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 15, issue 08, 2012
- HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING pp. 1-36

- Arturo Leccadito, Pietro Toscano and Radu S. Tunaru
- IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS pp. 1-24

- An Chen and Klaus Sandmann
- THE WISHART SHORT RATE MODEL pp. 1-24

- Alessandro Gnoatto
- ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET pp. 1-19

- Robert J. Elliott and Tak Kuen Siu
- A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL pp. 1-30

- Aurélien Alfonsi and Jérôme Lelong
- RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES pp. 1-34

- Tim Leung and Peng Liu
- THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL pp. 1-23

- Zhi Jun Guo and Eckhard Platen
Volume 15, issue 07, 2012
- A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING pp. 1-20

- Christoph Aistleitner, Markus Hofer and Robert Tichy
- CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK pp. 1-18

- Pierre Hanton and Marc Henrard
- UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS pp. 1-22

- Jochen Zahn
- AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS pp. 1-21

- Pascal Heider
- NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS pp. 1-29

- Carole Bernard, Zhenyu Cui and Don McLeish
- EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL pp. 1-44

- Sergei Levendorskiĭ
- WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK pp. 1-32

- Jacinto Marabel Romo
Volume 15, issue 06, 2012
- TENOR SPECIFIC PRICING pp. 1-21

- Dilip B. Madan and Wim Schoutens
- NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION pp. 1-26

- Peter Hepperger
- COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES pp. 1-23

- Damiano Brigo, Cristin Buescu and Massimo Morini
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS pp. 1-34

- Claudia Ceci
- MODELLING THE BID AND ASK PRICES OF ILLIQUID CDSs pp. 1-37

- Michael B. Walker
- A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD pp. 1-25

- Akihiko Takahashi, Kohta Takehara and Masashi Toda
- DUPIRE'S EQUATION FOR BUBBLES pp. 1-12

- Erik Ekström and Johan Tysk
Volume 15, issue 05, 2012
- ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL pp. 1-27

- M. Costabile, I. Massabò and E. Russo
- EXACT SIMULATION OF THE 3/2 MODEL pp. 1-13

- Jan Baldeaux
- ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME pp. 1-24

- Masaaki Fujii and Akihiko Takahashi
- DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE pp. 1-22

- Vasyl Golosnoy and Helmut Herwartz
- THE MINIMAL κ-ENTROPY MARTINGALE MEASURE pp. 1-22

- Barbara Trivellato
- STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS pp. 1-19

- Andrey Lizyayev
- FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS pp. 1-26

- Alessandro Ramponi
Volume 15, issue 04, 2012
- PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS pp. 1-32

- Francesca Biagini and Jan Widenmann
- MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION pp. 1-32

- Carlo Marinelli, Stefano d'Addona and Svetlozar T. Rachev
- FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS pp. 1-34

- Martijn Pistorius and Johannes Stolte
- A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE pp. 1-30

- Roberto Marfe
- THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON pp. 1-27

- S. de Marco and C. Martini
- CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS pp. 1-24

- Philipp Hell, Thilo Meyer-Brandis and Thorsten Rheinländer
- A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES pp. 1-20

- Ragnar Norberg and Oksana Savina
Volume 15, issue 03, 2012
- ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT pp. 1-27

- Christoph Meinerding
- MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS pp. 1-22

- Silvia Centanni and Marco Minozzo
- A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS pp. 1-15

- Robert Jarrow and Philip Protter
- ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL pp. 1-9

- R. Tevzadze and T. Uzunashvili
- INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS pp. 1-17

- Sen Wu, Lishang Jiang and Jin Liang
- ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE pp. 1-34

- Archil Gulisashvili
- THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL pp. 1-23

- Rémy Chicheportiche and Jean-Philippe Bouchaud
Volume 15, issue 02, 2012
- ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL pp. 1-33

- Mark Joshi and Alexander Wiguna
- RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS pp. 1-20

- Nicolas Diener, Robert Jarrow and Philip Protter
- METRIZATION OF STOCHASTIC DOMINANCE RULES pp. 1-22

- Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank Fabozzi
- LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS pp. 1-21

- Lie-Jane Kao
- A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL pp. 1-37

- Bin Chen, Cornelis Oosterlee and Hans van der Weide
- AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING pp. 1-19

- Steven Vanduffel, Ales Ahcan, Luc Henrard and Mateusz Maj
- COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS pp. 1-32

- J. Wang and P. A. Forsyth
Volume 15, issue 01, 2012
- PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION pp. 1-21

- Pavel V. Gapeev
- PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS pp. 1-18

- Rüdiger Frey, Abdelali Gabih and Ralf Wunderlich
- THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION pp. 1-18

- Jim Gatheral and Tai-Ho Wang
- STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS pp. 1-20

- Hamed Amini, Rama Cont and Andreea Minca
- CONDITIONAL DENSITY MODELS FOR ASSET PRICING pp. 1-24

- Damir Filipović, Lane P. Hughston and Andrea Macrina
- HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES pp. 1-15

- Jiro Akahori and Andrea Macrina
- VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL pp. 1-39

- T. R. Bielecki, S. Crépey, M. Jeanblanc and B. Zargari
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS pp. 1-34

- Jan Obłój and Frédérik Ulmer
- CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS pp. 1-19

- Thorsten Schmidt and Jerzy Zabczyk
- PREFACE – Special Issue on Financial Derivatives and Risk Management pp. 1-3

- Matheus Grasselli and Lane P. Hughston
- TARGET VOLATILITY OPTION PRICING pp. 1-17

- Giuseppe Di Graziano and Lorenzo Torricelli