International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2025

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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Development of novel kinetic energy functional for orbital-free density functional theory applications pp. 1-14: Vittoria Urso
Traffic dynamics on homogeneous networks with community structure pp. 1-13: Jinlong Ma, Zishuo An, Yi Zhou, Yi Zhang, Xiangyang Xu and Sufeng Li
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

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

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

Investigation of transportation of nanofluid within non-equilibrium porous media pp. 1-15: Yahya Ali Rothan
Large eddy simulation of converging Richtmyerâ€“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

A PRINCIPALâ€“AGENT MODEL FOR OPTIMAL INCENTIVES IN RENEWABLE INVESTMENTS pp. 1-38: Renã‰ Aã D, Annika Kemper and Nizar Touzi
OPTION PRICE ASYMPTOTICS UNDER A STOCHASTIC VOLATILITY LÃ‰VY MODEL WITH INFINITE ACTIVITY JUMPS pp. 1-29: Hossein Jafari, Ã’scar Burã‰s, Josep Vives and Yiqiang Q. Zhao
SYSTEMATIC RISK IN POOLS pp. 1-53: Hirbod Assa
OPTIMAL SPOT SLIDES pp. 1-30: Dilip B. Madan, Yoshihiro Shirai and King Wang
AN ANALYTICAL APPROXIMATION FOR THE ASSET-OR-NOTHING PUT OPTION pp. 1-12: Joanna Goard

GEOMETRIC INSIGHTS INTO ROBUST PORTFOLIO CONSTRUCTION pp. 1-46: Lara Dalmeyer and Tim Gebbie
A WIND-DEPENDENT SELF-EXCITING ELECTRICITY SPOT PRICE MODEL pp. 1-24: Markus Hess
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
NUMERICAL SOLUTIONS OF A MARKOV-SWITCHING ONE-FACTOR VOLATILITY MODEL WITH NONGLOBALLY LIPSCHITZ CONTINUOUS COEFFICIENTS pp. 1-32: Emmanuel Coffie
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

PRICING CoCos WITH EQUITY CONVERSION COVENANT IN A DISTRESSED MARKET ENVIRONMENT pp. 1-22: Jan-Frederik Mai
FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON pp. 1-23: David Wu and Robert Jarrow
FROM CALENDAR TIME TO BUSINESS TIME: THE CASE OF COMMODITY MARKETS pp. 1-37: Sergiy Ladokhin, Maren Diane Schmeck and Svetlana Borovkova
PARASIAN OVER PARISIAN, HOW MUCH EARLIER SHOULD ONE EXERCISE? pp. 1-30: Lin Ai and Song-Ping Zhu
ON THE SOLUTION UNIQUENESS IN PORTFOLIO OPTIMIZATION AND RISK ANALYSIS pp. 1-27: Bogdan Grechuk, Andrzej Palczewski and Jan Palczewski
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
THE EDGEWORTH AND GRAMâ€“CHARLIER DENSITIES pp. 1-50: Pakorn Aschakulporn and Jin E. Zhang

BRIEF SYNOPSIS OF THE SCIENTIFIC CAREER OF T. R. HURD pp. 1-8: Matheus R. Grasselli and Lane P. Hughston
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
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
PREFACE: SPECIAL ISSUE IN HONOUR OF THE MEMORY OF THOMAS ROBERT HURD (1956â€“2022) pp. 1-1: Tomasz R. Bielecki, Matheus R. Grasselli and Lane P. Hughston
NETTING AND NOVATION IN REPO NETWORKS pp. 1-45: Hassan Chehaitli, Matheus R. Grasselli, Thomas R. Hurd and Weijie Pang
MONETARY UTILITY FUNCTIONS ON Cb(X) SPACES pp. 1-13: Freddy Delbaen
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 RÃ‰MIlLARD Bruno
SYSTEMIC PERSPECTIVE OF TERM RISK IN BANK FUNDING MARKETS pp. 1-55: Andrea Macrina and Obeid Mahomed

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 EVALUATION OF DOUBLE-BARRIER OPTIONS pp. 1-42: Svetlana Boyarchenko and Sergei Levendorskiä¬
EFFICIENT WRONG-WAY RISK MODELING FOR FUNDING VALUATION ADJUSTMENTS pp. 1-43: Thomas van der Zwaard, Lech A. Grzelak and Cornelis W. Oosterlee
PORTFOLIO MODELS FOR OPTIMIZING DRAWDOWN DURATION pp. 1-44: Andrei Vedernikov, Juuso Liesiã– and Tomi Seppã„lã„
A CHANGE OF MEASURE FORMULA FOR RECURSIVE CONDITIONAL EXPECTATIONS pp. 1-23: Luca Di Persio, Alessandro Gnoatto and Marco Patacca

KRIGING METHODS FOR MODELING SPATIAL BASIS RISK IN WEATHER INDEX INSURANCES: A TECHNICAL NOTE pp. 1-24: Yiping Guo and Johnny Siu-Hang Li
OPTIMAL CLIMATE POLICY WITH NEGATIVE EMISSIONS pp. 1-28: Riccardo Rebonato, Dherminder Kainth, Lionel Melin and Oâ€™KANE Dominic
PRICING AND HEDGING OF TEMPERATURE DERIVATIVES IN A MODEL WITH MEMORY pp. 1-34: Markus Hess
CARBON RISK HEDGING: REDUCING PORTFOLIO CARBON RISK USING A BETA HEDGE RATIO pp. 1-23: Mathis Leifhelm and Peter Scholz
PREFACE pp. 1-3: Johnny Li, Lysa Porth, Alexey Rubtsov, David Saunders and Luis Seco
â€œIS DECARBONIZATION PRICED IN?â€ â€”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