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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MAXIMUM DRAWDOWN INSURANCE pp. 1195-1230: Peter Carr, Hongzhong Zhang and Olympia Hadjiliadis
STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE pp. 1231-1246: Michael C. Münnix, Rudi Schäfer and Thomas Guhr
FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS pp. 1247-1277: Konstantinos Mavroudis and Craig A. Nolder
SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? pp. 1279-1297: Song-Ping Zhu and Wen-Ting Chen
A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING pp. 1299-1333: Georgi Dimitroff, Stefan Lorenz and Alexander Szimayer
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES pp. 1335-1353: Dan Tang, Yongjin Wang and Yuzhen Zhou
TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS pp. 1355-1383: Matthew Lorig

PREFACE — Spectral and Cubature Methods in Finance and Econometrics pp. v-vii: Sergei Levendorskiĭ, Aleksandar Mijatovic and Martijn Pistorius
KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS pp. 979-1004: Claudio Albanese
DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS pp. 1005-1043: Mitya Boyarchenko and Svetlana Boyarchenko
PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER pp. 1045-1090: Mitya Boyarchenko, Marco de Innocentis and Sergei Levendorskiĭ
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS pp. 1091-1111: Peter Carr
WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES pp. 1113-1137: B. Carton de Wiart and M. A. H. Dempster
METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS pp. 1139-1158: Bjorn Eriksson and Martijn Pistorius
VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS pp. 1159-1193: Harry Lo and Aleksandar Mijatović

ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS pp. 773-802: Damiano Brigo, Andrea Pallavicini and Vasileios Papatheodorou
TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS pp. 803-837: Mats Brodén and Peter Tankov
DANGEROUS KNOWLEDGE: CREDIT VALUE ADJUSTMENT WITH CREDIT TRIGGERS pp. 839-865: Chuang Yi
CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION pp. 867-897: Benjamin Jourdain, Bernard Lapeyre and Piergiacomo Sabino
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS pp. 899-943: José Da Fonseca, Martino Grasselli and Florian Ielpo
DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT pp. 945-956: Lijun Bo, Yongjin Wang and Xuewei Yang
DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS pp. 957-977: Gordana Dmitrašinović-Vidović, Ali Lari-Lavassani, Xun Li and Antony Ware

CONIC FINANCE AND THE CORPORATE BALANCE SHEET pp. 587-610: Dilip B. Madan and Wim Schoutens
INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES pp. 611-633: Caroline Hillairet and Ying Jiao
SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION pp. 635-667: Peter Imkeller, Anthony Réveillac and Jianing Zhang
A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS pp. 669-708: Alexandru Badescu, Robert J. Elliott, Reg Kulperger, Jarkko Miettinen and Tak Kuen Siu
PRICING DIGITAL OUTPERFORMANCE OPTIONS WITH UNCERTAIN CORRELATION pp. 709-722: Jacinto Marabel
THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS pp. 723-755: Dewen Xiong and Michael Kohlmann
INSIDER TRADING UNDER DISCRETENESS pp. 757-771: Massimo Scotti

MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX pp. 433-463: M. Fukasawa, Isao Ishida, N. Maghrebi, K. Oya, M. Ubukata and K. Yamazaki
DO INSTITUTIONAL INVESTORS CARE ABOUT THE AMBIGUITY OF THEIR ASSETS? EVIDENCE FROM PORTFOLIO HOLDINGS IN ALTERNATIVE INVESTMENTS pp. 465-484: Christian Koziol, Juliane Proelss and Denis Schweizer
HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS pp. 485-505: Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
OPTION PRICING VIA MAXIMIZATION OVER UNCERTAINTY AND CORRECTION OF VOLATILITY SMILE pp. 507-524: Nikolai Dokuchaev
THE TERM STRUCTURE OF CURRENCY HEDGE RATIOS pp. 525-557: Olaf Korn and Philipp Koziol
EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL pp. 559-578: Martin Forde
BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT pp. 579-586: Mikko S. Pakkanen

ABSOLUTELY CONTINUOUS COMPENSATORS pp. 335-351: Svante Janson, Sokhna M'Baye and Philip Protter
OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK pp. 353-368: Jim Gatheral and Alexander Schied
MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS pp. 369-406: Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan
FORWARD AND FUTURE IMPLIED VOLATILITY pp. 407-432: Paul Glasserman and Qi Wu

A MODEL FOR THE LONG-TERM OPTIMAL CAPACITY LEVEL OF AN INVESTMENT PROJECT pp. 187-196: Arne Løkka and Mihail Zervos
PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS pp. 197-219: Christian Fries and Mark S. Joshi
A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION pp. 221-238: Guglielmo D'Amico, Jacques Janssen and Raimondo Manca
STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS pp. 239-264: Shuichi Ohsaki and Akira Yamazaki
REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION pp. 265-294: Hidenori Futami
HEDGING SWING OPTIONS pp. 295-312: Jesús F. Rodríguez
PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS pp. 313-333: Lorenzo Mercuri

MONETARY VALUATION OF CASH FLOWS UNDER KNIGHTIAN UNCERTAINTY pp. 1-15: Hans Föllmer and Irina Penner
OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS pp. 17-40: Paul Gassiat, Huyên Pham and Mihai Sîrbu
CONDITIONAL CERTAINTY EQUIVALENT pp. 41-59: Marco Frittelli and Marco Maggis
INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA pp. 61-81: M. Musiela and T. Zariphopoulou
OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER pp. 83-106: Michael Monoyios and Andrew Ng
TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION pp. 107-135: René Carmona and Sergey Nadtochiy
COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME pp. 137-162: Patrick Cheridito and Michael Kupper
ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES pp. 163-185: Marco Frittelli and Emanuela Rosazza Gianin