International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2025

Current editor(s): L P Hughston

From World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

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Volume 33, issue 04, 2022

Development of novel kinetic energy functional for orbital-free density functional theory applications pp. 1-14

Vittoria Urso

The influence of temperature on physical properties of a hybrid nanofluid flow in a non-Darcy porous medium pp. 1-24

Nasser S. Elgazery and Amal A. Mady

Traffic dynamics on homogeneous networks with community structure pp. 1-13

Jinlong Ma, Zishuo An, Yi Zhou, Yi Zhang, Xiangyang Xu and Sufeng Li

Volume 33, issue 03, 2022

Impact of interruption probability of the current optimal velocity on traffic stability for car-following model pp. 1-10

Xiaoqin Li, Yanyan Zhou and Guanghan Peng

Volume 33, issue 02, 2022

Optimization of lane-changing advisory of connected and autonomous vehicles at a multi-lane work zone pp. 1-16

Wenjing Wu, Yongbin Zhan, Lili Yang, Renchao Sun and Anning Ni

Numerical study of droplet breakup in an asymmetric T-junction microchannel with different cross-section ratios pp. 1-16

Milad Isanejad and Keivan Fallah

Quantum-inspired firefly algorithm integrated with cuckoo search for optimal path planning pp. 1-21

Harish Kundra, Wasim Khan, Meenakshi Malik, Kantilal Pitambar Rane, Rahul Neware and Vishal Jain

Volume 33, issue 01, 2022

Large eddy simulation of converging Richtmyer–Meshkov instability based on subgrid-scale dissipation similar method pp. 1-22

Hao Zhou, Qijing Feng, Pengcheng Hao, Zhiwei He and Li Li

Investigation of transportation of nanofluid within non-equilibrium porous media pp. 1-15

Yahya Ali Rothan

On the inverse kinetic energy cascade in premixed isotropic turbulent flames pp. 1-16

Xiang Qian, Hao Lu, Chun Zou and Hong Yao

Volume 28, issue 07n08, 2025

THE DYNAMICS OF PRIVATE EQUITY FUNDS WHEN DRAWDOWNS, PERFORMANCES AND DISTRIBUTIONS ARE CORRELATED pp. 1-26

Etienne de Malherbe

A THREE-MOMENT PORTFOLIO SELECTION MODEL: MULTIPLIERS AND DUALITY pp. 1-16

Patricia Reis Martins, Patrã Cia Nunes Da Silva and Carlos Frederico Vasconcellos

THE RECALIBRATION CONUNDRUM: HEDGING VALUATION ADJUSTMENT FOR CALLABLE CLAIMS pp. 1-40

Cyril Bã‰nã‰zet, Stã‰phane Crã‰pey and Dounia Essaket

A LONG-MEMORY VERSION OF THE BERGOMI MODEL: PRICING AND CALIBRATION FOR AMERICAN PUT OPTION pp. 1-34

Arezou Karimi and Farshid Mehrdoust

THE NEGATIVE BASIS: BUY THE BOND OR SELL CREDIT DEFAULT SWAP PROTECTION? pp. 1-29

Niklas Knecht and Jan-Frederik Mai

EXISTENCE, UNIQUENESS AND POSITIVITY OF SOLUTIONS TO THE GUYON–LEKEUFACK PATH-DEPENDENT VOLATILITY MODEL WITH GENERAL KERNELS pp. 1-28

Herv㉠Andrãˆs and Benjamin Jourdain

LIQUIDITY COMPETITION BETWEEN BROKERS AND AN INFORMED TRADER pp. 1-27

Ryan Donnelly and Zi Li

Volume 28, issue 05n06, 2025

ON MERTON’S OPTIMAL PORTFOLIO PROBLEM WITH SPORADIC BANKRUPTCY FOR ISOELASTIC UTILITY pp. 1-24

Yaacov Kopeliovich, Michael Pokojovy and Julia Bernatska

A SURVEY OF ROUGH VOLATILITY pp. 1-45

Kazuhiro Hiraki and Yuji Shinozaki

ARE SUSTAINABILITY AND CREDIT QUALITY BENEFICIAL TO FINANCIAL AND ENERGY PORTFOLIO DIVERSIFICATION WITH BOND ETFs? pp. 1-71

Takashi Kanamura

EXPLORATORY MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH REGIME-SWITCHING MARKET DYNAMICS pp. 1-37

Yuling Max Chen, Bin Li and David Saunders

MACROECONOMIC STRESS TESTING: A HOUSEHOLD SURVEY DATA SIMULATION pp. 1-46

Patrick X. Li

Volume 28, issue 03n04, 2025

DEEP LEARNING IN FINANCE: A REVIEW OF DEEP HEDGING AND DEEP CALIBRATION TECHNIQUES pp. 1-44

Yuji Shinozaki

NEW APPROACHES TO PORTFOLIO OPTIMIZATION USING DRAWDOWN TO MEASURE RISK AVERSION pp. 1-18

Rafaela Pereira, Lucas Garcia Pedroso and Luiz Carlos Matioli

MEAN–SEMIVARIANCE OPTIMAL PORTFOLIOS IN DISCRETE TIME USING A GAME-THEORETIC APPROACH pp. 1-28

Kristoffer Lindensjã– and Vilhelm Niklasson

PRICING GAME OPTIONS IN FINANCIAL MARKETS WITH DEFAULT: A DOUBLY REFLECTED BSDEs APPROACH pp. 1-31

Badr Elmansouri and Mohamed El Otmani

CHEERS TO ENHANCED PORTFOLIO PERFORMANCE: WINE AS A UNIQUE ASSET CLASS pp. 1-21

Mesias Alfeus, Anton Blignaut and Jean-Pierre Viljoen

Volume 28, issue 01n02, 2025

SYSTEMATIC RISK IN POOLS pp. 1-53

Hirbod Assa

AN ANALYTICAL APPROXIMATION FOR THE ASSET-OR-NOTHING PUT OPTION pp. 1-12

Joanna Goard

OPTIMAL SPOT SLIDES pp. 1-30

Dilip B. Madan, Yoshihiro Shirai and King Wang

A PRINCIPAL–AGENT MODEL FOR OPTIMAL INCENTIVES IN RENEWABLE INVESTMENTS pp. 1-38

Ren㉠Aã D, Annika Kemper and Nizar Touzi

OPTION PRICE ASYMPTOTICS UNDER A STOCHASTIC VOLATILITY LÉVY MODEL WITH INFINITE ACTIVITY JUMPS pp. 1-29

Hossein Jafari, Ã’scar Burã‰s, Josep Vives and Yiqiang Q. Zhao

Volume 27, issue 07n08, 2024

A WIND-DEPENDENT SELF-EXCITING ELECTRICITY SPOT PRICE MODEL pp. 1-24

Markus Hess

NUMERICAL SOLUTIONS OF A MARKOV-SWITCHING ONE-FACTOR VOLATILITY MODEL WITH NONGLOBALLY LIPSCHITZ CONTINUOUS COEFFICIENTS pp. 1-32

Emmanuel Coffie

SET-VALUED INTRINSIC MEASURES OF SYSTEMIC RISK pp. 1-34

Jana Hlavinovã, Birgit Rudloff and Alexander Smirnow

OPTIMAL SELLING TIME OF A STOCK UNDER CAPITAL GAINS TAXES pp. 1-34

KÃœHN Christoph, Budhi Surya and Bjã–rn Ulbricht

ON THE IMPLIED VOLATILITY OF EUROPEAN AND ASIAN CALL OPTIONS UNDER THE STOCHASTIC VOLATILITY BACHELIER MODEL pp. 1-28

Elisa Alã’s, Eulalia Nualart and Makar Pravosud

GEOMETRIC INSIGHTS INTO ROBUST PORTFOLIO CONSTRUCTION pp. 1-46

Lara Dalmeyer and Tim Gebbie

Volume 27, issue 05n06, 2024

FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON pp. 1-23

David Wu and Robert Jarrow

PRICING CoCos WITH EQUITY CONVERSION COVENANT IN A DISTRESSED MARKET ENVIRONMENT pp. 1-22

Jan-Frederik Mai

ANALYSIS OF OPTIMAL PORTFOLIO ON FINITE AND SMALL-TIME HORIZONS FOR A STOCHASTIC VOLATILITY MODEL WITH MULTIPLE CORRELATED ASSETS pp. 1-32

Minglian Lin and Indranil Sengupta

PARASIAN OVER PARISIAN, HOW MUCH EARLIER SHOULD ONE EXERCISE? pp. 1-30

Lin Ai and Song-Ping Zhu

THE EDGEWORTH AND GRAM–CHARLIER DENSITIES pp. 1-50

Pakorn Aschakulporn and Jin E. Zhang

ON THE SOLUTION UNIQUENESS IN PORTFOLIO OPTIMIZATION AND RISK ANALYSIS pp. 1-27

Bogdan Grechuk, Andrzej Palczewski and Jan Palczewski

FROM CALENDAR TIME TO BUSINESS TIME: THE CASE OF COMMODITY MARKETS pp. 1-37

Sergiy Ladokhin, Maren Diane Schmeck and Svetlana Borovkova

Volume 27, issue 03n04, 2024

FINANCIAL FINANCE pp. 1-27

Dilip B. Madan and King Wang

THE JARROW AND TURNBULL SETTING REVISITED pp. 1-21

Thomas Krabichler and Josef Teichmann

BRIEF SYNOPSIS OF THE SCIENTIFIC CAREER OF T. R. HURD pp. 1-8

Matheus R. Grasselli and Lane P. Hughston

A GREEDY ALGORITHM FOR HABIT FORMATION UNDER MULTIPLICATIVE UTILITY pp. 1-20

Snezhana Kirusheva and Thomas S. Salisbury

MULTIVARIATE HAWKES-BASED MODELS IN LIMIT ORDER BOOK: EUROPEAN AND SPREAD OPTION PRICING pp. 1-20

Qi Guo, Anatoliy Swishchuk and RÉMIlLARD Bruno

SYSTEMIC PERSPECTIVE OF TERM RISK IN BANK FUNDING MARKETS pp. 1-55

Andrea Macrina and Obeid Mahomed

PREFACE: SPECIAL ISSUE IN HONOUR OF THE MEMORY OF THOMAS ROBERT HURD (1956–2022) pp. 1-1

Tomasz R. Bielecki, Matheus R. Grasselli and Lane P. Hughston

MONETARY UTILITY FUNCTIONS ON Cb(X) SPACES pp. 1-13

Freddy Delbaen

NETTING AND NOVATION IN REPO NETWORKS pp. 1-45

Hassan Chehaitli, Matheus R. Grasselli, Thomas R. Hurd and Weijie Pang

TAIL RISK MONOTONICITY IN GARCH(1,1) MODELS pp. 1-33

Paul Glasserman, Dan Pirjol and Qi Wu

INFORMATION-BASED TRADING pp. 1-33

George Bouzianis, Lane P. Hughston and Leandro Sã Nchez-Betancourt

Volume 27, issue 02, 2024

EFFICIENT WRONG-WAY RISK MODELING FOR FUNDING VALUATION ADJUSTMENTS pp. 1-43

Thomas van der Zwaard, Lech A. Grzelak and Cornelis W. Oosterlee

EFFICIENT EVALUATION OF DOUBLE-BARRIER OPTIONS pp. 1-42

Svetlana Boyarchenko and Sergei Levendorskiä¬

PORTFOLIO MODELS FOR OPTIMIZING DRAWDOWN DURATION pp. 1-44

Andrei Vedernikov, Juuso Liesiã– and Tomi Seppã„lã„

TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS pp. 1-34

Erik Schlã–gl, Jacob Bjerre Skov and David Skovmand

AFFINE MODELS WITH PATH-DEPENDENCE UNDER PARAMETER UNCERTAINTY AND THEIR APPLICATION IN FINANCE pp. 1-36

Benedikt Geuchen, Katharina Oberpriller and Thorsten Schmidt

A CHANGE OF MEASURE FORMULA FOR RECURSIVE CONDITIONAL EXPECTATIONS pp. 1-23

Luca Di Persio, Alessandro Gnoatto and Marco Patacca

Volume 27, issue 01, 2024

PREFACE pp. 1-3

Johnny Li, Lysa Porth, Alexey Rubtsov, David Saunders and Luis Seco

OPTIMAL CLIMATE POLICY WITH NEGATIVE EMISSIONS pp. 1-28

Riccardo Rebonato, Dherminder Kainth, Lionel Melin and O’KANE Dominic

CARBON RISK HEDGING: REDUCING PORTFOLIO CARBON RISK USING A BETA HEDGE RATIO pp. 1-23

Mathis Leifhelm and Peter Scholz

“IS DECARBONIZATION PRICED IN?†—EVIDENCE ON THE CARBON RISK HYPOTHESIS FROM THE EUROPEAN GREEN DEAL LEAKAGE SHOCK pp. 1-32

Lukas Mueller, Marc Ringel and Dirk Schiereck

THE FINANCIAL IMPACT OF CARBON EMISSIONS ON POWER UTILITIES UNDER CLIMATE SCENARIOS pp. 1-32

Florian Krach, Andrea Macrina, Ashley Kanter, Eba Hampwaye, Siphokazi Hlalukana and Nchakha Thato Rateele

PRICING AND HEDGING OF TEMPERATURE DERIVATIVES IN A MODEL WITH MEMORY pp. 1-34

Markus Hess

KRIGING METHODS FOR MODELING SPATIAL BASIS RISK IN WEATHER INDEX INSURANCES: A TECHNICAL NOTE pp. 1-24

Yiping Guo and Johnny Siu-Hang Li