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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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Volume 15, issue 08, 2012

THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL pp. 1-23 Downloads
Zhi Jun Guo and Eckhard Platen
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES pp. 1-34 Downloads
Tim Leung and Peng Liu
A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL pp. 1-30 Downloads
Aurélien Alfonsi and Jérôme Lelong
HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING pp. 1-36 Downloads
Arturo Leccadito, Pietro Toscano and Radu S. Tunaru
IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS pp. 1-24 Downloads
An Chen and Klaus Sandmann
THE WISHART SHORT RATE MODEL pp. 1-24 Downloads
Alessandro Gnoatto
ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET pp. 1-19 Downloads
Robert J. Elliott and Tak Kuen Siu

Volume 15, issue 07, 2012

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

Volume 15, issue 06, 2012

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

Volume 15, issue 05, 2012

ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME pp. 1-24 Downloads
Masaaki Fujii and Akihiko Takahashi
EXACT SIMULATION OF THE 3/2 MODEL pp. 1-13 Downloads
Jan Baldeaux
DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE pp. 1-22 Downloads
Vasyl Golosnoy and Helmut Herwartz
THE MINIMAL κ-ENTROPY MARTINGALE MEASURE pp. 1-22 Downloads
Barbara Trivellato
STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS pp. 1-19 Downloads
Andrey Lizyayev
ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL pp. 1-27 Downloads
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 Downloads
Alessandro Ramponi

Volume 15, issue 04, 2012

A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE pp. 1-30 Downloads
Roberto Marfe
FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS pp. 1-34 Downloads
Martijn Pistorius and Johannes Stolte
THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON pp. 1-27 Downloads
S. de Marco and C. Martini
A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES pp. 1-20 Downloads
Ragnar Norberg and Oksana Savina
CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS pp. 1-24 Downloads
Philipp Hell, Thilo Meyer-Brandis and Thorsten Rheinländer
PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS pp. 1-32 Downloads
Francesca Biagini and Jan Widenmann
MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION pp. 1-32 Downloads
Carlo Marinelli, Stefano d'Addona and Svetlozar T. Rachev

Volume 15, issue 03, 2012

ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT pp. 1-27 Downloads
Christoph Meinerding
ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE pp. 1-34 Downloads
Archil Gulisashvili
THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL pp. 1-23 Downloads
Rémy Chicheportiche and Jean-Philippe Bouchaud
INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS pp. 1-17 Downloads
Sen Wu, Lishang Jiang and Jin Liang
MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS pp. 1-22 Downloads
Silvia Centanni and Marco Minozzo
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS pp. 1-15 Downloads
Robert Jarrow and Philip Protter
ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL pp. 1-9 Downloads
R. Tevzadze and T. Uzunashvili

Volume 15, issue 02, 2012

ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL pp. 1-33 Downloads
Mark Joshi and Alexander Wiguna
A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL pp. 1-37 Downloads
Bin Chen, Cornelis Oosterlee and Hans van der Weide
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS pp. 1-20 Downloads
Nicolas Diener, Robert Jarrow and Philip Protter
COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS pp. 1-32 Downloads
J. Wang and P. A. Forsyth
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING pp. 1-19 Downloads
Steven Vanduffel, Ales Ahcan, Luc Henrard and Mateusz Maj
LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS pp. 1-21 Downloads
Lie-Jane Kao
METRIZATION OF STOCHASTIC DOMINANCE RULES pp. 1-22 Downloads
Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank Fabozzi

Volume 15, issue 01, 2012

PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION pp. 1-21 Downloads
Pavel V. Gapeev
CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS pp. 1-19 Downloads
Thorsten Schmidt and Jerzy Zabczyk
CONDITIONAL DENSITY MODELS FOR ASSET PRICING pp. 1-24 Downloads
Damir Filipović, Lane P. Hughston and Andrea Macrina
PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS pp. 1-34 Downloads
Jan Obłój and Frédérik Ulmer
STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS pp. 1-20 Downloads
Hamed Amini, Rama Cont and Andreea Minca
VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL pp. 1-39 Downloads
T. R. Bielecki, S. Crépey, M. Jeanblanc and B. Zargari
PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS pp. 1-18 Downloads
Rüdiger Frey, Abdelali Gabih and Ralf Wunderlich
THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION pp. 1-18 Downloads
Jim Gatheral and Tai-Ho Wang
TARGET VOLATILITY OPTION PRICING pp. 1-17 Downloads
Giuseppe Di Graziano and Lorenzo Torricelli
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES pp. 1-15 Downloads
Jiro Akahori and Andrea Macrina
PREFACE – Special Issue on Financial Derivatives and Risk Management pp. 1-3 Downloads
Matheus Grasselli and Lane P. Hughston
Page updated 2025-06-21