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 ().

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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
HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING pp. 1-36: Arturo Leccadito, Pietro Toscano and Radu S. Tunaru
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

UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS pp. 1-22: Jochen Zahn
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK pp. 1-18: Pierre Hanton and Marc Henrard
EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL pp. 1-44: Sergei Levendorskiĭ
NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS pp. 1-29: Carole Bernard, Zhenyu Cui and Don McLeish
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
AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS pp. 1-21: Pascal Heider
WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK pp. 1-32: Jacinto Marabel Romo

TENOR SPECIFIC PRICING pp. 1-21: Dilip B. Madan and Wim Schoutens
A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD pp. 1-25: Akihiko Takahashi, Kohta Takehara and Masashi Toda
UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS pp. 1-34: Claudia Ceci
COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES pp. 1-23: Damiano Brigo, Cristin Buescu and Massimo Morini
MODELLING THE BID AND ASK PRICES OF ILLIQUID CDSs pp. 1-37: Michael B. Walker
NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION pp. 1-26: Peter Hepperger
DUPIRE'S EQUATION FOR BUBBLES pp. 1-12: Erik Ekström and Johan Tysk

ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL pp. 1-27: M. Costabile, I. Massabò and E. Russo
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS pp. 1-26: Alessandro Ramponi
EXACT SIMULATION OF THE 3/2 MODEL pp. 1-13: Jan Baldeaux
STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS pp. 1-19: Andrey Lizyayev
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

FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS pp. 1-34: Martijn Pistorius and Johannes Stolte
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
A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES pp. 1-20: Ragnar Norberg and Oksana Savina
THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON pp. 1-27: S. de Marco and C. Martini
A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE pp. 1-30: Roberto Marfe
CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS pp. 1-24: Philipp Hell, Thilo Meyer-Brandis and Thorsten Rheinländer

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
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS pp. 1-15: Robert Jarrow and Philip Protter
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
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
ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT pp. 1-27: Christoph Meinerding

COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS pp. 1-32: J. Wang and P. A. Forsyth
LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS pp. 1-21: Lie-Jane Kao
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING pp. 1-19: Steven Vanduffel, Ales Ahcan, Luc Henrard and Mateusz Maj
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
A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL pp. 1-37: Bin Chen, Cornelis Oosterlee and Hans van der Weide
METRIZATION OF STOCHASTIC DOMINANCE RULES pp. 1-22: Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank Fabozzi
ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL pp. 1-33: Mark Joshi and Alexander Wiguna

PREFACE – Special Issue on Financial Derivatives and Risk Management pp. 1-3: Matheus Grasselli and Lane P. Hughston
CONDITIONAL DENSITY MODELS FOR ASSET PRICING pp. 1-24: Damir Filipović, Lane P. Hughston and Andrea Macrina
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
TARGET VOLATILITY OPTION PRICING pp. 1-17: Giuseppe Di Graziano and Lorenzo Torricelli
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
CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS pp. 1-19: Thorsten Schmidt and Jerzy Zabczyk
STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS pp. 1-20: Hamed Amini, Rama Cont and Andreea Minca
PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION pp. 1-21: Pavel V. Gapeev
PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS pp. 1-34: Jan Obłój and Frédérik Ulmer
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES pp. 1-15: Jiro Akahori and Andrea Macrina