[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 | |
1998 | 0 | 0.28 | 0.11 | 0 | 27 | 27 | 231 | 3 | 3 | 0 | 0 | 0 | 3 | 0.11 | 0.13 | |||
1999 | 0.26 | 0.31 | 0.18 | 0.26 | 22 | 49 | 133 | 9 | 12 | 27 | 7 | 27 | 7 | 0 | 0 | 0.15 | ||
2000 | 0.22 | 0.36 | 0.16 | 0.22 | 79 | 128 | 790 | 20 | 32 | 49 | 11 | 49 | 11 | 0 | 5 | 0.06 | 0.16 | |
2001 | 0.13 | 0.39 | 0.16 | 0.14 | 43 | 171 | 230 | 25 | 59 | 101 | 13 | 128 | 18 | 4 | 16 | 3 | 0.07 | 0.17 |
2002 | 0.16 | 0.41 | 0.16 | 0.17 | 44 | 215 | 310 | 35 | 94 | 122 | 19 | 171 | 29 | 2 | 5.7 | 2 | 0.05 | 0.21 |
2003 | 0.18 | 0.44 | 0.18 | 0.2 | 45 | 260 | 170 | 46 | 140 | 87 | 16 | 215 | 42 | 1 | 2.2 | 2 | 0.04 | 0.22 |
2004 | 0.17 | 0.5 | 0.24 | 0.24 | 52 | 312 | 263 | 75 | 216 | 89 | 15 | 233 | 57 | 1 | 1.3 | 7 | 0.13 | 0.22 |
2005 | 0.2 | 0.51 | 0.26 | 0.24 | 55 | 367 | 372 | 93 | 311 | 97 | 19 | 263 | 64 | 0 | 4 | 0.07 | 0.24 | |
2006 | 0.15 | 0.51 | 0.2 | 0.2 | 63 | 430 | 282 | 87 | 398 | 107 | 16 | 239 | 47 | 2 | 2.3 | 2 | 0.03 | 0.23 |
2007 | 0.22 | 0.46 | 0.23 | 0.17 | 62 | 492 | 210 | 112 | 513 | 118 | 26 | 259 | 43 | 2 | 1.8 | 0 | 0.2 | |
2008 | 0.16 | 0.49 | 0.23 | 0.22 | 40 | 532 | 385 | 124 | 637 | 125 | 20 | 277 | 60 | 0 | 6 | 0.15 | 0.23 | |
2009 | 0.21 | 0.48 | 0.24 | 0.19 | 54 | 586 | 371 | 139 | 776 | 102 | 21 | 272 | 52 | 0 | 4 | 0.07 | 0.24 | |
2010 | 0.4 | 0.49 | 0.25 | 0.31 | 55 | 641 | 257 | 160 | 936 | 94 | 38 | 274 | 84 | 0 | 2 | 0.04 | 0.21 | |
2011 | 0.32 | 0.52 | 0.25 | 0.27 | 55 | 696 | 392 | 168 | 1107 | 109 | 35 | 274 | 74 | 0 | 7 | 0.13 | 0.24 | |
2012 | 0.32 | 0.52 | 0.33 | 0.35 | 60 | 756 | 388 | 247 | 1354 | 110 | 35 | 266 | 94 | 0 | 10 | 0.17 | 0.22 | |
2013 | 0.46 | 0.56 | 0.3 | 0.38 | 51 | 807 | 258 | 246 | 1600 | 115 | 53 | 264 | 101 | 1 | 0.4 | 6 | 0.12 | 0.24 |
2014 | 0.45 | 0.55 | 0.41 | 0.48 | 55 | 862 | 211 | 357 | 1957 | 111 | 50 | 275 | 132 | 3 | 0.8 | 2 | 0.04 | 0.23 |
2015 | 0.3 | 0.55 | 0.35 | 0.38 | 56 | 918 | 228 | 324 | 2281 | 106 | 32 | 276 | 106 | 8 | 2.5 | 5 | 0.09 | 0.23 |
2016 | 0.41 | 0.53 | 0.49 | 0.56 | 55 | 973 | 211 | 476 | 2757 | 111 | 46 | 277 | 155 | 45 | 9.5 | 16 | 0.29 | 0.21 |
2017 | 0.37 | 0.54 | 0.42 | 0.38 | 56 | 1029 | 153 | 434 | 3191 | 111 | 41 | 277 | 106 | 49 | 11.3 | 10 | 0.18 | 0.22 |
2018 | 0.52 | 0.55 | 0.5 | 0.5 | 59 | 1088 | 116 | 540 | 3731 | 111 | 58 | 273 | 137 | 48 | 8.9 | 2 | 0.03 | 0.24 |
2019 | 0.3 | 0.57 | 0.43 | 0.36 | 57 | 1145 | 113 | 497 | 4228 | 115 | 34 | 281 | 102 | 46 | 9.3 | 9 | 0.16 | 0.23 |
2020 | 0.37 | 0.68 | 0.44 | 0.42 | 55 | 1200 | 86 | 532 | 4760 | 116 | 43 | 283 | 120 | 14 | 2.6 | 5 | 0.09 | 0.32 |
2021 | 0.34 | 0.81 | 0.38 | 0.35 | 30 | 1230 | 33 | 464 | 5224 | 112 | 38 | 282 | 100 | 0 | 3 | 0.1 | 0.3 | |
2022 | 0.35 | 0.86 | 0.31 | 0.33 | 36 | 1266 | 15 | 398 | 5622 | 85 | 30 | 257 | 85 | 0 | 3 | 0.08 | 0.26 | |
2023 | 0.24 | 0.92 | 0.31 | 0.29 | 31 | 1297 | 1 | 400 | 6022 | 66 | 16 | 237 | 69 | 0 | 0 | 0.27 |
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 |
# | 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 | 271 |
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 | 198 |
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 | 127 |
4 | 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 | 104 |
5 | 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 | 102 |
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 | 80 |
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 | 67 |
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 | 59 |
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 | 58 |
11 | 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 | 56 |
12 | 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 | 54 |
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 | 54 |
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 | 53 |
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 | 48 |
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 | 44 |
17 | 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 | 44 |
18 | 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 | 42 |
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 | 41 |
20 | 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 | 39 |
21 | 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 | 37 |
22 | 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 |
23 | 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 | 36 |
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 | 35 |
25 | 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 |
26 | 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 |
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 | 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 | 30 |
30 | 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 |
31 | 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 | 29 |
32 | 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 | 29 |
33 | 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 |
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 | 27 |
35 | 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 |
36 | 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 | 26 |
37 | 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 | 26 |
38 | 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 | 26 |
39 | 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 |
40 | 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 | 25 |
41 | 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 |
42 | 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 | 23 |
43 | 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 |
44 | 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 |
45 | 2003 | A CLOSER LOOK AT THE EPPS EFFECT. (2003). Reno, Roberto. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:06:y:2003:i:01:n:s0219024903001839. Full description at Econpapers || Download paper | 23 |
46 | 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 |
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 | 22 |
48 | 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 |
49 | 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 |
50 | 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 |
# | 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 | 38 |
2 | 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 | 24 |
3 | 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 | 24 |
4 | 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 | 22 |
5 | 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 | 22 |
6 | 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 | 17 |
7 | 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 | 12 |
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 | 11 |
9 | 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 | 11 |
10 | 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 | 11 |
11 | 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 | 10 |
12 | 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 | 9 |
13 | 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 |
14 | 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 |
15 | 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 | 8 |
16 | 2012 | EXACT SIMULATION OF THE 3/2 MODEL. (2012). Baldeaux, Jan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:05:n:s021902491250032x. Full description at Econpapers || Download paper | 8 |
17 | 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 |
18 | 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 | 8 |
19 | 2012 | EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL. (2012). Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:07:n:s0219024912500501. Full description at Econpapers || Download paper | 7 |
20 | 2014 | AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION. (2014). Lo, Chia Chun ; Skindilias, Konstantinos. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:07:n:s0219024914500472. Full description at Econpapers || Download paper | 7 |
21 | 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 | 7 |
22 | 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 | 7 |
23 | 2020 | BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS. (2020). Bernard, Carole ; de Gennaro, Luca. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:08:n:s0219024920500508. Full description at Econpapers || Download paper | 7 |
24 | 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 | 7 |
25 | 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 |
26 | 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 |
27 | 2014 | METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES. (2014). Levendorski, Sergei. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:05:n:s0219024914500332. Full description at Econpapers || Download paper | 7 |
28 | 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 | 7 |
29 | 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 |
30 | 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 |
31 | 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 | 6 |
32 | 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 | 6 |
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34 | 2021 | DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS. (2021). Merino, Raul ; Vives, Josep ; Sottinen, Tommi ; Sobotka, Toma ; Pospiil, Jan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:24:y:2021:i:02:n:s0219024921500084. Full description at Econpapers || Download paper | 6 |
35 | 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 |
36 | 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 | 6 |
37 | 2020 | ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS. (2020). Sester, Julian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:03:n:s0219024920500156. Full description at Econpapers || Download paper | 6 |
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39 | 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 | 6 |
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 | 6 |
41 | 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 | 6 |
42 | 2020 | ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION. (2020). Vigna, Elena. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:06:n:s0219024920500429. Full description at Econpapers || Download paper | 6 |
43 | 2009 | NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING. (2009). A. Q. M. KHALIQ, ; Liu, R H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:03:n:s0219024909005245. Full description at Econpapers || Download paper | 6 |
44 | 2020 | MARKET MAKING WITH ALPHA SIGNALS. (2020). Wang, Yixuan ; Cartea, Alvaro. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:03:n:s0219024920500168. Full description at Econpapers || Download paper | 6 |
45 | 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 |
46 | 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 | 5 |
47 | 2022 | DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL. (2022). Gankhuu, Battulga ; Kleinow, Jacob ; Lkhamsuren, Altangerel ; Horsch, Andreas. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:25:y:2022:i:03:n:s0219024922500145. Full description at Econpapers || Download paper | 5 |
48 | 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 | 5 |
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 | 5 |
50 | 2001 | MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS. (2001). Konno, Hiroshi ; Wijayanayake, Annista. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:04:y:2001:i:06:n:s0219024901001292. Full description at Econpapers || Download paper | 5 |
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2023 | Robustness and sensitivity analyses for rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan. In: Papers. RePEc:arx:papers:2107.12462. Full description at Econpapers || Download paper | |
2023 | CVA in fractional and rough volatility models. (2023). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:442:y:2023:i:c:s0096300322007834. Full description at Econpapers || Download paper | |
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2023 | On intermediate Marginals in Martingale Optimal Transportation. (2023). Sester, Julian. In: Papers. RePEc:arx:papers:2307.09710. Full description at Econpapers || Download paper | |
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2023 | A discrete-time optimal execution problem with market prices subject to random environments. (2023). Pacheco, Carlos G ; Jasso-Fuentes, Hector ; Salgado-Suarez, Gladys D. In: TOP: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:topjnl:v:31:y:2023:i:3:d:10.1007_s11750-022-00652-2. Full description at Econpapers || Download paper | |
2023 | A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. (2023). Dang, Duy-Minh ; Zhang, Hanwen. In: Papers. RePEc:arx:papers:2309.05977. Full description at Econpapers || Download paper | |
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2023 | Deep Equal Risk Pricing of Financial Derivatives with Non-Translation Invariant Risk Measures. (2023). Godin, Frederic ; Carbonneau, Alexandre. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:8:p:140-:d:1208530. Full description at Econpapers || Download paper | |
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2023 | Inclusion and Democratization Through Web3 and DeFi? Initial Evidence from the Ethereum Ecosystem. (2023). Tang, Ke ; Cong, Lin ; Zhao, XI ; Wang, Yanxin. In: NBER Working Papers. RePEc:nbr:nberwo:30949. Full description at Econpapers || Download paper | |
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2023 | Executives overseas background and corporate green innovation. (2023). Wang, Chenyu ; Zhu, Yufeng ; Chen, Wen. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:30:y:2023:i:1:p:165-179. Full description at Econpapers || Download paper | |
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