International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2026

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 27, issue 07n08, 2024

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

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

Volume 27, issue 05n06, 2024

FROM CALENDAR TIME TO BUSINESS TIME: THE CASE OF COMMODITY MARKETS pp. 1-37

Sergiy Ladokhin, Maren Diane Schmeck and Svetlana Borovkova

PRICING CoCos WITH EQUITY CONVERSION COVENANT IN A DISTRESSED MARKET ENVIRONMENT pp. 1-22

Jan-Frederik Mai

ON THE SOLUTION UNIQUENESS IN PORTFOLIO OPTIMIZATION AND RISK ANALYSIS pp. 1-27

Bogdan Grechuk, Andrzej Palczewski and Jan Palczewski

THE EDGEWORTH AND GRAM–CHARLIER DENSITIES pp. 1-50

Pakorn Aschakulporn and Jin E. Zhang

FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON pp. 1-23

David Wu and Robert Jarrow

PARASIAN OVER PARISIAN, HOW MUCH EARLIER SHOULD ONE EXERCISE? pp. 1-30

Lin Ai and Song-Ping Zhu

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

Volume 27, issue 03n04, 2024

MONETARY UTILITY FUNCTIONS ON Cb(X) SPACES pp. 1-13

Freddy Delbaen

BRIEF SYNOPSIS OF THE SCIENTIFIC CAREER OF T. R. HURD pp. 1-8

Matheus R. Grasselli and Lane P. Hughston

SYSTEMIC PERSPECTIVE OF TERM RISK IN BANK FUNDING MARKETS pp. 1-55

Andrea Macrina and Obeid Mahomed

PREFACE: SPECIAL ISSUE IN HONOUR OF THE MEMORY OF THOMAS ROBERT HURD (1956–2022) pp. 1-1

Tomasz R. Bielecki, Matheus R. Grasselli and Lane P. Hughston

THE JARROW AND TURNBULL SETTING REVISITED pp. 1-21

Thomas Krabichler and Josef Teichmann

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 RÉMIlLARD Bruno

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

FINANCIAL FINANCE pp. 1-27

Dilip B. Madan and King Wang

NETTING AND NOVATION IN REPO NETWORKS pp. 1-45

Hassan Chehaitli, Matheus R. Grasselli, Thomas R. Hurd and Weijie Pang

Volume 27, issue 02, 2024

AFFINE MODELS WITH PATH-DEPENDENCE UNDER PARAMETER UNCERTAINTY AND THEIR APPLICATION IN FINANCE pp. 1-36

Benedikt Geuchen, Katharina Oberpriller and Thorsten Schmidt

EFFICIENT WRONG-WAY RISK MODELING FOR FUNDING VALUATION ADJUSTMENTS pp. 1-43

Thomas van der Zwaard, Lech A. Grzelak and Cornelis W. Oosterlee

A CHANGE OF MEASURE FORMULA FOR RECURSIVE CONDITIONAL EXPECTATIONS pp. 1-23

Luca Di Persio, Alessandro Gnoatto and Marco Patacca

PORTFOLIO MODELS FOR OPTIMIZING DRAWDOWN DURATION pp. 1-44

Andrei Vedernikov, Juuso Liesiã– and Tomi Seppã„lã„

EFFICIENT EVALUATION OF DOUBLE-BARRIER OPTIONS pp. 1-42

Svetlana Boyarchenko and Sergei Levendorskiä¬

TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS pp. 1-34

Erik Schlã–gl, Jacob Bjerre Skov and David Skovmand

Volume 27, issue 01, 2024

PRICING AND HEDGING OF TEMPERATURE DERIVATIVES IN A MODEL WITH MEMORY pp. 1-34

Markus Hess

PREFACE pp. 1-3

Johnny Li, Lysa Porth, Alexey Rubtsov, David Saunders and Luis Seco

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 O’KANE Dominic

CARBON RISK HEDGING: REDUCING PORTFOLIO CARBON RISK USING A BETA HEDGE RATIO pp. 1-23

Mathis Leifhelm and Peter Scholz

“IS DECARBONIZATION PRICED IN?†—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

Volume 26, issue 08, 2023

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

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

Artur Sepp and Parviz Rakhmonov

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

Battulga Gankhuu

Volume 26, issue 06n07, 2023

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

DALL’ACQUA Enrico, Riccardo Longoni and Andrea Pallavicini

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

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

Songchol Ryom and Inchol Ri

PORTFOLIO CHOICE WITH TIME HORIZON RISK pp. 1-19

Alexis Direr

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

Yoshihiro Shirai

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

Volume 26, issue 04n05, 2023

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

Martin Keller-Ressel and Felix Sachse

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

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

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

Peter A. Forsyth, Pieter M. van Staden and Yuying Li

VIX MODELING FOR A MARKET INSIDER pp. 1-27

Markus Hess

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

Volume 26, issue 02n03, 2023

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

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

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

R. Vilela Mendes

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

Dan Pirjol

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

CORRELATION ESTIMATION IN HYBRID SYSTEMS pp. 1-22

Baron Law

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

Martin Forde and Benjamin Smith

Volume 26, issue 01, 2023

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

EDITORIAL pp. 1-3

Matheus R Grasselli

KELLY TRADING AND MARKET EQUILIBRIUM pp. 1-33

Hans-Peter Bermin and Magnus Holm

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

Jae-Yun Jun and Yves Rakotondratsimba