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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL pp. 1-30: Aurélien Alfonsi and Jérôme Lelong
ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET pp. 1-19: Robert J. Elliott and Tak Kuen Siu
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL pp. 1-23: Zhi Jun Guo and Eckhard Platen
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES pp. 1-34: Tim Leung and Peng Liu
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
HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING pp. 1-36: Arturo Leccadito, Pietro Toscano and Radu S. Tunaru

WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK pp. 1-32: Jacinto Marabel Romo
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
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
EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL pp. 1-44: Sergei Levendorskiĭ

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
TENOR SPECIFIC PRICING pp. 1-21: Dilip B. Madan and Wim Schoutens
MODELLING THE BID AND ASK PRICES OF ILLIQUID CDSs pp. 1-37: Michael B. Walker
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
NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION pp. 1-26: Peter Hepperger

EXACT SIMULATION OF THE 3/2 MODEL pp. 1-13: Jan Baldeaux
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS pp. 1-26: Alessandro Ramponi
STOCHASTIC DOMINANCE: CONVEXITY AND SOME EFFICIENCY TESTS pp. 1-19: Andrey Lizyayev
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
ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME pp. 1-24: Masaaki Fujii and Akihiko Takahashi
ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL pp. 1-27: M. Costabile, I. Massabò and E. Russo

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
CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS pp. 1-24: Philipp Hell, Thilo Meyer-Brandis and Thorsten Rheinländer
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

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
ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL pp. 1-9: R. Tevzadze and T. Uzunashvili
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
ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT pp. 1-27: 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: Archil Gulisashvili
THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL pp. 1-23: Rémy Chicheportiche and Jean-Philippe Bouchaud

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

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
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
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
PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION pp. 1-21: Pavel V. Gapeev
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES pp. 1-15: Jiro Akahori and Andrea Macrina
STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS pp. 1-20: Hamed Amini, Rama Cont and Andreea Minca
TARGET VOLATILITY OPTION PRICING pp. 1-17: Giuseppe Di Graziano and Lorenzo Torricelli
CONDITIONAL DENSITY MODELS FOR ASSET PRICING pp. 1-24: Damir Filipović, Lane P. Hughston and Andrea Macrina
PREFACE – Special Issue on Financial Derivatives and Risk Management pp. 1-3: Matheus Grasselli and Lane P. Hughston