Intl Journal of Theoretical & Applied Finance
@ws_ijtaf
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IJTAF brings together experts involved in mathematical modelling of financial instruments and the application of these models to global financial markets.
Joined January 2023
To celebrate the 1st issue published under our new editor-in-chief, Matheus Grasselli, we are pleased to provide #freeaccess to the issue. Feel free to browse, share, and feedback! #finmath #finmathjournal #finmathcommunity #IJTAF #freetoread #share
https://t.co/j0XbQ73v4l
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#featured Volatility and Liquidity on High-Frequency Electricity Futures Markets investigates the relationship between volatility & liquidity on the German electricity futures market based on high-frequency intraday prices. #volatility #liquidity #finmath
https://t.co/rIjdTAHDSg
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We are happy to share the Editorial with all readers around the world and welcome your ideas and feedback. https://t.co/pYFKtSjiG9
#finmath #finmathjournal #finmathcommunity #editorial #IJTAF #freeacces #freetoread
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He also shares the valuable feedback received from the community and announces several exciting new developments, including 3 new managing editors and 2 special issues currently under preparation.
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He traces the stewardship of Lane Hughston, the first editor-in-chief of the journal, which catapulted the journal into a well-known publisher of high-quality papers among the mathematical finance research community.
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In his inaugural editorial as the new editor-in-chief of IJTAF, Matheus Grasselli provides some history, reflections, and perspectives for the future.
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#FeaturedArticle "American Options and Incomplete Information" studies the optimal exercise of #AmericanOptions under incomplete information about the drift of the underlying process and show that quite unexpected phenomena may occur. #OptimalStopping
https://t.co/GcyRWV066J
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#mostcited With almost 400 #citations "Crashes as Critical Points" studies a rational expectation model of #bubbles and crashes. It provides empirical evidence showing that critical log-periodic patterns were indeed present before recent #marketcrashes. https://t.co/ygqbeHvUkk
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#freetoread Bank Panics and Fire Sales, Insolvency and Illiquidity aims to provide a comprehensive model for #systemicrisk and hopes to understand the dangerous spillover effects that are expected to dominate future crises. #bankpanics #firesales #banking
https://t.co/7YgAEiM5yi
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#JustPublished "Kelly Trading and Market Equilibrium" by Hans-Peter Bermin @Lunduni_LUSEM and Magnus Holm @HilbertCapital. #OpenAccess #trading #financialmarket #portfoliotheory #marketequilibrium
https://t.co/hM9tfPVyAq
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Call for Papers Special Issue on the Impacts of Climate Change on Economics, Finance, & Insurance For more details visit https://t.co/QJOv3SLxip
#callforpapers #climatechange #economics #finance #insurance #climaterisk #climatefinance #climateeconomics #climateinsurance #IJTAF
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#MostRead article "Option Implied VIX, Skew and Kurtosis Term Structures" by Dilip Madan and King Wang. #IJTAF #finmath #portfolio #investment #VIX #BilateralGammaModel #freetoread
https://t.co/MmZhhiJyxy
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New year new beginnings! We are happy to welcome our new editor-in-chief Matheus Grasselli @McMasterU and 3 new managing editors: Laura Ballotta @cassbusiness, Sara Biagini @UniLUISS, and Christoph Frei @ualbertaScience! #IJTAF #finmath #finmathjournal
https://t.co/aICqKSXCZg
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