International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2024

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

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

Xiang Qian, Hao Lu, Chun Zou and Hong Yao

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

Yahya Ali Rothan

Volume 27, issue 07n08, 2024

GEOMETRIC INSIGHTS INTO ROBUST PORTFOLIO CONSTRUCTION pp. 1-46

Lara Dalmeyer and Tim Gebbie

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

Emmanuel Coffie

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

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

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

Markus Hess

Volume 27, issue 05n06, 2024

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

Jan-Frederik Mai

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

Sergiy Ladokhin, Maren Diane Schmeck and Svetlana Borovkova

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

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

Bogdan Grechuk, Andrzej Palczewski and Jan Palczewski

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

David Wu and Robert Jarrow

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

Pakorn Aschakulporn and Jin E. Zhang

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

Lin Ai and Song-Ping Zhu

Volume 27, issue 03n04, 2024

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

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

Matheus R. Grasselli and Lane P. Hughston

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

Andrea Macrina and Obeid Mahomed

THE JARROW AND TURNBULL SETTING REVISITED pp. 1-21

Thomas Krabichler and Josef Teichmann

FINANCIAL FINANCE pp. 1-27

Dilip B. Madan and King Wang

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

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

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

Freddy Delbaen

Volume 27, issue 02, 2024

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

Svetlana Boyarchenko and Sergei Levendorskiä¬

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

Benedikt Geuchen, Katharina Oberpriller and Thorsten Schmidt

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

Erik Schlã–gl, Jacob Bjerre Skov and David Skovmand

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

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

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

Luca Di Persio, Alessandro Gnoatto and Marco Patacca

PORTFOLIO MODELS FOR OPTIMIZING DRAWDOWN DURATION pp. 1-44

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

Volume 27, issue 01, 2024

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

Yiping Guo and Johnny Siu-Hang Li

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

Markus Hess

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

Volume 26, issue 08, 2023

LOG-NORMAL STOCHASTIC VOLATILITY MODEL WITH QUADRATIC DRIFT pp. 1-63

Artur Sepp and Parviz Rakhmonov

OPTIMAL TIMES TO BUY AND SELL A HOME pp. 1-29

Matthew Lorig and Natchanon Suaysom

PARAMETER ESTIMATION METHODS OF REQUIRED RATE OF RETURN ON STOCK pp. 1-37

Battulga Gankhuu

PAIRS TRADING WITH TOPOLOGICAL DATA ANALYSIS pp. 1-43

Sourav Majumdar and Arnab Kumar Laha

Volume 26, issue 06n07, 2023

SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS pp. 1-28

Dan Pirjol and Lingjiong Zhu

POLYNOMIAL UTILITY pp. 1-28

Alexander S. Lollike and Mogens Steffensen

A REPRESENTATION OF KEYNES’S LONG-TERM EXPECTATION IN FINANCIAL MARKETS pp. 1-20

Marcello Basili, Alain Chateauneuf, Giuliano Curatola and Giuseppe Scianna

MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION pp. 1-42

Songchol Ryom and Inchol Ri

A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS pp. 1-37

Yoshihiro Shirai

PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS pp. 1-22

Mohamed El Jamali and Hatim Tayeq

ROUGH-HESTON LOCAL-VOLATILITY MODEL pp. 1-18

DALL’ACQUA Enrico, Riccardo Longoni and Andrea Pallavicini

PORTFOLIO CHOICE WITH TIME HORIZON RISK pp. 1-19

Alexis Direr

Volume 26, issue 04n05, 2023

OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT pp. 1-18

Nicole Bã„uerle and An Chen

THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL pp. 1-33

Robert Jarrow, Rinald Murataj, Martin T. Wells and Liao Zhu

VIX MODELING FOR A MARKET INSIDER pp. 1-27

Markus Hess

PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING pp. 1-21

M. Yousuf and A. Q. M. Khaliq

A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION pp. 1-23

Xiaoyue Liu, Zhenzhong Huang, Biwei Song and Zhen Zhang

BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID pp. 1-24

Peter A. Forsyth, Pieter M. van Staden and Yuying Li

WITHDRAWAL SUCCESS ESTIMATION pp. 1-30

Hayden Brown

STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL pp. 1-38

Martin Keller-Ressel and Felix Sachse

Volume 26, issue 02n03, 2023

CORRELATION ESTIMATION IN HYBRID SYSTEMS pp. 1-22

Baron Law

CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET pp. 1-27

Yohji Akama

SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL pp. 1-19

Dan Pirjol

THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY pp. 1-12

R. Vilela Mendes

RATING TRANSITIONS FORECASTING: A FILTERING APPROACH pp. 1-53

Areski Cousin, Jã‰rç‘me Lelong and Tom Picard

MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES pp. 1-42

Martin Forde and Benjamin Smith

Volume 26, issue 01, 2023

EDITORIAL pp. 1-3

Matheus R Grasselli

DOLLAR COST AVERAGING RETURNS ESTIMATION pp. 1-26

Hayden Brown

BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO pp. 1-15

Jiang Ye, Yiwei Wang and Muhammad Wajid Raza

APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES pp. 1-27

Jae-Yun Jun and Yves Rakotondratsimba

KELLY TRADING AND MARKET EQUILIBRIUM pp. 1-33

Hans-Peter Bermin and Magnus Holm