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

Citation Profile [Updated: 2025-11-20 18:08:17]

5 Years H Index

Impact Factor (IF)

0.19

5 Years IF

0.3

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
1998	0	0.27	0.11	0	27	27	241	3	3	0		0			0	3	0.11	0.13
1999	0.26	0.29	0.18	0.26	22	49	140	9	12	27	7	27	7		0		0	0.14
2000	0.22	0.34	0.16	0.22	79	128	838	21	33	49	11	49	11		0	6	0.08	0.16
2001	0.13	0.38	0.16	0.14	43	171	237	25	60	101	13	128	18	4	16	3	0.07	0.17
2002	0.16	0.39	0.16	0.17	44	215	322	35	95	122	19	171	29	2	5.7	2	0.05	0.2
2003	0.18	0.43	0.18	0.2	45	260	172	46	141	87	16	215	42	1	2.2	2	0.04	0.21
2004	0.17	0.47	0.24	0.24	52	312	276	75	217	89	15	233	57	1	1.3	7	0.13	0.21
2005	0.2	0.5	0.26	0.24	55	367	394	93	312	97	19	263	64		0	4	0.07	0.23
2006	0.15	0.49	0.2	0.2	63	430	297	87	399	107	16	239	47	2	2.3	2	0.03	0.22
2007	0.23	0.44	0.24	0.17	62	492	218	114	516	118	27	259	44	2	1.8		0	0.2
2008	0.17	0.47	0.23	0.22	40	532	400	125	641	125	21	277	61		0	6	0.15	0.22
2009	0.22	0.46	0.24	0.2	54	586	388	142	783	102	22	272	54		0	4	0.07	0.23
2010	0.4	0.46	0.25	0.31	55	641	280	163	946	94	38	274	84		0	2	0.04	0.2
2011	0.32	0.51	0.25	0.27	55	696	415	168	1117	109	35	274	74		0	7	0.13	0.24
2012	0.32	0.5	0.33	0.36	60	756	408	252	1369	110	35	266	95		0	10	0.17	0.21
2013	0.46	0.54	0.31	0.38	51	807	279	247	1616	115	53	264	101	1	0.4	6	0.12	0.24
2014	0.45	0.53	0.42	0.48	55	862	226	359	1975	111	50	275	132	3	0.8	2	0.04	0.22
2015	0.3	0.53	0.35	0.38	56	918	243	324	2299	106	32	276	106	8	2.5	5	0.09	0.22
2016	0.41	0.5	0.49	0.56	55	973	221	478	2777	111	46	277	155	45	9.4	16	0.29	0.2
2017	0.37	0.52	0.42	0.38	56	1029	177	436	3213	111	41	277	106	49	11.2	10	0.18	0.21
2018	0.54	0.53	0.51	0.51	59	1088	131	551	3764	111	60	273	140	48	8.7	2	0.03	0.22
2019	0.3	0.54	0.44	0.37	56	1144	130	502	4266	115	34	281	104	45	9	9	0.16	0.21
2020	0.37	0.64	0.45	0.43	55	1199	109	545	4811	115	43	282	121	14	2.6	5	0.09	0.3
2021	0.36	0.74	0.38	0.36	43	1242	45	473	5284	111	40	281	102		0	3	0.07	0.27
2022	0.31	0.74	0.32	0.32	36	1278	25	407	5691	98	30	269	85		0	3	0.08	0.22
2023	0.22	0.7	0.32	0.27	31	1309	14	418	6109	79	17	249	66		0		0	0.2
2024	0.19	0.82	0.3	0.3	37	1346	4	404	6513	67	13	221	66		0		0	0.24

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). Marchesi, Michele ; Lux, Thomas. 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	278
2	2000	CRASHES AS CRITICAL POINTS. (2000). Ledoit, Olivier ; Sornette, Didier ; Johansen, Anders. 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	207
3	2002	AMERICAN OPTIONS WITH REGIME SWITCHING. (2002). Elliott, Robert J ; Buffington, John. 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	132
4	2005	DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION. (2005). Uryasev, Stanislav ; Zabarankin, Michael ; Chekhlov, Alexei. 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	117
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	107
6	2000	RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS. (2000). Cizeau, Pierre ; Potters, Marc ; Laloux, Laurent ; Bouchaud, Jean-Philippe. 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	95
7	1998	Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility. (1998). Kani, Iraj ; Derman, Emanuel. 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	69
8	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	65
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	64
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	63
11	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	59
12	1998	Insider Trading in a Continuous Time Market Model. (1998). Pontier, Monique ; Grorud, Axel. 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	58
13	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	57
14	2009	COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION. (2009). Brigo, Damiano ; Chourdakis, Kyriakos. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s0219024909005567. Full description at Econpapers \|\| Download paper	55
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	50
16	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	48
17	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	46
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	43
19	2009	THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES. (2009). Meyer, Gunter H ; Chiarella, Carl ; Kang, Boda ; Ziogas, Andrew. 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	42
20	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	40
21	2008	EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS. (2008). Kupper, Michael ; Filipovi, Damir. 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
22	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	37
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	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
25	2012	A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD. (2012). Toda, Masashi ; Takehara, Kohta ; Takahashi, Akihiko. 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	34
26	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	33
27	2007	VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING. (2007). Zhu, Yingzi ; Zhang, Jine. 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	33
28	2008	DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). Fabozzi, Frank ; Stoyanov, Stoyan ; Ortobelli, Sergio ; Biglova, Almira ; Rachev, Svetlozar. 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	33
29	2012	STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS. (2012). Cont, Rama ; Amini, Hamed ; Minca, Andreea. 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
30	2007	THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS. (2007). Maghyereh, Aktham ; Al-Zoubi, Haitham. 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	31
31	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	31
32	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	29
33	2001	BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY. (2001). Sornette, Didier ; Johansen, Anders. 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
34	2006	THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY. (2006). Naifar, Nader ; Abid, Fathi. 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	28
35	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	28
36	2003	Backward Stochastic PDE and Imperfect Hedging. (2003). Tevzadze, R ; Mania, M. 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
37	2013	ASYMPTOTICS FOR EXPONENTIAL LÃVY 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	28
38	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
39	2011	ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Pallavicini, Andrea ; Brigo, Damiano ; Papatheodorou, Vasileios. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006759. Full description at Econpapers \|\| Download paper	26
40	2000	MEAN-REVERTING STOCHASTIC VOLATILITY. (2000). Sircar, Ronnie K ; Fouque, Jean-Pierre ; 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	26
41	2014	THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION. (2014). Oosterlee, Cornelis ; Grzelak, Lech ; van der Stoep, Anthonie W. 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	26
42	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
43	2005	VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS. (2005). SADEFO KAMDEM, Jules. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003104. Full description at Econpapers \|\| Download paper	25
44	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
45	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	24
46	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
47	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
48	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
49	2000	CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS. (2000). Yuen, P H ; Hui, C H ; Lo, C F. 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	22
50	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

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). Ledoit, Olivier ; Sornette, Didier ; Johansen, Anders. 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	32
2	2005	DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION. (2005). Uryasev, Stanislav ; Zabarankin, Michael ; Chekhlov, Alexei. 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	29
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	24
4	2002	AMERICAN OPTIONS WITH REGIME SWITCHING. (2002). Elliott, Robert J ; Buffington, John. 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	21
5	2000	RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS. (2000). Cizeau, Pierre ; Potters, Marc ; Laloux, Laurent ; Bouchaud, Jean-Philippe. 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	19
6	2000	VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS. (2000). Marchesi, Michele ; Lux, Thomas. 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	16
7	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	15
8	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	15
9	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	13
10	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
11	2017	EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT. (2017). Wunderlich, Ralf ; Sass, Jorn ; 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	11
12	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	10
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	2019	OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT. (2019). Barger, Weston ; Lorig, Matthew. 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
15	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	8
16	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	8
17	2010	UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS. (2010). Muhle-Karbe, Johannes ; Kallsen, Jan. 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	8
18	2014	THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION. (2014). Oosterlee, Cornelis ; Grzelak, Lech ; van der Stoep, Anthonie W. 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	8
19	1998	Insider Trading in a Continuous Time Market Model. (1998). Pontier, Monique ; Grorud, Axel. 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	7
20	2017	SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY. (2017). Bayraktar, Erhan ; Zhou, Zhou. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500364. Full description at Econpapers \|\| Download paper	7
21	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	7
22	2001	WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS. (2001). Grandechamp, Nicolas ; Avellaneda, Marco ; Kruk, Lukasz ; Newman, Joshua ; 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
23	2018	XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS. (2018). Crepey, Stephane ; Abbas-Turki, Lokman A ; Diallo, Babacar. 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	7
24	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	7
25	2020	BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS. (2020). de Gennaro, Luca ; Bernard, Carole. 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
26	1998	Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility. (1998). Kani, Iraj ; Derman, Emanuel. 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
27	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
28	2008	DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). Fabozzi, Frank ; Stoyanov, Stoyan ; Ortobelli, Sergio ; Biglova, Almira ; Rachev, Svetlozar. 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	7
29	2000	MEAN-REVERTING STOCHASTIC VOLATILITY. (2000). Sircar, Ronnie K ; Fouque, Jean-Pierre ; 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
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	2015	UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH. (2015). Mastrolia, Thibaut ; Jeanblanc, Monique ; Possamai, Dylan ; Reveillac, Anthony. 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	7
32	2017	FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET. (2017). Fabozzi, Frank ; Rachev, Svetlozar T ; Stoyanov, Stoyan V. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500546. Full description at Econpapers \|\| Download paper	7
33	2019	SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS. (2019). Corbetta, Jacopo ; Jourdain, Benjamin ; 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	6
34	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
35	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	6
36	2014	AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION. (2014). Skindilias, Konstantinos ; Lo, Chia Chun. 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	6
37	2020	OPTION PRICING IN MARKETS WITH INFORMED TRADERS. (2020). Kim, Youngshin ; Rachev, Svetlozar T ; Stoyanov, Stoyan ; Fabozzi, Frank J ; Shirvani, Abootaleb ; Hu, Yuan. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:06:n:s0219024920500375. Full description at Econpapers \|\| Download paper	6
38	2011	ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS. (2011). Pallavicini, Andrea ; Brigo, Damiano ; Papatheodorou, Vasileios. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006759. Full description at Econpapers \|\| Download paper	6
39	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
40	2009	NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING. (2009). Liu, R H ; A. Q. M. KHALIQ, . 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
41	2019	A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA. (2019). Pigato, Paolo ; Lejay, Antoine. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500171. Full description at Econpapers \|\| Download paper	5
42	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	5
43	2022	DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL. (2022). Kleinow, Jacob ; Gankhuu, Battulga ; Horsch, Andreas ; Lkhamsuren, Altangerel. 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
44	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	5
45	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	5
46	2000	PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE. (2000). Farmer, J.. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000164. Full description at Econpapers \|\| Download paper	5
47	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	5
48	2010	REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING. (2010). Liu, R H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:03:n:s0219024910005863. Full description at Econpapers \|\| Download paper	5
49	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	5
50	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

Citing documents used to compute impact factor: 13

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2024	Short-maturity asymptotics for VIX and European options in local-stochastic volatility models. (2024). Wang, Xiaoyu ; Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2407.16813. Full description at Econpapers \|\| Download paper
2024	Higher order approximation of option prices in Barndorff-Nielsen and Shephard models. (2024). Roux, Alet. In: Papers. RePEc:arx:papers:2401.14390. Full description at Econpapers \|\| Download paper
2024	The limits of limitless debt. (2024). Filoso, Valerio ; Capasso, Salvatore ; Osband, Kent. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:79:y:2024:i:c:s0164070423000678. Full description at Econpapers \|\| Download paper
2024	Bayesian Markov-Switching Vector Autoregressive Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.11235. Full description at Econpapers \|\| Download paper
2024	Dividend based risk measures: A Markov chain approach. (2024). de Blasis, Riccardo ; D'Amico, Guglielmo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:471:y:2024:i:c:s0096300324000833. Full description at Econpapers \|\| Download paper
2024	The Mertons Default Risk Model for Public Company. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2406.18121. Full description at Econpapers \|\| Download paper
2024	Gordon Growth Model with Vector Autoregressive Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2406.19424. Full description at Econpapers \|\| Download paper
2024	Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty. (2024). Oosterlee, Cornelis W ; Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2410.21110. Full description at Econpapers \|\| Download paper
2024	Does local government debt pressure hamper green transition? Evidence from China. (2024). Zeng, Gang ; Nie, Song ; Guo, Qiaozhe ; Zhang, XU. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:1185-1201. Full description at Econpapers \|\| Download paper
2024	Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Yuan, BO ; Jacquier, Antoine ; Pede, Nicola. In: Papers. RePEc:arx:papers:2411.19317. Full description at Econpapers \|\| Download paper
2024	Unsupervised learning-based calibration scheme for Rough Bergomi model. (2024). Teng, Changqing ; Li, Guanglian. In: Papers. RePEc:arx:papers:2412.02135. Full description at Econpapers \|\| Download paper
2024	Rough differential equations for volatility. (2024). Gasteratos, Ioannis ; Jacquier, Antoine ; Bonesini, Ofelia ; Ferrucci, Emilio. In: Papers. RePEc:arx:papers:2412.21192. Full description at Econpapers \|\| Download paper
2024	The geometry of risk adjustments. (2024). Holm, Magnus ; Bermin, Hans-Peter. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-023-00421-1. Full description at Econpapers \|\| Download paper

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10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	95	954
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4	European Journal of Operational Research / Elsevier	138	58
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10	Journal of Futures Markets / John Wiley & Sons, Ltd.	49	40
11	Stochastic Processes and their Applications / Elsevier	49	37