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International Journal of Theoretical and Applied Finance

World Scientific

AJG 2ABDC B
Abstract coverage—see Methodology
Recent paperssorted by most recent
PaperYearCitations
FILTERING IN A HAZARD RATE CHANGE-POINT MODEL WITH FINANCIAL AND LIFE-INSURANCE APPLICATIONS
MATTEO BUTTARAZZI & CLAUDIA CECI
20260 citations
Emission impossible: Balancing Environmental Concerns and Energy Prices
Rene Aid et al.
20260 citations
Exploring the Interplay of Skewness and Kurtosis: Dynamics in Cryptocurrency Markets Amid the COVID-19 Pandemic
Ariston Karagiorgis et al.
20260 citations
Risk measures based on target risk profiles
Jenni Alexander et al.
20260 citations
Fiscal Sustainability Investigation Based on Cluster Analysis and Panel CS-ARDL Models
Eduardo Lima Campos et al.
20260 citations
A PRINCIPAL–AGENT MODEL FOR OPTIMAL INCENTIVES IN RENEWABLE INVESTMENTS
René Aïd et al.
20253 citations
CHEERS TO ENHANCED PORTFOLIO PERFORMANCE: WINE AS A UNIQUE ASSET CLASS
Mesias Alfeus et al.
20252 citations
EXISTENCE, UNIQUENESS AND POSITIVITY OF SOLUTIONS TO THE GUYON–LEKEUFACK PATH-DEPENDENT VOLATILITY MODEL WITH GENERAL KERNELS
Hervé Andrès & Benjamin Jourdain
20251 citations
LIQUIDITY COMPETITION BETWEEN BROKERS AND AN INFORMED TRADER
Ryan Donnelly & Zi Li
20251 citations
A LONG-MEMORY VERSION OF THE BERGOMI MODEL: PRICING AND CALIBRATION FOR AMERICAN PUT OPTION
Arezou Karimi & Farshid Mehrdoust
20250 citations
Pricing Game Options in Financial Markets with Default: A Doubly Reflected BSDEs Approach
Badr Elmansouri & Mohamed El Otmani
20250 citations
THE NEGATIVE BASIS: BUY THE BOND OR SELL CREDIT DEFAULT SWAP PROTECTION?
Niklas Knecht & Jan-Frederik Mai
20250 citations
A THREE-MOMENT PORTFOLIO SELECTION MODEL: MULTIPLIERS AND DUALITY
Patricia Reis Martins et al.
20250 citations
OPTION PRICE ASYMPTOTICS UNDER A STOCHASTIC VOLATILITY LÉVY MODEL WITH INFINITE ACTIVITY JUMPS
Hossein Jafari et al.
20250 citations
THE DYNAMICS OF PRIVATE EQUITY FUNDS WHEN DRAWDOWNS, PERFORMANCES AND DISTRIBUTIONS ARE CORRELATED
Etienne de Malherbe
20250 citations
THE RECALIBRATION CONUNDRUM: HEDGING VALUATION ADJUSTMENT FOR CALLABLE CLAIMS
Cyril Bénézet et al.
20250 citations
NEW APPROACHES TO PORTFOLIO OPTIMIZATION USING DRAWDOWN TO MEASURE RISK AVERSION
Rui Sá Pereira et al.
20250 citations
MEAN–SEMIVARIANCE OPTIMAL PORTFOLIOS IN DISCRETE TIME USING A GAME-THEORETIC APPROACH
Kristoffer Lindensjö & Vilhelm Niklasson
20250 citations
ON MERTON’S OPTIMAL PORTFOLIO PROBLEM WITH SPORADIC BANKRUPTCY FOR ISOELASTIC UTILITY
Yaacov Kopeliovich et al.
20250 citations
EXPLORATORY MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH REGIME-SWITCHING MARKET DYNAMICS
Yuling Max Chen et al.
20250 citations

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