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International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2021

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 24, issue 06n07, 2021

THE AFFINE RATIONAL POTENTIAL MODEL pp. 1-25 Downloads
The Anh Nguyen and Frank Thomas Seifried
LATENCY AND LIQUIDITY RISK pp. 1-37 Downloads
à Lvaro Cartea, Sebastian Jaimungal and Leandro Sã Nchez-Betancourt
COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION pp. 1-26 Downloads
Emmanuel Lepinette and Duc Thinh Vu
DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY pp. 1-18 Downloads
Fred Espen Benth, Gleda Kutrolli and Silvana Stefani
LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES pp. 1-41 Downloads
Ramin Okhrati and Nikolaos Karpathopoulos
THE VIX AND FUTURE INFORMATION pp. 1-30 Downloads
Markus Hess
DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES pp. 1-27 Downloads
GÃœMBEL Sandrine and Thorsten Schmidt
PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES pp. 1-35 Downloads
Jean-Loup Dupret and Donatien Hainaut

Volume 24, issue 05, 2021

COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES pp. 1-21 Downloads
Benjamin R. Auer and Frank Schuhmacher
OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES pp. 1-13 Downloads
Dilip B. Madan and King Wang
PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION pp. 1-49 Downloads
Pieter M. van Staden, Duy-Minh Dang and Peter A. Forsyth
THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH pp. 1-27 Downloads
Martin Keller-Ressel
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK pp. 1-27 Downloads
Tim Leung, Raphael Yan and Yang Zhou
DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS pp. 1-43 Downloads
Masaaki Fukasawa, Masamitsu Ohnishi and Makoto Shimoshimizu

Volume 24, issue 04, 2021

FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK pp. 1-25 Downloads
Sung Ik Kim and Young Shin Kim
THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK pp. 1-26 Downloads
Vicky Henderson, Jia Sun and A. Elizabeth Whalley
COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION pp. 1-18 Downloads
Xiang Shi and Young Shin Kim
ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT pp. 1-28 Downloads
Jörn Sass and Dorothee Westphal
A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS pp. 1-31 Downloads
Chyng Wen Tee and Jeroen Kerkhof
FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS pp. 1-29 Downloads
Pavel V. Gapeev and Monique Jeanblanc

Volume 24, issue 03, 2021

AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK pp. 1-28 Downloads
Calisto Guambe, Lesedi Mabitsela and Rodwell Kufakunesu
ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES pp. 1-28 Downloads
Daniel Mantilla-Garcia, Enrique A. Ter Horst, Emilien Audeguil and German Molina
FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS pp. 1-22 Downloads
Matteo Michielon, Asma Khedher and Peter Spreij
FINANCING AND INVESTMENT STRATEGIES UNDER CREDITOR-MAXIMIZED LIQUIDATION pp. 1-30 Downloads
Takashi Shibata and Michi Nishihara
REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS pp. 1-37 Downloads
Hideharu Funahashi
PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME pp. 1-24 Downloads
Fabien Le Floc’h

Volume 24, issue 02, 2021

CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS pp. 1-29 Downloads
Nicole Bäuerle and Daniel Schmithals
POLYNOMIAL TERM STRUCTURE MODELS pp. 1-28 Downloads
Si Cheng and Michael R. Tehranchi
INSIDER TRADING WITH TEMPORARY PRICE IMPACT pp. 1-32 Downloads
Weston Barger and Ryan Donnelly
DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS pp. 1-47 Downloads
Raúl Merino, Jan Pospíšil, Tomáš Sobotka, Tommi Sottinen and Josep Vives
EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS pp. 1-51 Downloads
Zhenzhen Huang and Yue Kuen Kwok
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS pp. 1-34 Downloads
E. Alòs, F. Antonelli, A. Ramponi and S. Scarlatti

Volume 24, issue 01, 2021

MIXTURE OF CONSISTENT STOCHASTIC UTILITIES AND A PRIORI RANDOMNESS pp. 1-34 Downloads
Mrad Mohamed
PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK pp. 1-34 Downloads
Rafael Serrano
CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION pp. 1-18 Downloads
Yerkin Kitapbayev
TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS pp. 1-31 Downloads
Peter A. Forsyth
TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION pp. 1-28 Downloads
Tomasz R. Bielecki, Tao Chen and Igor Cialenco
SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION pp. 1-24 Downloads
Mikhail Zhitlukhin

Volume 23, issue 08, 2020

A PRINCIPAL–AGENT APPROACH TO CAPACITY REMUNERATION MECHANISMS pp. 1-64 Downloads
Clémence Alasseur, Heythem Farhat and Marcelo Saguan
OPTIMAL MEAN–VARIANCE PORTFOLIO SELECTION WITH NO-SHORT-SELLING CONSTRAINT pp. 1-25 Downloads
Jingsi Xu
MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION pp. 1-24 Downloads
Ka Wai Tsang and Zhaoyi He
BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS pp. 1-31 Downloads
Luca de Gennaro Aquino and Carole Bernard
FINANCIAL CONTAGION IN A STOCHASTIC BLOCK MODEL pp. 1-53 Downloads
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou and Daniel Ritter
A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES pp. 1-34 Downloads
Alexander Lipton and Marcos López de Prado
AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS pp. 1-20 Downloads
Kenichiro Shiraya

Volume 23, issue 07, 2020

LINEAR STOCHASTIC DIVIDEND MODEL pp. 1-20 Downloads
Sander Willems
OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL pp. 1-35 Downloads
Arne Løkka and Junwei Xu
INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS pp. 1-56 Downloads
Michael Schatz and Didier Sornette
SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE pp. 1-39 Downloads
Maxim Bichuch and Ke Chen
MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS pp. 1-29 Downloads
Jacques van Appel and Thomas A. McWalter
BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION pp. 1-33 Downloads
Marcos Escobar-Anel, Andreas Lichtenstern and Rudi Zagst
APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES pp. 1-33 Downloads
Eckhard Platen and Renata Rendek

Volume 23, issue 06, 2020

ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION pp. 1-22 Downloads
Elena Vigna
WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES pp. 1-26 Downloads
Guillaume Leduc and Kenneth Palmer
COUNTERPARTY CREDIT RISK IN A CLEARING NETWORK pp. 1-21 Downloads
Alexander von Felbert
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS pp. 1-42 Downloads
Anthonie W. van der Stoep, Lech A. Grzelak and Cornelis Oosterlee
OPTION PRICING IN MARKETS WITH INFORMED TRADERS pp. 1-32 Downloads
Yuan Hu, Abootaleb Shirvani, Stoyan Stoyanov, Young Shin Kim, Frank J. Fabozzi and Svetlozar T. Rachev
INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES pp. 1-32 Downloads
Charles Guy Njike Leunga and Donatien Hainaut
MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS pp. 1-32 Downloads
Dilip B. Madan

Volume 23, issue 05, 2020

INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS pp. 1-34 Downloads
Markus Michaelsen
VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK pp. 1-39 Downloads
Martino Grasselli and Lakshithe Wagalath
MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY pp. 1-19 Downloads
Chi Tim Ng, Yue Shi and Ngai Hang Chan
REAL OPTION SIGNALING GAMES OF DEBT FINANCING USING EQUITY GUARANTEE SWAPS UNDER ASYMMETRIC INFORMATION pp. 1-37 Downloads
Qiuqi Wang and Yue Kuen Kwok
REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS pp. 1-26 Downloads
Mohamed Marzougue
APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL pp. 1-36 Downloads
Yuliya Mishura and Anton Yurchenko-Tytarenko
CONIC CVA AND DVA FOR OPTION PORTFOLIOS pp. 1-30 Downloads
Sjoerd van Bakel, Svetlana Borovkova and Matteo Michielon

Volume 23, issue 04, 2020

OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS pp. 1-37 Downloads
Alexander Lipton
SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL pp. 1-35 Downloads
Jean-Philippe Aguilar
MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS pp. 1-35 Downloads
Edward Hoyle, Andrea Macrina and Levent Ali Mengütürk
OPTIMAL DIVIDEND POLICY AND STOCK PRICES pp. 1-29 Downloads
Weiping Li
THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE pp. 1-16 Downloads
Foad Shokrollahi
CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL pp. 1-16 Downloads
Raoul Pietersz, Frank Sengers and Matteo Michielon
VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING pp. 1-38 Downloads
Marcel Kremer, Fred Espen Benth, Björn Felten and Rüdiger Kiesel

Volume 23, issue 03, 2020

MARKET MAKING WITH ALPHA SIGNALS pp. 1-26 Downloads
Álvaro Cartea and Yixuan Wang
A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS pp. 1-17 Downloads
David Criens
ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS pp. 1-39 Downloads
Julian Sester
SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES pp. 1-30 Downloads
Tommaso Pellegrino
SMILE MODELING IN COMMODITY MARKETS pp. 1-28 Downloads
Emanuele Nastasi, Andrea Pallavicini and Giulio Sartorelli
SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES pp. 1-42 Downloads
Yanhong Chen and Yijun Hu
A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL pp. 1-49 Downloads
Olesya Grishchenko, Xiao Han and Victor Nistor

Volume 23, issue 02, 2020

UPSIDE BETA RATIO: A PERFORMANCE MEASURE FOR POTENTIAL-SEEKING INVESTORS pp. 1-26 Downloads
Dipankar Mondal and N. Selvaraju
EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE pp. 1-23 Downloads
Cyril Grunspan and Joris van der Hoeven
PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS pp. 1-25 Downloads
Riccardo Rebonato, Ivan Saroka and Vlad Putiatyn
MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING pp. 1-37 Downloads
Valeriane Jokhadze and Wolfgang M. Schmidt
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS pp. 1-29 Downloads
Tim Leung and Yang Zhou
MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY pp. 1-22 Downloads
Olga Biedova and Victoria Steblovskaya
CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS pp. 1-28 Downloads
Pavel V. Gapeev and Monique Jeanblanc

Volume 23, issue 01, 2020

xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT pp. 1-24 Downloads
Lixin Wu and Dawei Zhang
ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS pp. 1-52 Downloads
André Catalão and Rogério Rosenfeld
GENERAL ANALYSIS OF LONG-TERM INTEREST RATES pp. 1-29 Downloads
Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel
BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES pp. 1-29 Downloads
Michael A. Kouritzin and Anne Mackay
DYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGET pp. 1-16 Downloads
Sheng-Feng Luo
CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES pp. 1-16 Downloads
Francesca Centrone and Emanuela Rosazza Gianin
STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT pp. 1-28 Downloads
Aditi Dandapani and Philip Protter
Page updated 2022-01-24