International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2026

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

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

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

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

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

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

Yahya Ali Rothan

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

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

Xiang Qian, Hao Lu, Chun Zou and Hong Yao

Volume 29, issue 05, 2026

REGULAR-IMPULSE CONTROL FOR AIR POLLUTION MANAGEMENT: A STOCHASTIC DIFFERENTIAL GAME APPROACH pp. 1-25

Eriyoti Chikodza, Farai Julius Mhlanga, Masimba Aspinas Mutakaya and Winfrida Felix Mwigilwa

A TALE OF TWO REGIONS: A NORTH AND SOUTH MACROECONOMIC-ECOLOGICAL MODEL pp. 1-30

Ben Badenhorst, Kiash Baldeo, Kgaugelo Bopape, Matheus R. Grasselli, Emma Kroell and Daniel M. Presta

INCORPORATING FORWARD-LOOKING DATA IN PROBABILISTIC ANALYSIS OF NET-ZERO COMMITMENTS pp. 1-22

Kateryna Chekriy and Rüdiger Kiesel

STOCK MARKET INDEX DYNAMICS AND MARKET ACTIVITY pp. 1-27

Eckhard Platen and Renata Rendek

PREFACE — SPECIAL ISSUE ON EMERGING TOPICS IN QUANTITATIVE AND CLIMATE FINANCE pp. 1-4

Mesias Alfeus, Peter Ouwehand and Justin Harvey

Volume 29, issue 04, 2026

PRICING OPTIONS ON THE CRYPTOCURRENCY FUTURES CONTRACTS pp. 1-35

Julia Kończal

SHORT-TERMISM AND EXCESSIVE RISK TAKING IN OPTIMAL EXECUTION WITH A TARGET PERFORMANCE pp. 1-19

Emilio Barucci and Yuheng Lan

HOW DOES A “DELAYED” BARRIER FEATURE AFFECT THE PRICE OF A CONVERTIBLE BOND? pp. 1-28

Lin Ai, Song-Ping Zhu and Guanghua Lian

ON REFLECTED BSDES WITH JUMPS AND DEFAULT TIME pp. 1-41

Badr Elmansouri and Mohamed El Otmani

PRICING AND HEDGING THE PREPAYMENT OPTION OF MORTGAGES UNDER STOCHASTIC HOUSING MARKET ACTIVITY pp. 1-37

Leonardo Perotti, Lech A. Grzelak and Cornelis W. Oosterlee

Volume 29, issue 03, 2026

PREFACE pp. 1-2

Matheus R Grasselli

FISCAL SUSTAINABILITY INVESTIGATION BASED ON CLUSTER ANALYSIS AND PANEL CS-ARDL MODELS pp. 1-30

Eduardo Lima Campos, Rubens Cysne and Carlos Henrique Dias Cordeiro de Castro

EXPLORING THE INTERPLAY OF SKEWNESS AND KURTOSIS: DYNAMICS IN CRYPTOCURRENCY MARKETS AMID THE COVID-19 PANDEMIC pp. 1-13

Ariston Karagiorgis, Antonis Ballis, Konstantinos Drakos and Christos Kallandranis

ARTIFICIAL INTELLIGENCE, ESG, AND U.S. STOCK MARKET BEHAVIOR: EVIDENCE FROM A WAVELET, MGARCH-DCC AND MS-GARCH-DCC APPROACHES pp. 1-31

Mumtaz Ali, Peter Oluwasegun Igunnu and Soha Khan

TIME- AND FREQUENCY-VARYING PRICE LINKAGES, HEDGE RATIO AND HEDGING EFFECTIVENESS IN THE FUTURES MARKETS OF SILVER AND PLATINUM: A WAVELET LOCAL MULTIPLE CORRELATION APPROACH pp. 1-21

Sophia Siori and Dimitrios Panagiotou

Volume 29, issue 01n02, 2026

Q-WORLD-INFORMED DOUBLE NEURAL NETWORKS FOR OPTION PRICING PDEs pp. 1-25

Yong How Kee and Chi Seng Pun

EMISSION IMPOSSIBLE: BALANCING ENVIRONMENTAL CONCERNS AND ENERGY PRICES pp. 1-31

Ren㉠Aã D, Maria Arduca, Sara Biagini and Luca Taschini

RISK MEASURES BASED ON TARGET RISK PROFILES pp. 1-46

Jascha Alexander, Christian Laudag㉠and Jã–rn Sass

FILTERING IN A HAZARD RATE CHANGE-POINT MODEL WITH FINANCIAL AND LIFE-INSURANCE APPLICATIONS pp. 1-33

Matteo Buttarazzi and Claudia Ceci

THE AGGREGATION PROBLEM: THE CASE OF A COBB–DOUGLAS PRODUCTION FUNCTION FOR EUROPEAN UNION COUNTRIES pp. 1-12

Christos Agiakloglou and Anargyros Panormitis Pellas

Volume 28, issue 07n08, 2025

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

Etienne de Malherbe

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

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

Niklas Knecht and Jan-Frederik Mai

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

Ryan Donnelly and Zi Li

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

Arezou Karimi and Farshid Mehrdoust

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

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

Volume 28, issue 05n06, 2025

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

Takashi Kanamura

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

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

Patrick X. Li

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

Yuling Max Chen, Bin Li and David Saunders

Volume 28, issue 03n04, 2025

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

Yuji Shinozaki

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

Kristoffer Lindensjã– and Vilhelm Niklasson

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

Rafaela Pereira, Lucas Garcia Pedroso and Luiz Carlos Matioli

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

Mesias Alfeus, Anton Blignaut and Jean-Pierre Viljoen

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

Badr Elmansouri and Mohamed El Otmani

Volume 28, issue 01n02, 2025

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

Joanna Goard

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

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

Ren㉠Aã D, Annika Kemper and Nizar Touzi

OPTIMAL SPOT SLIDES pp. 1-30

Dilip B. Madan, Yoshihiro Shirai and King Wang

SYSTEMATIC RISK IN POOLS pp. 1-53

Hirbod Assa