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International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2018

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 21, issue 06, 2018

BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY pp. 1-30 Downloads
T. R. Hurd
HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY pp. 1-27 Downloads
Dietmar P. J. Leisen
OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS pp. 1-27 Downloads
José Afonso Faias and Tiago Castel-Branco
XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS pp. 1-40 Downloads
Lokman A. Abbas-Turki, Stéphane Crépey and Babacar Diallo
PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY pp. 1-18 Downloads
John Armstrong, Teemu Pennanen and Udomsak Rakwongwan
PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES pp. 1-28 Downloads
Alan de Genaro and Marco Avellaneda
PREFACE pp. 1-4 Downloads
Marco Avellaneda, Bruno Dupire and Jorge P. Zubelli

Volume 21, issue 05, 2018

SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS pp. 1-29 Downloads
Niv Nayman
QUANTO PRICING IN STOCHASTIC CORRELATION MODELS pp. 1-20 Downloads
Long Teng, Matthias Ehrhardt and Michael Günther
ARBITRAGE PRICING THEORY IN ERGODIC MARKETS pp. 1-28 Downloads
Gabriel Frahm
MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS pp. 1-32 Downloads
Louis-Pierre Arguin, Nien-Lin Liu and Tai-Ho Wang
OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS pp. 1-32 Downloads
C. Ye, R. H. Liu and D. Ren
GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS pp. 1-13 Downloads
Tim Byrnes and Tristan Barnett
PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS pp. 1-34 Downloads
Markus Hess

Volume 21, issue 04, 2018

LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS pp. 1-44 Downloads
Panagiotis Christodoulou, Nils Detering and Thilo Meyer-Brandis
INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL pp. 1-41 Downloads
Xixuan Han, Boyu Wei and Hailiang Yang
ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS pp. 1-41 Downloads
Roberto Daluiso and Giorgio Facchinetti
CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE” pp. 1-4 Downloads
Gabriel Frahm
OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP pp. 1-19 Downloads
Roman V. Ivanov
A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY pp. 1-18 Downloads
Emilio Russo and Alessandro Staino
EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL pp. 1-26 Downloads
Jacques van Appel and Thomas A. McWalter
FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS pp. 1-26 Downloads
Kuldip Singh Patel and Mani Mehra

Volume 21, issue 03, 2018

LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS pp. 1-26 Downloads
Dorje C. Brody, Lane P. Hughston and David M. Meier
THE POTENTIAL APPROACH IN PRACTICE pp. 1-30 Downloads
T. Kluge and L. C. G. Rogers
A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL pp. 1-21 Downloads
Lakshithe Wagalath and Jorge P. Zubelli
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY pp. 1-22 Downloads
Carole Bernard, Steven Vanduffel and Jiang Ye
AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES pp. 1-22 Downloads
Raphael Douady and Antoine Kornprobst
FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT pp. 1-22 Downloads
Yuri F. Saporito
TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE pp. 1-37 Downloads
Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
PREFACE pp. 1-3 Downloads
Marco Avellaneda, Bruno Dupire and Jorge P. Zubelli

Volume 21, issue 02, 2018

PREFACE pp. 1-2 Downloads
José Manuel Corcuera and Wim Schoutens
EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL pp. 1-43 Downloads
Julien Hok, Philip Ngare and Antonis Papapantoleon
CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS pp. 1-15 Downloads
Tommi Sottinen and Lauri Viitasaari
DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION pp. 1-38 Downloads
Martin Schweizer, Danijel Zivoi and Mario Šikić
MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES pp. 1-26 Downloads
Florence Guillaume
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW pp. 1-16 Downloads
Federico de Olivera, José Fajardo and Ernesto Mordecki
CONIC CPPIs pp. 1-20 Downloads
Ine Marquet and Wim Schoutens
KYLE–BACK’S MODEL WITH A RANDOM HORIZON pp. 1-41 Downloads
José Manuel Corcuera and Giulia Di Nunno

Volume 21, issue 01, 2018

MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS pp. 1-22 Downloads
Yerkin Kitapbayev and Tim Leung
DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS pp. 1-41 Downloads
David Criens
SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL pp. 1-25 Downloads
Dan Pirjol and Lingjiong Zhu
EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING pp. 1-45 Downloads
Michael A. Kouritzin
ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY pp. 1-21 Downloads
Pavel V. Gapeev, Oliver Brockhaus and Mathieu Dubois
SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS pp. 1-38 Downloads
Louis Bhim and Reiichiro Kawai
MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS pp. 1-30 Downloads
Marina Marena, Andrea Romeo and Patrizia Semeraro

Volume 20, issue 08, 2017

A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES pp. 1-39 Downloads
Robert Jarrow
RISE AND FALL OF SYNTHETIC CDO MARKET: LESSONS LEARNED pp. 1-28 Downloads
JABłECKI Juliusz
MEASURING AND MONITORING THE EFFICIENCY OF MARKETS pp. 1-32 Downloads
Dilip B. Madan, Wim Schoutens and King Wang
INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS pp. 1-32 Downloads
Zhenyu Cui, J. Lars Kirkby, Guanghua Lian and Duy Nguyen
BEHAVIORAL VALUE ADJUSTMENTS pp. 1-37 Downloads
Matteo Bissiri and Riccardo Cogo
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK pp. 1-31 Downloads
Qian Feng and Cornelis W. Oosterlee
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET pp. 1-24 Downloads
Svetlozar T. Rachev, Stoyan V. Stoyanov and Frank J. Fabozzi

Volume 20, issue 07, 2017

WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS pp. 1-35 Downloads
Frédéric Vrins
AN EXPLICIT IMPLIED VOLATILITY FORMULA pp. 1-32 Downloads
Dan Stefanica and Radoš Radoičić
NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD pp. 1-22 Downloads
Chi Man Leung and Yue Kuen Kwok
HIGH UNCERTAINTY FINANCING pp. 1-24 Downloads
Nick Georgiopoulos
IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION pp. 1-26 Downloads
Álvaro Cartea and Sebastian Jaimungal
DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS pp. 1-26 Downloads
Eduard Kromer and Ludger Overbeck
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION pp. 1-26 Downloads
F. Cong and C. W. Oosterlee

Volume 20, issue 06, 2017

SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION pp. 1-21 Downloads
Denis Belomestny, Wolfgang Härdle and Ekaterina Krymova
LOGISTIC MODEL FOR STOCK MARKET BUBBLES AND ANTI-BUBBLES pp. 1-24 Downloads
Christopher Lynch and Benjamin Mestel
BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM pp. 1-18 Downloads
Pingjin Deng and Xiufang Li
STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL pp. 1-22 Downloads
Ioane Muni Toke
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY pp. 1-10 Downloads
Erhan Bayraktar and Zhou Zhou
DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS pp. 1-27 Downloads
Nicola Moreni and Andrea Pallavicini
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH pp. 1-33 Downloads
Tim Leung and Hyungbin Park

Volume 20, issue 05, 2017

THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT pp. 1-23 Downloads
Takashi Kato
ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs pp. 1-27 Downloads
Sergei Levendorskiĭ
SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES pp. 1-48 Downloads
Çağin Ararat, Andreas H. Hamel and Birgit Rudloff
ANALYTIC PRICING OF CoCo BONDS pp. 1-26 Downloads
Colin Turfus and Alexander Shubert
EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY pp. 1-13 Downloads
Nicole Bäuerle and Stefanie Grether
ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS pp. 1-21 Downloads
Vitalii Makogin, Alexander Melnikov and Yuliya Mishura
TIGHTER BOUNDS FOR IMPLIED VOLATILITY pp. 1-14 Downloads
Jim Gatheral, Ivan Matić, Radoš Radoičić and Dan Stefanica

Volume 20, issue 04, 2017

PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES pp. 1-34 Downloads
Thamayanthi Chellathurai
EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT pp. 1-34 Downloads
Xiaoyang Zhuo and Olivier Menoukeu-Pamen
AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK pp. 1-38 Downloads
Riccardo Rebonato
THE BRITISH ASSET-OR-NOTHING PUT OPTION pp. 1-19 Downloads
Min Gao
IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING pp. 1-39 Downloads
Erindi Allaj
EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT pp. 1-41 Downloads
Jörn Sass, Dorothee Westphal and Ralf Wunderlich
THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS pp. 1-48 Downloads
J. N. Dewynne and N. El-Hassan

Volume 20, issue 03, 2017

FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES pp. 1-48 Downloads
Leif Döring, Blanka Horvath and Josef Teichmann
OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY pp. 1-41 Downloads
Wahid Faidi, Anis Matoussi and Mohamed Mnif
OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION pp. 1-32 Downloads
Bin Zou
ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING pp. 1-32 Downloads
P. A. Forsyth and K. R. Vetzal
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL pp. 1-27 Downloads
Yue Liu and Nicolas Privault
GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS pp. 1-21 Downloads
Anatoliy Swishchuk, Tyler Hofmeister, Katharina Cera and Julia Schmidt
ON THE CALCULATION OF RISK MEASURES USING LEAST-SQUARES MONTE CARLO pp. 1-14 Downloads
Giuseppe Benedetti

Volume 20, issue 02, 2017

GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS pp. 1-15 Downloads
Takuji Arai
CONIC TRADING IN A MARKOVIAN STEADY STATE pp. 1-22 Downloads
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING pp. 1-20 Downloads
Hans-Peter Bermin and Gareth Williams
ROBUST TRADING OF IMPLIED SKEW pp. 1-41 Downloads
Sergey Nadtochiy and OBłÓJ Jan
EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY pp. 1-28 Downloads
Akira Yamazaki
CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs pp. 1-44 Downloads
Jaka Gogala and Joanne E. Kennedy
PERFORMANCE ANALYSIS OF THE OPTIMAL STRATEGY UNDER PARTIAL INFORMATION pp. 1-21 Downloads
Ahmed Bel Hadj Ayed, Grégoire Loeper, Sofiene El Aoud and Frédéric Abergel

Volume 20, issue 01, 2017

NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING pp. 1-38 Downloads
Nemat Safarov and Colin Atkinson
LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS pp. 1-26 Downloads
Lakshithe Wagalath
ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS pp. 1-22 Downloads
Norman Josephy, Lucia Kimball and Victoria Steblovskaya
OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS pp. 1-16 Downloads
Rossella Agliardi and Ramazan Gençay
A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK pp. 1-33 Downloads
Angelos Dassios and Hongbiao Zhao
COHERENT FOREIGN EXCHANGE MARKET MODELS pp. 1-29 Downloads
Alessandro Gnoatto
CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION pp. 1-37 Downloads
Vinicius Albani, Adriano de Cezaro and Jorge P. Zubelli
Page updated 2018-12-10