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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Volume 26, issue 08, 2023

PAIRS TRADING WITH TOPOLOGICAL DATA ANALYSIS pp. 1-43

Sourav Majumdar and Arnab Kumar Laha

LOG-NORMAL STOCHASTIC VOLATILITY MODEL WITH QUADRATIC DRIFT pp. 1-63

Artur Sepp and Parviz Rakhmonov

OPTIMAL TIMES TO BUY AND SELL A HOME pp. 1-29

Matthew Lorig and Natchanon Suaysom

PARAMETER ESTIMATION METHODS OF REQUIRED RATE OF RETURN ON STOCK pp. 1-37

Battulga Gankhuu

Volume 26, issue 06n07, 2023

PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS pp. 1-22

Mohamed El Jamali and Hatim Tayeq

SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS pp. 1-28

Dan Pirjol and Lingjiong Zhu

POLYNOMIAL UTILITY pp. 1-28

Alexander S. Lollike and Mogens Steffensen

ROUGH-HESTON LOCAL-VOLATILITY MODEL pp. 1-18

DALL’ACQUA Enrico, Riccardo Longoni and Andrea Pallavicini

PORTFOLIO CHOICE WITH TIME HORIZON RISK pp. 1-19

Alexis Direr

A REPRESENTATION OF KEYNES’S LONG-TERM EXPECTATION IN FINANCIAL MARKETS pp. 1-20

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

Yoshihiro Shirai

MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION pp. 1-42

Songchol Ryom and Inchol Ri

Volume 26, issue 04n05, 2023

VIX MODELING FOR A MARKET INSIDER pp. 1-27

Markus Hess

WITHDRAWAL SUCCESS ESTIMATION pp. 1-30

Hayden Brown

BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID pp. 1-24

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

M. Yousuf and A. Q. M. Khaliq

STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL pp. 1-38

Martin Keller-Ressel and Felix Sachse

OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT pp. 1-18

Nicole Bã„uerle and An Chen

THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL pp. 1-33

Robert Jarrow, Rinald Murataj, Martin T. Wells and Liao Zhu

A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION pp. 1-23

Xiaoyue Liu, Zhenzhong Huang, Biwei Song and Zhen Zhang

Volume 26, issue 02n03, 2023

MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES pp. 1-42

Martin Forde and Benjamin Smith

RATING TRANSITIONS FORECASTING: A FILTERING APPROACH pp. 1-53

Areski Cousin, Jã‰rç‘me Lelong and Tom Picard

CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET pp. 1-27

Yohji Akama

THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY pp. 1-12

R. Vilela Mendes

CORRELATION ESTIMATION IN HYBRID SYSTEMS pp. 1-22

Baron Law

SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL pp. 1-19

Dan Pirjol

Volume 26, issue 01, 2023

APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES pp. 1-27

Jae-Yun Jun and Yves Rakotondratsimba

EDITORIAL pp. 1-3

Matheus R Grasselli

KELLY TRADING AND MARKET EQUILIBRIUM pp. 1-33

Hans-Peter Bermin and Magnus Holm

DOLLAR COST AVERAGING RETURNS ESTIMATION pp. 1-26

Hayden Brown

BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO pp. 1-15

Jiang Ye, Yiwei Wang and Muhammad Wajid Raza

Volume 25, issue 07n08, 2022

ACCOUNTING NOISE AND THE PRICING OF CoCos pp. 1-60

Mike Derksen, Peter Spreij and Sweder van Wijnbergen

WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY pp. 1-47

Christian Bayer, Eric Joseph Hall and RAÚL Tempone

VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS pp. 1-23

Hermann Azemtsa Donfack, Celestin Wafo Soh and Antonie Kotze

OPTIMAL INVESTMENT IN INTERRELATED PROJECTS pp. 1-25

Shasikanta Naindebam, Marzia Raybaudi and Martin Sola

Volume 25, issue 06, 2022

OPTION SURFACE STATISTICS WITH APPLICATIONS pp. 1-16

Dilip B. Madan and King Wang

SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION pp. 1-35

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

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

Christopher Lynch and Benjamin Mestel

Volume 25, issue 04n05, 2022

OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS pp. 1-45

Alet Roux and Zhikang Xu

PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO pp. 1-37

Emanuele Casamassima, Lech A. Grzelak, Frank A. Mulder and Cornelis W. Oosterlee

A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING pp. 1-30

Engel John C. Dela Vega and Robert J. Elliott

MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES pp. 1-13

Fei Sun, Kui Luo and Yu Feng

MARKET TIMING IN PARAMETRIC PORTFOLIO POLICIES pp. 1-28

Carlos Osorio, Thorsten Poddig, Christian Fieberg, Michael Olschewsky and Michael Falge

PORTFOLIO VOLATILITY SPILLOVER pp. 1-39

Gueorgui S. Konstantinov and Frank J. Fabozzi

VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH pp. 1-33

Guiyuan Ma, Song-Ping Zhu and Ivan Guo

OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK pp. 1-31

MÃœLLER Lukas

Volume 25, issue 03, 2022

DIVIDENDS AND COMPOUND POISSON PROCESSES: A NEW STOCHASTIC STOCK PRICE MODEL pp. 1-36

Battulga Gankhuu, Jacob Kleinow, Altangerel Lkhamsuren and Andreas Horsch

AN EMPIRICAL ANALYSIS OF OPTION PRICING WITH SHORT SELL BANS pp. 1-26

Mesias Alfeus, Xin-Jiang He and Song-Ping Zhu

APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES pp. 1-25

Soon Hyeok Choi and Robert Jarrow

OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS pp. 1-31

LÃœTKEBOHMERT Eva, Thorsten Schmidt and Tianjiao Zhu

MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES pp. 1-21

Antonella Calzolari and Barbara Torti

Volume 25, issue 02, 2022

SHORT SELLING WITH MARGIN RISK AND RECALL RISK pp. 1-33

Kristoffer Glover and Hardy Hulley

SOLVENCY MEASUREMENT OF LIFE ANNUITY PRODUCTS pp. 1-26

Pauline Ngugnie Diffouo and Pierre Devolder

APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL pp. 1-26

Takuji Arai

CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION pp. 1-43

Orcan Ögetbil, Narayan Ganesan and Bernhard Hientzsch

A STOCHASTIC OIL PRICE MODEL FOR OPTIMAL HEDGING AND RISK MANAGEMENT pp. 1-27

Teemu Pennanen and Luciane Sbaraini Bonatto