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International Journal of Theoretical and Applied Finance
H-index 5

International Journal of Theoretical and Applied Finance

0219-0249

Published by: World Scientific

https://www.worldscientific.com/worldscinet/ijtaf

Ranking & Metrics

Discipline name Position Best Scientists Publications D-Index
Economics and Finance 488 9 15 4

Additional Metrics

Number of Best Scientists*: 16
Documents by Best Scientists*: 23
Top 100 Ranked Scientists*: 0
SCIMAGO H-index: 40
SCIMAGO SJR: 0.282
Impact Factor: 0.4

Overview

Top Research Topics at International Journal of Theoretical and Applied Finance?

The journal investigates studies in Econometrics, Financial economics, Mathematical optimization, Applied mathematics and Mathematical economics. The studies in Econometrics featured incorporate elements of Actuarial science and Portfolio. Actuarial science study tackled is connected to the field of Valuation (finance).

The works on Portfolio deal in particular with Portfolio optimization. The journal links adjacent topics like Financial economics with Financial market. Stochastic volatility research discussed connects with the study of Implied volatility.

The work tackled in International Journal of Theoretical and Applied Finance goes beyond the discipline of Implied volatility as it also encompasses Volatility smile. It focuses on Volatility smile as well as the interrelated topic of Volatility swap.

  • Econometrics (40.13%)
  • Financial economics (17.26%)
  • Mathematical optimization (15.33%)

What are the most cited papers published in the journal?

  • VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (573 citations)
  • American options with regime switching (404 citations)
  • CRASHES AS CRITICAL POINTS (353 citations)

Research areas of the most cited articles at International Journal of Theoretical and Applied Finance:

The most cited articles are mainly concerned with subjects like Econometrics, Financial economics, Mathematical optimization, Stochastic volatility and Volatility (finance). Issues in Econometrics were discussed in the published articles, taking into consideration concepts from other disciplines like Replicating portfolio, Credit derivative, Actuarial science, Credit valuation adjustment and Expected shortfall. The journal articles focus on Stochastic volatility but the discussions also offer insight into other areas such as Implied volatility, Monte Carlo method and Applied mathematics.

What topics the last edition of the journal is best known for?

  • Statistics
  • Mathematical analysis
  • Finance

The previous edition focused in particular on these issues:

The primary areas of discussion in the journal are Econometrics, Applied mathematics, Mathematical optimization, Investment (macroeconomics) and Portfolio optimization. Econometrics research presented in it encompasses a variety of subjects, including Market liquidity, Asset (economics) and Credit risk. The journal addresses concerns in Applied mathematics which are intertwined with other disciplines, such as Structure (category theory), Stochastic volatility, Class (set theory), Interest rate and Polynomial.

The journal facilitates discussions on Stochastic volatility that incorporate concepts from other fields like Issuer, Credit valuation adjustment and Valuation of options. The studies on Mathematical optimization discussed can also contribute to research in the domains of Discrete time and continuous time, Markov process and Portfolio. In addition to Portfolio optimization research, International Journal of Theoretical and Applied Finance aims to explore topics under Class (biology), Randomness, CVAR and Coherent risk measure.

The most cited articles from the last journal are:

  • DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (3 citations)
  • DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS (1 citations)
  • COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (1 citations)

Papers citation over time

A key indicator for each journal is its effectiveness in reaching other researchers with the papers published at that venue.

The chart below presents the interquartile range (first quartile 25%, median 50% and third quartile 75%) of the number of citations of articles over time.

The top authors publishing in International Journal of Theoretical and Applied Finance (based on the number of publications) are:

  • Robert J. Elliott (13 papers) absent at the last edition,
  • Yue Kuen Kwok (13 papers) published 1 paper at the last edition the same number as at the previous edition,
  • Frank J. Fabozzi (13 papers) absent at the last edition,
  • Damiano Brigo (12 papers) absent at the last edition,
  • Fred Espen Benth (11 papers) absent at the last edition.

The overall trend for top authors publishing in this journal is outlined below. The chart shows the number of publications at each edition of the journal for top authors.

Only papers with recognized affiliations are considered

The top affiliations publishing in International Journal of Theoretical and Applied Finance (based on the number of publications) are:

  • Imperial College London (31 papers) absent at the last edition,
  • University of Oxford (24 papers) absent at the last edition,
  • Hong Kong University of Science and Technology (18 papers) published 1 paper at the last edition, 1 less than at the previous edition,
  • University of Technology, Sydney (17 papers) absent at the last edition,
  • University of Paris (16 papers) absent at the last edition.

The overall trend for top affiliations publishing in this journal is outlined below. The chart shows the number of publications at each edition of the journal for top affiliations.

Publication chance based on affiliation

The publication chance index shows the ratio of articles published by the best research institutions in the journal edition to all articles published within that journal. The best research institutions were selected based on the largest number of articles published during all editions of the journal.

The chart below presents the percentage ratio of articles from top institutions (based on their ranking of total papers).Top affiliations were grouped by their rank into the following tiers: top 1-10, top 11-20, top 21-50, and top 51+. Only articles with a recognized affiliation are considered.

During the most recent 2021 edition, 8.82% of publications had an unrecognized affiliation. Out of the publications with recognized affiliations, 6.45% were posted by at least one author from the top 10 institutions publishing in the journal. Another 12.90% included authors affiliated with research institutions from the top 11-20 affiliations. Institutions from the 21-50 range included 29.03% of all publications and 51.61% were from other institutions.

Returning Authors Index

A very common phenomenon observed among researchers publishing scientific articles is the intentional selection of journals they have already attended in the past. In particular, it is worth analyzing the case when the authors participate in the same journal from year to year.

The Returning Authors Index presented below illustrates the ratio of authors who participated in both a given as well as the previous edition of the journal in relation to all participants in a given year.

Returning Institution Index

The graph below shows the Returning Institution Index, illustrating the ratio of institutions that participated in both a given and the previous edition of the conference in relation to all affiliations present in a given year.

The experience to innovation index

Our experience to innovation index was created to show a cross-section of the experience level of authors publishing in a journal. The index includes the authors publishing at the last edition of a journal, grouped by total number of publications throughout their academic career (P) and the total number of citations of these publications ever received (C).

The group intervals were selected empirically to best show the diversity of the authors' experiences, their labels were selected as a convenience, not as judgment. The authors were divided into the following groups:

  • Novice - P < 5 or C < 25 (the number of publications less than 5 or the number of citations less than 25),
  • Competent - P < 10 or C < 100 (the number of publications less than 10 or the number of citations less than 100),
  • Experienced - P < 25 or C < 625 (the number of publications less than 25 or the number of citations less than 625),
  • Master - P < 50 or C < 2500 (the number of publications less than 50 or the number of citations less than 2500),
  • Star - P ≥ 50 and C ≥ 2500 (both the number of publications greater than 50 and the number of citations greater than 2500).

The chart below illustrates experience levels of first authors in cases of publications with multiple authors.

Educational Background of Authors in the Journal

Another important aspect to consider when analyzing the caliber of research in any journal is the educational background of the authors contributing articles. Recognizing that the knowledge and skills to conduct high-level financial research often stems from attending top academic institutions, it can be crucial to identify the frequency of contributions from authors who completed their education at recognized universities, including those specializing in finance and accounting. For instance, the depth of research in theoretical and applied finance might be particularly enriched by authors who have completed their education from one of the best accounting programs in Maine. Such institutions are known for their rigorous training and curriculum in finance and accounting, equipping their graduates with the competence to contribute substantial research in the field. However, this aspect requires a comprehensive review to uncover the true representation of authors from top institutes in the publishing journal. This section aims to present a descriptive analysis of the number of authors in the International Journal of Theoretical and Applied Finance who graduated from top accounting/finance programs. Further analysis should be conducted to substantiate observations and deductions made in this context. Stay tuned for updates about exciting trends and correlations we dig up in this fresh perspective of evaluating journal quality.

Top Publications

  • OPTION PRICING IN MARKETS WITH INFORMED TRADERS

    Yuan Hu;Abootaleb Shirvani;Stoyan Stoyanov;Young Shin Kim

    (2020)
    12 Citations
  • MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS

    Dilip B. Madan

    (2020)
    12 Citations
  • OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES

    Dilip B. Madan;King Wang

    (2021)
    12 Citations
  • APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES

    (2022)
    11 Citations
  • APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES

    Eckhard Platen;Eckhard Platen;Renata Rendek

    (2020)
    4 Citations

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Best Scientists Contributing to This Journal