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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MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE pp. 1149-1177: Dilip B. Madan and Alexander Cherny
A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS pp. 1179-1221: Akihiko Takahashi and Kohta Takehara
A NONPARAMETRIC URN-BASED APPROACH TO INTERACTING FAILING SYSTEMS WITH AN APPLICATION TO CREDIT RISK MODELING pp. 1223-1240: Pasquale Cirillo, Jürg Hüsler and Pietro Muliere
A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION? pp. 1241-1263: Siobhán Devin, Bernard Hanzon and Thomas Ribarits
SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS pp. 1265-1277: Nicolette C. Caister, John G. O'Hara and Keshlan S. Govinder
BETTER CONFIDENCE INTERVALS FOR IMPORTANCE SAMPLING pp. 1279-1291: Halis Sak, Wolfgang Hörmann and Josef Leydold
VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE pp. 1293-1324: Frédéric Bossens, Grégory Rayée, Nikos S. Skantzos and Griselda Deelstra

PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL pp. 1001-1017: Pavel V. Gapeev and Monique Jeanblanc
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL pp. 1019-1046: Bin Chen, Cornelis Oosterlee and Sacha van Weeren
OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL pp. 1047-1063: Giacomo Bormetti, Valentina Cazzola and Danilo Delpini
ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER pp. 1065-1073: Olha Bodnar and Taras Bodnar
ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION pp. 1075-1101: Keita Owari
CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP pp. 1103-1129: Stefan Ankirchner, Christophette Blanchet-Scalliet and Anne Eyraud-Loisel
ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY pp. 1131-1147: Charles Cuthbertson, Grigorios Pavliotis, Avraam Rafailidis and Petter Wiberg

AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA pp. 821-838: Marcel Blais and Philip Protter
FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS pp. 839-865: Mark Joshi and Chao Yang
WHEN ARE SWING OPTIONS BANG-BANG? pp. 867-899: Olivier Bardou, Sandrine Bouthemy and Gilles Pagès
EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS pp. 901-929: Fernanda D'Ippoliti, Enrico Moretto, Sara Pasquali and Barbara Trivellato
ON THE CONSUMPTION/DISTRIBUTION THEOREM UNDER THE LONG-RUN GROWTH CRITERION SUBJECT TO A DRAWDOWN CONSTRAINT pp. 931-957: Michael J. Klass and Krzysztof Nowicki
ON THE IMPACT OF HIDDEN TRENDS FOR A COMPOUND POISSON MODEL WITH PARETO-TYPE CLAIMS pp. 959-978: Peter Grandits, Reinhold Kainhofer and Grigory Temnov
NOTES ON EXACT AND SEMI-EXACT LÉVY MODELS FOR THE VALUATION OF CDOs pp. 979-1000: A. Eichler, G. Leobacher and H. Zellinger

COMPLETENESS OF BOND MARKET DRIVEN BY LÉVY PROCESS pp. 635-656: Michał Barski and Jerzy Zabczyk
PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL pp. 657-681: Marc Jeannin and Martijn Pistorius
CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION pp. 683-715: Claudio Fontana and Wolfgang J. Runggaldier
PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER pp. 717-750: Mark Joshi and Robert Tang
VALUING CALLABLE AND PUTABLE REVENUE-PERFORMANCE-LINKED PROJECT BACKED SECURITIES pp. 751-765: Feng Dong, Nicola Chiara and Jan Vecer
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA pp. 767-787: Emilio Barucci and Maria Elvira Mancino
MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET pp. 789-820: Dewen Xiong and Michael Kohlmann

THE VAR AT RISK pp. 503-506: Alfred Galichon
A REMARK CONCERNING VALUE-AT-RISK pp. 507-515: S. Y. Novak
LONG-TERM RISK MANAGEMENT FOR UTILITY COMPANIES: THE NEXT CHALLENGES pp. 517-535: René Aïd
CORPORATE LIQUIDITY, DIVIDEND POLICY AND DEFAULT RISK: OPTIMAL FINANCIAL POLICY AND AGENCY COSTS pp. 537-576: Yann Braouezec and Charles-Albert Lehalle
PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS pp. 577-602: René Carmona and Stéphane Crépey
EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL pp. 603-634: Eric Benhamou, E. Gobet and M. Miri

A MAXIMAL PREDICTABILITY PORTFOLIO USING DYNAMIC FACTOR SELECTION STRATEGY pp. 355-366: Hiroshi Konno, Yoshihiro Takaya and Rei Yamamoto
EXACT PRICING ASYMPTOTICS OF INVESTMENT-GRADE TRANCHES OF SYNTHETIC CDO'S: A LARGE HOMOGENEOUS POOL pp. 367-401: Richard B. Sowers
A MULTILEVEL APPROACH TO SOLVING THE BLACK–SCHOLES EQUATION pp. 403-414: Hedley Morris and Alfonso Limon
A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE pp. 415-440: Elisa Luciano and Patrizia Semeraro
VALUATION OF COMPOUND OPTION WHEN THE UNDERLYING ASSET IS NON-TRADABLE pp. 441-458: Yu-Hong Liu
UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS pp. 459-477: Jan Kallsen and Johannes Muhle-Karbe
REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING pp. 479-499: R. H. Liu

FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS pp. 195-209: Ken Jackson, Alex Kreinin and Wanhe Zhang
A REGULARIZED FOURIER TRANSFORM APPROACH FOR VALUING OPTIONS UNDER STOCHASTIC DIVIDEND YIELDS pp. 211-240: Baye M. Dia
LOCAL ESTIMATION OF DYNAMIC COPULA MODELS pp. 241-258: Beatriz V. M. Mendes and Eduardo F. L. de Melo
IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA pp. 259-283: Shin Ichi Aihara and Arunabha Bagchi
ELECTRICITY PRICES: A NONPARAMETRIC APPROACH pp. 285-299: Davide Pirino and Roberto Renò
RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING pp. 301-333: Yassine El Qalli
PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT pp. 335-354: Kyo Yamamoto, Seisho Sato and Akihiko Takahashi

EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL pp. 1-43: Alexander van Haastrecht and Antoon Pelsser
PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL pp. 45-62: Denis Belomestny, Anastasia Kolodko and John Schoenmakers
APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING pp. 63-91: John Crosby, Nolwenn Le Saux and Aleksandar Mijatović
IMPLICATION OF THE KELLY CRITERION FOR MULTI-DIMENSIONAL PROCESSES pp. 93-112: Yingdong Lv and Bernhard K. Meister
MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING pp. 113-137: Fabio Mercurio
IT'S YOUR CHOICE: A UNIFIED APPROACH TO CHOOSER OPTIONS pp. 139-161: Klaus Sandmann and Manuel Wittke
ESTIMATING UNIVARIATE DISTRIBUTIONS VIA RELATIVE ENTROPY MINIMIZATION: CASE STUDIES ON FINANCIAL AND ECONOMIC DATA pp. 163-193: Craig Friedman, Yangyong Zhang and Jinggang Huang