International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2024

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 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

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

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

Griselda Deelstra, Lech A. Grzelak and Felix L. Wolf

OPTION SURFACE STATISTICS WITH APPLICATIONS pp. 1-16

Dilip B. Madan and King Wang

Volume 25, issue 04n05, 2022

PORTFOLIO VOLATILITY SPILLOVER pp. 1-39

Gueorgui S. Konstantinov and Frank J. Fabozzi

MARKET TIMING IN PARAMETRIC PORTFOLIO POLICIES pp. 1-28

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

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

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

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

Alet Roux and Zhikang Xu

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

MÃœLLER Lukas

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

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

Fei Sun, Kui Luo and Yu Feng

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

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

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

Soon Hyeok Choi and Robert Jarrow

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

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

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

Battulga Gankhuu, Jacob Kleinow, Altangerel Lkhamsuren and Andreas Horsch

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

Volume 24, issue 08, 2021

SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS pp. 1-50

Svetlana Boyarchenko, Sergei Levendorskiä¬, J. Lars Kyrkby and Zhenyu Cui

PRICING ASIAN OPTIONS WITH CORRELATORS pp. 1-44

Silvia Lavagnini

INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA pp. 1-31

Flavia Antonacci, Cristina Costantini, D’IPPOLITI Fernanda and Marco Papi

LARGE PLATONIC MARKETS WITH DELAYS pp. 1-19

Yannick Limmer and Thilo Meyer-Brandis

MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS pp. 1-49

Thamayanthi Chellathurai

Volume 24, issue 06n07, 2021

DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES pp. 1-27

GÃœMBEL Sandrine and Thorsten Schmidt

COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION pp. 1-26

Emmanuel Lepinette and Duc Thinh Vu

LATENCY AND LIQUIDITY RISK pp. 1-37

à Lvaro Cartea, Sebastian Jaimungal and Leandro Sã Nchez-Betancourt

LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES pp. 1-41

Ramin Okhrati and Nikolaos Karpathopoulos

DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY pp. 1-18

Fred Espen Benth, Gleda Kutrolli and Silvana Stefani

PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES pp. 1-35

Jean-Loup Dupret and Donatien Hainaut

THE VIX AND FUTURE INFORMATION pp. 1-30

Markus Hess

THE AFFINE RATIONAL POTENTIAL MODEL pp. 1-25

The Anh Nguyen and Frank Thomas Seifried

Volume 24, issue 05, 2021

COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES pp. 1-21

Benjamin R. Auer and Frank Schuhmacher

PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION pp. 1-49

Pieter M. van Staden, Duy-Minh Dang and Peter A. Forsyth

DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS pp. 1-43

Masaaki Fukasawa, Masamitsu Ohnishi and Makoto Shimoshimizu

THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH pp. 1-27

Martin Keller-Ressel

OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK pp. 1-27

Tim Leung, Raphael Yan and Yang Zhou

OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES pp. 1-13

Dilip B. Madan and King Wang

Volume 24, issue 04, 2021

THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK pp. 1-26

Vicky Henderson, Jia Sun and A. Elizabeth Whalley

ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT pp. 1-28

Jörn Sass and Dorothee Westphal

COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION pp. 1-18

Xiang Shi and Young Shin Kim

FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS pp. 1-29

Pavel V. Gapeev and Monique Jeanblanc

A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS pp. 1-31

Chyng Wen Tee and Jeroen Kerkhof

FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK pp. 1-25

Sung Ik Kim and Young Shin Kim

Volume 24, issue 03, 2021

REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS pp. 1-37

Hideharu Funahashi

FINANCING AND INVESTMENT STRATEGIES UNDER CREDITOR-MAXIMIZED LIQUIDATION pp. 1-30

Takashi Shibata and Michi Nishihara

FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS pp. 1-22

Matteo Michielon, Asma Khedher and Peter Spreij

PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME pp. 1-24

Fabien Le Floc’h

AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK pp. 1-28

Calisto Guambe, Lesedi Mabitsela and Rodwell Kufakunesu

ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES pp. 1-28

Daniel Mantilla-Garcia, Enrique A. Ter Horst, Emilien Audeguil and German Molina

Volume 24, issue 02, 2021

DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS pp. 1-47

Raúl Merino, Jan Pospíšil, Tomáš Sobotka, Tommi Sottinen and Josep Vives

INSIDER TRADING WITH TEMPORARY PRICE IMPACT pp. 1-32

Weston Barger and Ryan Donnelly

CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS pp. 1-34

E. Alòs, F. Antonelli, Alessandro Ramponi and S. Scarlatti

EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS pp. 1-51

Zhenzhen Huang and Yue Kuen Kwok

POLYNOMIAL TERM STRUCTURE MODELS pp. 1-28

Si Cheng and Michael R. Tehranchi

CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS pp. 1-29

Nicole Bäuerle and Daniel Schmithals

Volume 24, issue 01, 2021

MIXTURE OF CONSISTENT STOCHASTIC UTILITIES AND A PRIORI RANDOMNESS pp. 1-34

Mrad Mohamed

PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK pp. 1-34

Rafael Serrano

SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION pp. 1-24

Mikhail Zhitlukhin

TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS pp. 1-31

Peter A. Forsyth

CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION pp. 1-18

Yerkin Kitapbayev

TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION pp. 1-28

Tomasz R. Bielecki, Tao Chen and Igor Cialenco