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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PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE pp. 1075-1090: D. Madan, B. Roynette and M. Yor
PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS pp. 1091-1104: Pavel V. Gapeev and Monique Jeanblanc
THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET pp. 1105-1123: Daniel J. Fenn, Sam D. Howison, Mark McDonald, Stacy Williams and Neil F. Johnson
PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS pp. 1125-1170: Mitya Boyarchenko and Sergei Levendorskiĭ
DOES CURVATURE ENHANCE FORECASTING? pp. 1171-1196: Caio Almeida, Romeu Gomes, André Leite, Axel Simonsen and José Vicente
A NOVEL REDUCTION OF THE SIMPLE ASIAN OPTION AND LIE-GROUP INVARIANT SOLUTIONS pp. 1197-1212: Stephen Taylor and Scott Glasgow
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION pp. 1213-1230: T. R. Hurd

FORWARD AND FUTURES PRICES WITH BUBBLES pp. 901-924: Robert Jarrow and Philip Protter
A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES pp. 925-947: René Aïd, Luciano Campi, Adrien Nguyen-Huu and Nizar Touzi
PRICING AND HEDGING IN CARBON EMISSIONS MARKETS pp. 949-967: Umut Çetin and Michel Verschuere
ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE pp. 969-1005: Mark H. A. Davis and Vicente Mataix-Pastor
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION pp. 1007-1026: Damiano Brigo and Kyriakos Chourdakis
VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS pp. 1027-1053: Marek Rutkowski and Anthony Armstrong
BARRIER OPTION PRICING BY BRANCHING PROCESSES pp. 1055-1073: Georgi K. Mitov, Svetlozar T. Rachev, Young Shin Kim and Frank Fabozzi

IMPLIED AND REALIZED VOLATILITY IN THE CROSS-SECTION OF EQUITY OPTIONS pp. 745-765: Manuel Ammann, David Skovmand and Michael Verhofen
OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED pp. 767-796: Holger Kraft
SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS pp. 797-810: Olha Bodnar
ACCURATE OF VAR CALCULATED USING EMPIRICAL MODELS OF THE TERM STRUCTURE pp. 811-832: Pilar Abad and Sonia Benito
THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS pp. 833-860: Valeri Zakamouline
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL pp. 861-876: Martin Forde and Antoine Jacquier
A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE pp. 877-899: Claudio Albanese and Aleksandar Mijatović

ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES pp. 577-588: Paul A. Bekker and Kees E. Bouwman
CORRELATIONS AMONG FORWARD RETURNS IN THE NORDIC ELECTRICITY MARKET pp. 589-603: Dennis Frestad
SHARE REPURCHASES AND FIRM BEHAVIOR pp. 605-631: Adri de Ridder
SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL pp. 633-662: Michael B. Walker
PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL pp. 663-685: Florence Guillaume, Philippe Jacobs and Wim Schoutens
PRICING OF TRAFFIC LIGHT OPTIONS AND OTHER HYBRID PRODUCTS pp. 687-707: Thomas Kokholm
THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS pp. 709-743: Richard Jordan and Charles Tier

ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY pp. 427-441: Michael Roper and Marek Rutkowski
INVESTMENT TIMING UNDER REGIME SWITCHING pp. 443-463: Robert J. Elliott, Hong Miao and Jin Yu
PCA-BASED EX-ANTE FORECASTING OF SWAP TERM STRUCTURES pp. 465-489: Oliver Blaskowitz and Helmut Herwartz
PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS pp. 491-506: Fred Espen Benth and Rodwell Kufakunesu
MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS pp. 507-522: A. Antonov and T. Misirpashaev
ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT pp. 523-543: Boualem Djehiche and Said Hamadène
MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING pp. 545-575: Nikolai Dokuchaev

HEDGE FUND PERFORMANCE: SOURCES AND MEASURES pp. 267-282: Ernst Eberlein and Dilip B. Madan
SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL pp. 283-295: Reiichiro Kawai
WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS pp. 297-317: Anouar Ben Mabrouk, Hedi Kortas and Samir Ben Ammou
NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING pp. 319-340: A. Q. M. Khaliq and R. H. Liu
AN ANALYTICAL FRAMEWORK FOR EXPLAINING RELATIVE PERFORMANCE OF CAPM BETA AND DOWNSIDE BETA pp. 341-358: Don Galagedera
CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE pp. 359-391: Jin-Chuan Duan, Yazhen Wang and Jian Zou
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES pp. 393-425: Carl Chiarella, Boda Kang, Gunter H. Meyer and Andrew Ziogas

REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL pp. 113-124: Tien-Yu Chiu and Shwu-Jane Shieh
A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING pp. 125-151: Ludovico Perissinotto and Claudio Tebaldi
IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS pp. 153-178: Zhaojun Yang, Christian-Oliver Ewald and Yajun Xiao
PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH pp. 179-207: Claudia Ceci and Anna Gerardi
FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES pp. 209-225: Rehez Ahlip and Marek Rutkowski
A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE pp. 227-249: Jan-Frederik Mai and Matthias Scherer
A RANDOM CLUSTER PROCESS APPROACH TO COLLECTIVE MARKET DYNAMICS WITH LOCAL INTERACTIONS pp. 251-266: Haiyan Cai and Kang Chen

A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES pp. 1-18: Alessandro Cardinali
PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS pp. 19-44: Céline Labart and Jérôme Lelong
A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS pp. 45-62: Giuseppe Di Graziano and L. C. G. Rogers
UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES pp. 63-82: Fred Espen Benth and Frank Proske
CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION pp. 83-112: Agostino Capponi and Jaksa Cvitanic