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International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2020

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 23, issue 02, 2020

MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY pp. 1-22 Downloads
Olga Biedova and Victoria Steblovskaya
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
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
CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS pp. 1-28 Downloads
Pavel V. Gapeev and Monique Jeanblanc
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS pp. 1-29 Downloads
Tim Leung and Yang Zhou

Volume 23, issue 01, 2020

STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT pp. 1-28 Downloads
Aditi Dandapani and Philip Protter
ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS pp. 1-52 Downloads
André Catalão and Rogério Rosenfeld
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
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
xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT pp. 1-24 Downloads
Lixin Wu and Dawei Zhang

Volume 22, issue 08, 2019

HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS pp. 1-41 Downloads
Tak Kuen Siu and Robert J. Elliott
SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION pp. 1-53 Downloads
J. Lars Kirkby and Shi-Jie Deng
AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS pp. 1-31 Downloads
Chen Liu, Henry Schellhorn and Qidi Peng
MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH pp. 1-36 Downloads
Masaaki Kijima and Christopher Ting
GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS pp. 1-25 Downloads
Jairo A. Rendon
AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL pp. 1-30 Downloads
Markus Hess
PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS pp. 1-26 Downloads
Takuji Arai

Volume 22, issue 07, 2019

BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM pp. 1-40 Downloads
Carmine de Franco, Johann Nicolle and Huyên Pham
SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS pp. 1-18 Downloads
Shiva Chandra and Andrew Papanicolaou
NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES pp. 1-29 Downloads
Gianluca Cassese
OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS pp. 1-35 Downloads
Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski and Ljupco Kocarev
PORTFOLIO RHO-PRESENTATIVITY pp. 1-52 Downloads
Tristan Froidure, Khalid Jalalzai and Yves Choueifaty
CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION pp. 1-24 Downloads
Christopher Lynch and Benjamin Mestel
NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS pp. 1-46 Downloads
Maya Briani, Lucia Caramellino, Giulia Terenzi and Antonino Zanette

Volume 22, issue 06, 2019

PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE pp. 1-17 Downloads
Jan-Frederik Mai
CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING pp. 1-33 Downloads
Zhiping Chen, Liyuan Wang, Ping Chen and Haixiang Yao
PRICING DERIVATIVES IN HERMITE MARKETS pp. 1-27 Downloads
Stoyan V. Stoyanov, Svetlozar T. Rachev, Stefan Mittnik and Frank J. Fabozzi
AMERICAN OPTIONS AND INCOMPLETE INFORMATION pp. 1-14 Downloads
Erik Ekström and Martin Vannestål
HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT pp. 1-31 Downloads
Hugo E. Ramirez, Peter Duck, Paul V. Johnson and Sydney Howell
CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES pp. 1-13 Downloads
Firuz Rakhmonov and Parviz Rakhmonov
PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION pp. 1-24 Downloads
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba and José Carlos Dias

Volume 22, issue 05, 2019

BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL pp. 1-24 Downloads
Roberto Baviera
THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE pp. 1-31 Downloads
Gabriel Frahm, Alexander Jonen and Rainer Schüssler
PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS pp. 1-38 Downloads
Hongcan Lin, David Saunders and Chengguo Weng
CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONS pp. 1-22 Downloads
Andrea Flori
CREDIT SPREAD AND LIQUIDATION VALUE-BASED DEBT FINANCING CONSTRAINT pp. 1-27 Downloads
Takashi Shibata and Michi Nishihara
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM pp. 1-20 Downloads
Mesias Alfeus and Erik Schlogl
HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS pp. 1-26 Downloads
Matthieu Garcin

Volume 22, issue 04, 2019

MULTI-CURRENCY CREDIT DEFAULT SWAPS pp. 1-35 Downloads
Damiano Brigo, Nicola Pede and Andrea Petrelli
VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING pp. 1-19 Downloads
Xin-Jiang He and Song-Ping Zhu
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM pp. 1-23 Downloads
Ryan Donnelly and Tim Leung
DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION pp. 1-18 Downloads
Pavel V. Gapeev and Monique Jeanblanc
EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE pp. 1-33 Downloads
Ben-Zhang Yang, Jia Yue and Nan-Jing Huang
A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA pp. 1-24 Downloads
Antoine Lejay and Paolo Pigato
MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS pp. 1-24 Downloads
Ralf Korn and Elisabeth Leoff

Volume 22, issue 03, 2019

SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES pp. 1-18 Downloads
Yanhong Chen and Yijun Hu
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS pp. 1-37 Downloads
A. Itkin, V. Shcherbakov and A. Veygman
A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE pp. 1-26 Downloads
Bernard Lapeyre and Marouan Iben Taarit
SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS pp. 1-49 Downloads
Svetlana Boyarchenko and Sergei Levendorskiĭ
SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS pp. 1-41 Downloads
Aurélien Alfonsi, Jacopo Corbetta and Benjamin Jourdain
VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS pp. 1-44 Downloads
Oliver Pfante and Nils Bertschinger
RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION pp. 1-19 Downloads
Jim Gatheral and Radoš Radoičić

Volume 22, issue 02, 2019

HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH pp. 1-17 Downloads
Wen-Qiong Liu and Wen-Li Huang
APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION pp. 1-16 Downloads
Luca Capriotti, Yupeng Jiang and Gaukhar Shaimerdenova
PENALTY AMERICAN OPTIONS pp. 1-32 Downloads
Ziwei Ke and Joanna Goard
MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS pp. 1-26 Downloads
Petar Jevtić, Marina Marena and Patrizia Semeraro
EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS pp. 1-43 Downloads
Dilip B. Madan and Wim Schoutens
SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL pp. 1-19 Downloads
Hossein Jafari and Ghazaleh Rahimi
OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT pp. 1-28 Downloads
Weston Barger and Matthew Lorig

Volume 22, issue 01, 2019

PREFACE pp. 1-4 Downloads
Marco Avellaneda, Bruno Dupire and Jorge P. Zubelli
DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS pp. 1-18 Downloads
George Bouzianis and Lane P. Hughston
BORROWING CAPACITY, FINANCIAL INSTABILITY, AND CONTAGION pp. 1-25 Downloads
Youngna Choi
STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS pp. 1-30 Downloads
M. Avellaneda and A. Papanicolaou
THE BROAD CONSEQUENCES OF NARROW BANKING pp. 1-22 Downloads
Matheus R. Grasselli and Alexander Lipton
MEASURING DEFAULT RISK FOR A PORTFOLIO OF EQUITIES pp. 1-21 Downloads
Matheus Pimentel Rodrigues and Andre Cury Maialy
MULTIDIMENSIONAL CALIBRATION OF CRUDE OIL AND REFINED PRODUCTS VIA SEMIDEFINITE PROGRAMMING TECHNIQUES pp. 1-31 Downloads
Carolina Effio Saldivar, José Herskovits, Juan Pablo Luna and Claudia Sagastizábal
Page updated 2020-05-26