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International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2023

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

The influence of temperature on physical properties of a hybrid nanofluid flow in a non-Darcy porous medium pp. 1-24 Downloads
Nasser S. Elgazery and Amal A. Mady
Traffic dynamics on homogeneous networks with community structure pp. 1-13 Downloads
Jinlong Ma, Zishuo An, Yi Zhou, Yi Zhang, Xiangyang Xu and Sufeng Li
Development of novel kinetic energy functional for orbital-free density functional theory applications pp. 1-14 Downloads
Vittoria Urso

Volume 33, issue 03, 2022

Impact of interruption probability of the current optimal velocity on traffic stability for car-following model pp. 1-10 Downloads
Xiaoqin Li, Yanyan Zhou and Guanghan Peng

Volume 33, issue 02, 2022

Quantum-inspired firefly algorithm integrated with cuckoo search for optimal path planning pp. 1-21 Downloads
Harish Kundra, Wasim Khan, Meenakshi Malik, Kantilal Pitambar Rane, Rahul Neware and Vishal Jain
Optimization of lane-changing advisory of connected and autonomous vehicles at a multi-lane work zone pp. 1-16 Downloads
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 Downloads
Milad Isanejad and Keivan Fallah

Volume 33, issue 01, 2022

Investigation of transportation of nanofluid within non-equilibrium porous media pp. 1-15 Downloads
Yahya Ali Rothan
Large eddy simulation of converging Richtmyer–Meshkov instability based on subgrid-scale dissipation similar method pp. 1-22 Downloads
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 Downloads
Xiang Qian, Hao Lu, Chun Zou and Hong Yao

Volume 26, issue 08, 2023

PARAMETER ESTIMATION METHODS OF REQUIRED RATE OF RETURN ON STOCK pp. 1-37 Downloads
Battulga Gankhuu
PAIRS TRADING WITH TOPOLOGICAL DATA ANALYSIS pp. 1-43 Downloads
Sourav Majumdar and Arnab Kumar Laha
LOG-NORMAL STOCHASTIC VOLATILITY MODEL WITH QUADRATIC DRIFT pp. 1-63 Downloads
Artur Sepp and Parviz Rakhmonov
OPTIMAL TIMES TO BUY AND SELL A HOME pp. 1-29 Downloads
Matthew Lorig and Natchanon Suaysom

Volume 26, issue 06n07, 2023

ROUGH-HESTON LOCAL-VOLATILITY MODEL pp. 1-18 Downloads
DALL’ACQUA Enrico, Riccardo Longoni and Andrea Pallavicini
MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION pp. 1-42 Downloads
Songchol Ryom and Inchol Ri
PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS pp. 1-22 Downloads
Mohamed El Jamali and Hatim Tayeq
PORTFOLIO CHOICE WITH TIME HORIZON RISK pp. 1-19 Downloads
Alexis Direr
SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS pp. 1-28 Downloads
Dan Pirjol and Lingjiong Zhu
POLYNOMIAL UTILITY pp. 1-28 Downloads
Alexander S. Lollike and Mogens Steffensen
A REPRESENTATION OF KEYNES’S LONG-TERM EXPECTATION IN FINANCIAL MARKETS pp. 1-20 Downloads
Marcello Basili, Alain Chateauneuf, Giuliano Curatola and Giuseppe Scianna
A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS pp. 1-37 Downloads
Yoshihiro Shirai

Volume 26, issue 04n05, 2023

A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION pp. 1-23 Downloads
Xiaoyue Liu, Zhenzhong Huang, Biwei Song and Zhen Zhang
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL pp. 1-33 Downloads
Robert Jarrow, Rinald Murataj, Martin T. Wells and Liao Zhu
VIX MODELING FOR A MARKET INSIDER pp. 1-27 Downloads
Markus Hess
STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL pp. 1-38 Downloads
Martin Keller-Ressel and Felix Sachse
WITHDRAWAL SUCCESS ESTIMATION pp. 1-30 Downloads
Hayden Brown
BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID pp. 1-24 Downloads
Peter A. Forsyth, Pieter M. van Staden and Yuying Li
PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING pp. 1-21 Downloads
M. Yousuf and A. Q. M. Khaliq
OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT pp. 1-18 Downloads
Nicole Bã„uerle and An Chen

Volume 26, issue 02n03, 2023

MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES pp. 1-42 Downloads
Martin Forde and Benjamin Smith
THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY pp. 1-12 Downloads
R. Vilela Mendes
CORRELATION ESTIMATION IN HYBRID SYSTEMS pp. 1-22 Downloads
Baron Law
SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL pp. 1-19 Downloads
Dan Pirjol
CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET pp. 1-27 Downloads
Yohji Akama
RATING TRANSITIONS FORECASTING: A FILTERING APPROACH pp. 1-53 Downloads
Areski Cousin, Jã‰rç‘me Lelong and Tom Picard

Volume 26, issue 01, 2023

EDITORIAL pp. 1-3 Downloads
Matheus R Grasselli
BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO pp. 1-15 Downloads
Jiang Ye, Yiwei Wang and Muhammad Wajid Raza
APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES pp. 1-27 Downloads
Jae-Yun Jun and Yves Rakotondratsimba
KELLY TRADING AND MARKET EQUILIBRIUM pp. 1-33 Downloads
Hans-Peter Bermin and Magnus Holm
DOLLAR COST AVERAGING RETURNS ESTIMATION pp. 1-26 Downloads
Hayden Brown

Volume 25, issue 07n08, 2022

ACCOUNTING NOISE AND THE PRICING OF CoCos pp. 1-60 Downloads
Mike Derksen, Peter Spreij and Sweder van Wijnbergen
OPTIMAL INVESTMENT IN INTERRELATED PROJECTS pp. 1-25 Downloads
Shasikanta Naindebam, Marzia Raybaudi and Martin Sola
VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS pp. 1-23 Downloads
Hermann Azemtsa Donfack, Celestin Wafo Soh and Antonie Kotze
WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY pp. 1-47 Downloads
Christian Bayer, Eric Joseph Hall and RAÚL Tempone

Volume 25, issue 06, 2022

SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION pp. 1-35 Downloads
Griselda Deelstra, Lech A. Grzelak and Felix L. Wolf
EFFECT OF THE COMPANY RELATIONSHIP NETWORK ON DEFAULT PREDICTION: EVIDENCE FROM CHINESE LISTED COMPANIES pp. 1-22 Downloads
Guotai Chi, Ying Zhou, Long Shen, Jian Xiong and Hongjia Yan
A PRACTICAL ALGORITHM TO DETECT SUPEREXPONENTIAL BEHAVIOR IN FINANCIAL ASSET PRICE RETURNS pp. 1-22 Downloads
Christopher Lynch and Benjamin Mestel
OPTION SURFACE STATISTICS WITH APPLICATIONS pp. 1-16 Downloads
Dilip B. Madan and King Wang

Volume 25, issue 04n05, 2022

PORTFOLIO VOLATILITY SPILLOVER pp. 1-39 Downloads
Gueorgui S. Konstantinov and Frank J. Fabozzi
MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES pp. 1-13 Downloads
Fei Sun, Kui Luo and Yu Feng
OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS pp. 1-45 Downloads
Alet Roux and Zhikang Xu
OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK pp. 1-31 Downloads
MÃœLLER Lukas
PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO pp. 1-37 Downloads
Emanuele Casamassima, Lech A. Grzelak, Frank A. Mulder and Cornelis W. Oosterlee
VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH pp. 1-33 Downloads
Guiyuan Ma, Song-Ping Zhu and Ivan Guo
A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING pp. 1-30 Downloads
Engel John C. Dela Vega and Robert J. Elliott
MARKET TIMING IN PARAMETRIC PORTFOLIO POLICIES pp. 1-28 Downloads
Carlos Osorio, Thorsten Poddig, Christian Fieberg, Michael Olschewsky and Michael Falge

Volume 25, issue 03, 2022

AN EMPIRICAL ANALYSIS OF OPTION PRICING WITH SHORT SELL BANS pp. 1-26 Downloads
Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu
DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL pp. 1-36 Downloads
Battulga Gankhuu, Jacob Kleinow, Altangerel Lkhamsuren and Andreas Horsch
APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES pp. 1-25 Downloads
Soon Hyeok Choi and Robert Jarrow
MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES pp. 1-21 Downloads
Antonella Calzolari and Barbara Torti
OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS pp. 1-31 Downloads
LÃœTKEBOHMERT Eva, Thorsten Schmidt and Tianjiao Zhu

Volume 25, issue 02, 2022

A STOCHASTIC OIL PRICE MODEL FOR OPTIMAL HEDGING AND RISK MANAGEMENT pp. 1-27 Downloads
Teemu Pennanen and Luciane Sbaraini Bonatto
CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION pp. 1-43 Downloads
Orcan Ögetbil, Narayan Ganesan and Bernhard Hientzsch
SHORT SELLING WITH MARGIN RISK AND RECALL RISK pp. 1-33 Downloads
Kristoffer Glover and Hardy Hulley
SOLVENCY MEASUREMENT OF LIFE ANNUITY PRODUCTS pp. 1-26 Downloads
Pauline Ngugnie Diffouo and Pierre Devolder
APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL pp. 1-26 Downloads
Takuji Arai
Page updated 2024-07-13