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

Citation Profile [Updated: 2025-02-04 18:53:44]

5 Years H Index

Impact Factor (IF)

0.18

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	0.28	0.11	0	27	27	233	3	3	0		0			0	3	0.11	0.13
1999	0.26	0.31	0.18	0.26	22	49	135	9	12	27	7	27	7		0		0	0.15
2000	0.22	0.36	0.16	0.22	79	128	803	21	33	49	11	49	11		0	6	0.08	0.16
2001	0.13	0.39	0.16	0.14	43	171	233	25	60	101	13	128	18	4	16	3	0.07	0.17
2002	0.16	0.41	0.16	0.17	44	215	315	35	95	122	19	171	29	2	5.7	2	0.05	0.21
2003	0.18	0.44	0.18	0.2	45	260	171	46	141	87	16	215	42	1	2.2	2	0.04	0.22
2004	0.17	0.49	0.24	0.24	52	312	267	75	217	89	15	233	57	1	1.3	7	0.13	0.22
2005	0.2	0.51	0.26	0.24	55	367	376	93	312	97	19	263	64		0	4	0.07	0.24
2006	0.15	0.51	0.2	0.2	63	430	287	87	399	107	16	239	47	2	2.3	2	0.03	0.23
2007	0.23	0.46	0.24	0.17	62	492	213	113	515	118	27	259	44	2	1.8		0	0.2
2008	0.17	0.49	0.23	0.22	40	532	389	125	640	125	21	277	61		0	6	0.15	0.23
2009	0.22	0.48	0.24	0.2	54	586	377	142	782	102	22	272	54		0	4	0.07	0.24
2010	0.4	0.48	0.25	0.31	55	641	261	162	944	94	38	274	84		0	2	0.04	0.21
2011	0.32	0.52	0.25	0.27	55	696	397	168	1115	109	35	274	74		0	7	0.13	0.24
2012	0.32	0.52	0.33	0.36	60	756	395	250	1365	110	35	266	95		0	10	0.17	0.22
2013	0.46	0.56	0.3	0.38	51	807	267	246	1611	115	53	264	101	1	0.4	6	0.12	0.24
2014	0.45	0.55	0.42	0.48	55	862	213	359	1970	111	50	275	132	3	0.8	2	0.04	0.23
2015	0.3	0.55	0.35	0.38	56	918	230	324	2294	106	32	276	106	8	2.5	5	0.09	0.23
2016	0.41	0.52	0.49	0.56	55	973	213	477	2771	111	46	277	155	45	9.4	16	0.29	0.21
2017	0.37	0.54	0.42	0.38	56	1029	161	435	3206	111	41	277	106	49	11.3	10	0.18	0.22
2018	0.54	0.55	0.5	0.51	59	1088	119	545	3751	111	60	273	139	48	8.8	2	0.03	0.23
2019	0.3	0.56	0.44	0.37	57	1145	118	499	4250	115	34	281	104	46	9.2	9	0.16	0.23
2020	0.37	0.67	0.45	0.43	55	1200	93	540	4790	116	43	283	121	14	2.6	5	0.09	0.32
2021	0.36	0.79	0.38	0.36	30	1230	33	473	5263	112	40	282	102		0	3	0.1	0.29
2022	0.35	0.83	0.32	0.34	36	1266	19	406	5669	85	30	257	87		0	3	0.08	0.25
2023	0.24	0.82	0.32	0.28	31	1297	3	409	6078	66	16	237	67		0		0	0.23
2024	0.18	1.05	0.29	0.3	25	1322	0	377	6455	67	12	209	62		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

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	273
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	201
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	129
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	105
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	104
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	85
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	62
9	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	60
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	60
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	57
12	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	55
13	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
14	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
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	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	45
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	44
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	42
19	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
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	38
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	36
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	36
24	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
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	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	33
27	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
28	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	31
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	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
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	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	28
34	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
35	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
36	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
37	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
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	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
40	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
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	24
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	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
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	2009	PRICING AND HEDGING IN CARBON EMISSIONS MARKETS. (2009). Etin, Umut ; Verschuere, Michel . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s0219024909005531. Full description at Econpapers \|\| Download paper	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

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	26
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	21
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	18
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	17
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	14
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	13
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	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	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	10
10	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
11	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
12	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
13	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
14	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
15	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	7
16	2010	MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE. (2010). Madan, Dilip B ; Cherny, Alexander . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:13:y:2010:i:08:n:s0219024910006157. Full description at Econpapers \|\| Download paper	7
17	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	6
18	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	6
19	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	6
20	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
21	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	6
22	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
23	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	6
24	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
25	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	5
26	1998	Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility. (1998). Derman, Emanuel ; Kani, Iraj. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:01:y:1998:i:01:n:s0219024998000059. Full description at Econpapers \|\| Download paper	5
27	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	5
28	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
29	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	5
30	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	5
31	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
32	2008	DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY. (2008). Rachev, Svetlozar ; BIGLOVA, ALMIRA ; Fabozzi, Frank J ; Stoyanov, Stoyan ; Ortobelli, Sergio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:11:y:2008:i:01:n:s0219024908004713. Full description at Econpapers \|\| Download paper	5
33	2017	FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET. (2017). Rachev, Svetlozar T ; Fabozzi, Frank J ; 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	5
34	2018	BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO. (2018). Okhrin, Yarema ; Mazur, Stepan ; Bodnar, Taras ; Bauder, David. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:08:n:s0219024918500541. Full description at Econpapers \|\| Download paper	4
35	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	4
36	2018	MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS. (2018). Arguin, Louis-Pierre ; Wang, Tai-Ho ; Liu, Nien-Lin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500292. Full description at Econpapers \|\| Download paper	4
37	2020	A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEINâUHLENBECK DRIVEN TRADING STRATEGIES. (2020). de Prado, Marcos Lopez ; Lipton, Alexander. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:08:n:s0219024920500569. Full description at Econpapers \|\| Download paper	4
38	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	4
39	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	4
40	2022	WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY. (2022). Tempone, Ral ; Hall, Eric Joseph ; Bayer, Christian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:25:y:2022:i:07n08:n:s0219024922500297. Full description at Econpapers \|\| Download paper	4
41	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	4
42	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	4
43	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	4
44	2011	DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS. (2011). Boyarchenko, Svetlana. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:14:y:2011:i:07:n:s0219024911006620. Full description at Econpapers \|\| Download paper	4
45	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	4
46	2020	OPTION PRICING IN MARKETS WITH INFORMED TRADERS. (2020). Shirvani, Abootaleb ; Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Kim, Young Shin ; Stoyanov, Stoyan. 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	4
47	2017	SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES. (2017). Ararat, Ain ; Rudloff, Birgit ; Hamel, Andreas H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500261. Full description at Econpapers \|\| Download paper	4
48	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	4
49	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	3
50	2022	APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES. (2022). Choi, Soon Hyeok ; Jarrow, Robert A. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:25:y:2022:i:03:n:s0219024922500133. Full description at Econpapers \|\| Download paper	3

Citing documents used to compute impact factor: 12

Year	Title
2024
2024
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
2024
2024
2024	Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Jacquier, Antoine ; Pede, Nicola ; Yuan, BO. 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

Recent citations

Recent citations received in 2023

Year	Citing document

Recent citations received in 2022

Year	Citing document
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
2022	. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	90	864
2	Finance and Stochastics / Springer	57	61
3			52
4	Mathematical Finance / Wiley Blackwell	71	50
5	European Journal of Operational Research / Elsevier	135	50
6	Physica A: Statistical Mechanics and its Applications / Elsevier	74	49
7	Computational Economics / Springer	32	46
8	Risks / MDPI	18	42
9	Insurance: Mathematics and Economics / Elsevier	56	34
10	Annals of Operations Research / Springer	49	31
11	Applied Mathematics and Computation / Elsevier	31	31