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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 26, issue 08, 2023

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

PAIRS TRADING WITH TOPOLOGICAL DATA ANALYSIS pp. 1-43

Sourav Majumdar and Arnab Kumar Laha

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

Battulga Gankhuu

Volume 26, issue 06n07, 2023

A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS pp. 1-37

Yoshihiro Shirai

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

DALL’ACQUA Enrico, Riccardo Longoni and Andrea Pallavicini

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

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

Marcello Basili, Alain Chateauneuf, Giuliano Curatola and Giuseppe Scianna

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

Mohamed El Jamali and Hatim Tayeq

PORTFOLIO CHOICE WITH TIME HORIZON RISK pp. 1-19

Alexis Direr

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

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

WITHDRAWAL SUCCESS ESTIMATION pp. 1-30

Hayden Brown

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

Xiaoyue Liu, Zhenzhong Huang, Biwei Song and Zhen Zhang

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

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

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

Nicole Bã„uerle and An Chen

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

Martin Keller-Ressel and Felix Sachse

VIX MODELING FOR A MARKET INSIDER pp. 1-27

Markus Hess

Volume 26, issue 02n03, 2023

CORRELATION ESTIMATION IN HYBRID SYSTEMS pp. 1-22

Baron Law

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

R. Vilela Mendes

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

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

Martin Forde and Benjamin Smith

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

Dan Pirjol

Volume 26, issue 01, 2023

EDITORIAL pp. 1-3

Matheus R Grasselli

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

Jiang Ye, Yiwei Wang and Muhammad Wajid Raza

DOLLAR COST AVERAGING RETURNS ESTIMATION pp. 1-26

Hayden Brown

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

Jae-Yun Jun and Yves Rakotondratsimba

KELLY TRADING AND MARKET EQUILIBRIUM pp. 1-33

Hans-Peter Bermin and Magnus Holm

Volume 25, issue 07n08, 2022

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

Hermann Azemtsa Donfack, Celestin Wafo Soh and Antonie Kotze

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

OPTIMAL INVESTMENT IN INTERRELATED PROJECTS pp. 1-25

Shasikanta Naindebam, Marzia Raybaudi and Martin Sola

Volume 25, issue 06, 2022

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

OPTION SURFACE STATISTICS WITH APPLICATIONS pp. 1-16

Dilip B. Madan and King Wang

Volume 25, issue 04n05, 2022

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

MÃœLLER Lukas

PORTFOLIO VOLATILITY SPILLOVER pp. 1-39

Gueorgui S. Konstantinov and Frank J. Fabozzi

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

Fei Sun, Kui Luo and Yu Feng

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

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

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

MARKET TIMING IN PARAMETRIC PORTFOLIO POLICIES pp. 1-28

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

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

Alet Roux and Zhikang Xu

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

Engel John C. Dela Vega and Robert J. Elliott

Volume 25, issue 03, 2022

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

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

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

Antonella Calzolari and Barbara Torti

OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS pp. 1-31

LÃœTKEBOHMERT Eva, Thorsten Schmidt and Tianjiao Zhu

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

Battulga Gankhuu, Jacob Kleinow, Altangerel Lkhamsuren and Andreas Horsch

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

Soon Hyeok Choi and Robert Jarrow

Volume 25, issue 02, 2022

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

Orcan Ögetbil, Narayan Ganesan and Bernhard Hientzsch

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

Kristoffer Glover and Hardy Hulley

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

Teemu Pennanen and Luciane Sbaraini Bonatto

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