. Full description at Econpapers || Download paper | 6 |
| 44 | 2014 | EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL. (2014). Buryak, Alexander ; Guo, Ivan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:06:n:s0219024914500368. Full description at Econpapers || Download paper | 6 |
| 45 | 2017 | ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION. (2017). Cong, F ; Oosterlee, C W. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500492. Full description at Econpapers || Download paper | 6 |
| 46 | 2013 | EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS. (2013). Boyarchenko, Svetlana ; Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:16:y:2013:i:03:n:s0219024913500118. Full description at Econpapers || Download paper | 6 |
| 47 | 1999 | THE ENTROPY THEORY OF STOCK OPTION PRICING. (1999). Gulko, Les. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:02:y:1999:i:03:n:s0219024999000182. Full description at Econpapers || Download paper | 5 |
| 48 | 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 | 5 |
| 49 | 2010 | UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS. (2010). Kallsen, Jan ; Muhle-Karbe, Johannes. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:03:n:s0219024910005851. Full description at Econpapers || Download paper | 5 |
| 50 | 2011 | INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA. (2011). Musiela, M ; Zariphopoulou, T. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:01:n:s0219024911006267. Full description at Econpapers || Download paper | 5 |
Citing documents used to
compute impact factor: 34
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| 2022 | Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph. In: Papers. RePEc:arx:papers:2209.07823. Full description at Econpapers || Download paper | |
| 2022 | Set-valued dynamic risk measures for processes and for vectors. (2022). Feinstein, Zachary ; Chen, Yanhong. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00476-9. Full description at Econpapers || Download paper | |
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| 2022 | Multi-step barrier products and static hedging. (2022). Lee, Gaeun ; Ho, Yang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000316. Full description at Econpapers || Download paper | |
| 2022 | Equilibrium price in intraday electricity markets. (2022). Pham, Huyen ; Cosso, Andrea ; Aid, Rene. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:2:p:517-554. Full description at Econpapers || Download paper | |
| 2022 | Efectos de las instituciones en la dinámica emprendedora del Mercosur durante el perÃodo 2002-2017. (2022). Figueroa, Dario ; Lopez, Jesus Eduardo ; Guerrero, Ana Karen ; Basilico, Natali. In: REVISTA TENDENCIAS. RePEc:col:000520:020254. Full description at Econpapers || Download paper | |
| 2022 | Malliavin differentiability of fractional Heston-type model and applications to option pricing. (2022). Mpanda, Marc Mukendi. In: Papers. RePEc:arx:papers:2207.10709. Full description at Econpapers || Download paper | |
| 2022 | Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688. Full description at Econpapers || Download paper | |
| 2022 | Pricing VXX options by modeling VIX directly. (2022). Zhang, Jin E ; Lin, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:888-922. Full description at Econpapers || Download paper | |
| 2022 | Pricing variance swaps under subordinated Jacobi stochastic volatility models. (2022). Liu, Allen ; Tong, Zhigang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s037843712200053x. Full description at Econpapers || Download paper | |
| 2022 | Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis. (2022). Fabozzi, Frank J ; Shirvani, Abootaleb ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000501. Full description at Econpapers || Download paper | |
| 2022 | Efficient Pricing and Calibration of High-Dimensional Basket Options. (2022). Gatarek, Dariusz ; Jablecki, Juliusz ; Grzelak, Lech A. In: Papers. RePEc:arx:papers:2206.09877. Full description at Econpapers || Download paper | |
| 2022 | Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003. Full description at Econpapers || Download paper | |
| 2022 | Two sided efficient frontiers at multiple time horizons. (2022). Wang, King ; Madan, Dilip B. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:3:d:10.1007_s10436-022-00411-0. Full description at Econpapers || Download paper | |
| 2022 | Short term decumulation strategies for underspending retirees. (2022). Forsyth, Peter A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:56-74. Full description at Econpapers || Download paper | |
| 2022 | A repo model of fire sales with VWAP and LOB pricing mechanisms. (2022). Feinstein, Zachary ; Bichuch, Maxim. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:1:p:353-367. Full description at Econpapers || Download paper | |
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| 2022 | Discrete-time risk sensitive portfolio optimization with proportional transaction costs. (2022). Stettner, Lukasz ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2201.02828. Full description at Econpapers || Download paper | |
| 2022 | Kyles Model with Stochastic Liquidity. (2022). Mostowski, Brad ; Ekren, Ibrahim ; Vzitkovi, Gordan . In: Papers. RePEc:arx:papers:2204.11069. Full description at Econpapers || Download paper | |
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| 2022 | On simulation of rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan. In: Papers. RePEc:arx:papers:2108.01999. Full description at Econpapers || Download paper | |
| 2022 | Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model. (2022). Onalan, Omer. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:1:p:68-84. Full description at Econpapers || Download paper | |
| 2022 | Pricing basket spread options with default risk under HestonâNandi GARCH models. (2022). Wang, Xingchun ; Zhang, Han. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001960. Full description at Econpapers || Download paper | |
| 2022 | Valuing fade-in options with default risk in HestonâNandi GARCH models. (2022). Wang, Xingchun. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09179-3. Full description at Econpapers || Download paper | |
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| 2022 | CVA in fractional and rough volatility models. (2022). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Papers. RePEc:arx:papers:2204.11554. Full description at Econpapers || Download paper | |
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| 2022 | Unprofitability of food market investments. (2022). Auer, Benjamin R ; Vinzelberg, Anja. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:43:y:2022:i:7:p:2887-2910. Full description at Econpapers || Download paper | |
| 2022 | Constrained dynamic futures portfolios with stochastic basis. (2022). Leung, Tim ; Chen, Xiaodong ; Zhou, Yang. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:1:d:10.1007_s10436-021-00398-0. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2022
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| 2022 | A Flexible Commodity Skew Model with Maturity Effects. (2022). Hientzsch, Bernhard ; Ogetbil, Orcan. In: Papers. RePEc:arx:papers:2212.07972. Full description at Econpapers || Download paper | |
| 2022 | A dynamics model of two kinds of knowledge transmission on duplex networks. (2022). Yan, Xin ; Jin, Zhen ; Zhu, Hongmiao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:608:y:2022:i:p1:s0378437122008408. Full description at Econpapers || Download paper | |
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Recent citations received in 2021
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| 2021 | Capital growth and survival strategies in a market with endogenous prices. (2021). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2101.09777. Full description at Econpapers || Download paper | |
| 2021 | Asymptotically optimal strategies in a diffusion approximation of a repeated betting game. (2021). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2108.11998. Full description at Econpapers || Download paper | |
| 2021 | AumannâSerrano index of risk in portfolio optimization. (2021). Fan, QI ; Kim, Young Shin ; Li, Tiantian ; Zhu, Fumin. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:94:y:2021:i:2:d:10.1007_s00186-021-00753-x. Full description at Econpapers || Download paper |
Recent citations received in 2020
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| 2020 | Finite Mixture Approximation of CARMA(p,q) Models. (2020). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Papers. RePEc:arx:papers:2005.10130. Full description at Econpapers || Download paper | |
| 2020 | Equilibrium price in intraday electricity markets. (2020). Cosso, Andrea ; Ren'e Aid, ; Pham, Huyen. In: Papers. RePEc:arx:papers:2010.09285. Full description at Econpapers || Download paper | |
| 2020 | Option Pricing Incorporating Factor Dynamics in Complete Markets. (2020). Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2011.08343. Full description at Econpapers || Download paper | |
| 2020 | Intraday Electricity Pricing of Night Contracts. (2020). Paraschiv, Florentina ; Kiesel, Rudiger ; Kremer, Marcel. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:17:p:4501-:d:406944. Full description at Econpapers || Download paper | |
| 2020 | Modeling Multivariate Financial Series and Computing Risk Measures via GramâCharlier-Like Expansions. (2020). Zoia, Maria ; Vacca, Gianmarco ; Barbieri, Laura. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:123-:d:445689. Full description at Econpapers || Download paper |
Recent citations received in 2019
| Year | Citing document | |
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| 2019 | Static and semi-static hedging as contrarian or conformist bets. (2019). Boyarchenko, Svetlana ; Levendorskii, Sergei. In: Papers. RePEc:arx:papers:1902.02854. Full description at Econpapers || Download paper | |
| 2019 | On the consistency of jump-diffusion dynamics for FX rates under inversion. (2019). Pallavicini, Andrea ; Brigo, Damiano ; Graceffa, Federico. In: Papers. RePEc:arx:papers:1905.05310. Full description at Econpapers || Download paper | |
| 2019 | Latency and Liquidity Risk. (2019). , Leandro ; Jaimungal, Sebastian ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:1908.03281. Full description at Econpapers || Download paper | |
| 2019 | Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models. (2019). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:1912.06948. Full description at Econpapers || Download paper | |
| 2019 | Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery. (2019). Soleymani, Fazlollah ; Itkin, Andrey. In: Papers. RePEc:arx:papers:1912.08713. Full description at Econpapers || Download paper | |
| 2019 | Two frameworks for pricing defaultable derivatives. (2019). Kounchev, Ognyan ; Zaevski, Tsvetelin S ; Savov, Mladen . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:123:y:2019:i:c:p:309-319. Full description at Econpapers || Download paper | |
| 2019 | News and subjective beliefs: A Bayesian approach to Bitcoin investments. (2019). Flori, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:336-356. Full description at Econpapers || Download paper | |
| 2019 | Fractal analysis of the multifractality of foreign exchange rates. (2019). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-02283915. Full description at Econpapers || Download paper | |
| 2019 | Extreme at-the-money skew in a local volatility model. (2019). Pigato, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00406-2. Full description at Econpapers || Download paper |
10 most frequent citing series