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 11, issue 08, 2008

THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS pp. 761-797

Mark Broadie and Ashish Jain

FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY pp. 799-839

Michael Ludkovski

ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE pp. 841-867

Shane M. Miller and Eckhard Platen

$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE pp. 869-888

Takuji Arai

RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL pp. 889-904

Fabio Antonelli and Valentina Prezioso

ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES pp. 905-941

Eric C. K. Yu and William T. Shaw

OPTION PRICING WITH VG–LIKE MODELS pp. 943-955

Richard Finlay and Eugene Seneta

Volume 11, issue 07, 2008

A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT pp. 657-671

Angelos Kanas

A SCENARIO ANALYSIS OF THE RISK PREMIUM IN G7 COUNTRIES pp. 673-689

Mohammed Omran and John Pointon

A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE pp. 691-703

Marianito R. Rodrigo and Rogemar S. Mamon

A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM pp. 705-716

Jun Sekine

MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL pp. 717-737

Harbir Lamba and Tim Seaman

SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET pp. 739-760

Diane Wilcox and Tim Gebbie

Volume 11, issue 06, 2008

GENERAL DUALITY FOR PERPETUAL AMERICAN OPTIONS pp. 545-566

Aurélien Alfonsi and Benjamin Jourdain

MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY pp. 567-595

Sergio Bianchi and A. Pianese

BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS pp. 597-610

Jean-Christophe Breton and Nicolas Privault

PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES pp. 611-634

Rüdiger Frey and Jochen Backhaus

A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES pp. 635-656

Andreas Kolbe and Rudi Zagst

Volume 11, issue 05, 2008

SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS pp. 415-445

S. Z. Xanthopoulos and A. N. Yannacopoulos

MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH pp. 447-469

Timotheos Angelidis and George Skiadopoulos

A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS pp. 471-501

Matthias Ehrhardt and Ronald E. Mickens

MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES pp. 503-528

Thilo Meyer-Brandis and Peter Tankov

DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES pp. 529-544

Holger Dette and Daniel Ziggel

Volume 11, issue 04, 2008

TESTING PPP BY MEANS OF ZNZ PATTERNED VECM pp. 345-362

T. J. Brailsford, Jack Penm and R. D. Terrell

OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH pp. 363-380

Christian Bender and Michael Kohlmann

FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS pp. 381-401

Akihiko Takahashi and Kohta Takehara

HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT pp. 403-414

Peter Carr and Wim Schoutens

Volume 11, issue 03, 2008

ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS pp. 249-276

Yarema Okhrin and Wolfgang Schmid

FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES pp. 277-294

Rehez Ahlip

EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS pp. 295-323

Alexander Melnikov and Yuliya Romanyuk

EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS pp. 325-343

Damir Filipović and Michael Kupper

Volume 11, issue 02, 2008

INSIDER TRADING AND VOLUNTARY DISCLOSURE pp. 143-162

Philippe Grégoire

A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING pp. 163-197

Jakob Sidenius, Vladimir Piterbarg and Leif Andersen

LONG-RANGE DEPENDENCE IN EXCHANGE RATES: THE CASE OF THE EUROPEAN MONETARY SYSTEM pp. 199-223

Sergio R. S. Souza, Benjamin Tabak and Daniel Cajueiro

OPTIMAL CREDIT RATINGS pp. 225-247

Sebastian Herzog, Christian Koziol and Tim Thabe

Volume 11, issue 01, 2008

A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS pp. 1-18

Patrizia Semeraro

DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY pp. 19-54

Svetlozar Rachev, Sergio Ortobelli, Stoyan Stoyanov, Frank Fabozzi and Almira Biglova

THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS pp. 55-85

Guan-Yu Chen, Ken Palmer and Yuan-Chung Sheu

A SHOT NOISE MODEL FOR FINANCIAL ASSETS pp. 87-106

Timo Altmann, Thorsten Schmidt and Winfried Stute

INFORMATION-BASED ASSET PRICING pp. 107-142

Dorje C. Brody, Lane P. Hughston and Andrea Macrina

Volume 10, issue 08, 2007

PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES pp. 1261-1285

Marek Rutkowski and Khan Yousiph

MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY pp. 1287-1304

Jan W. Dash

ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS pp. 1305-1321

Frank Fabozzi and Radu Tunaru

TERM STRUCTURE OF VANILLA OPTIONS pp. 1323-1337

Dorje C. Brody, Irene C. Constantinou and Bernhard K. Meister

SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS pp. 1339-1364

Morten Mosegaard Christensen and Eckhard Platen

Volume 10, issue 07, 2007

ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING pp. 1111-1135

Samuel Hikspoors and Sebastian Jaimungal

OPTION BETAS: RISK MEASURES FOR OPTIONS pp. 1137-1157

Nicole Branger and Christian Schlag

EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS pp. 1159-1190

Issouf Soumaré

A SIMPLE AMERICAN OPTION PRICING METHOD USING THE FAST FOURIER TRANSFORM pp. 1191-1202

Suneal K. Chaudhary

CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA pp. 1203-1227

Song-Ping Zhu and Zhi-Wei He

A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL pp. 1229-1253

Boris Buchmann and Stefan Weber

ERRATUM: "EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY" pp. 1255-1260

Michael A. H. Dempster, Elena A. Medova and Seung W. Yang

Volume 10, issue 06, 2007

CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT pp. 915-937

Dmitry Ostrovsky

THE EQUITY PREMIUM PUZZLE AND EMOTIONAL ASSET PRICING pp. 939-965

Marc Gürtler and Nora Hartmann

A GENERAL FRAMEWORK FOR HIGH YIELD BOND INVESTMENT pp. 967-984

Ralf Korn and Helen Kovilyanskaya

UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET pp. 985-1014

Giannis Vardas and Anastasios Xepapadeas

OPTIMAL PORTFOLIO CONSTRUCTION UNDER PARTIAL INFORMATION FOR A BALANCED FUND pp. 1015-1042

Simon Keel, Florian Herzog, Hans P. Geering and Lorenz M. Schumann

A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL pp. 1043-1075

Carlo Marinelli, Stefano d'Addona and Svetlozar T. Rachev

TESTING WEAK-FORM MARKET EFFICIENCY IN EMERGING MARKET: EVIDENCE FROM BOTSWANA STOCK EXCHANGE pp. 1077-1094

Sabur Mollah

A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION pp. 1095-1109

Rei Yamamoto, Daisuke Ishii and Hiroshi Konno

Volume 10, issue 05, 2007

PUBLIC DEBT MANAGEMENT AND FOREIGN CURRENCY DENOMINATED BONDS pp. 763-770

Silvia Ceccacci, Alessandro Marchesiani and Lorenzo Pecchi

MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS pp. 771-800

Ahmed Abutaleb and Michael Papaioannou

MARGIN TRADING THROUGH HYPER TIMELINE pp. 801-815

Siu-Ah Ng

ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS pp. 817-835

Max O. Souza and Jorge P. Zubelli

BARRIER PROBABILITIES AND MAXIMUM SEVERITY OF RUIN FOR A RENEWAL RISK MODEL pp. 837-846

K. K. Thampi, M. J. Jacob and N. Raju

BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE pp. 847-872

Dmitry Ostrovsky

QUADRATIC HEDGING FOR THE BATES MODEL pp. 873-885

Friedrich Hubalek and Carlo Sgarra

CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL pp. 887-914

Samuel Njoh

Volume 10, issue 04, 2007

LÉVY SIMPLE STRUCTURAL MODELS pp. 593-606

Martin Baxter

CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES pp. 607-631

Damiano Brigo, Andrea Pallavicini and Roberto Torresetti

STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS pp. 633-652

Alexander Chapovsky, Andrew Rennie and Pedro Tavares

LARGE PORTFOLIO CREDIT RISK MODELING pp. 653-678

Mark H. A. Davis and Juan Carlos Esparragoza-Rodriguez

EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY pp. 679-701

Michael A. H. Dempster, Elena A. Medova and Seung W. Yang

PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL pp. 703-731

Youssef Elouerkhaoui

JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS pp. 733-748

Friedel Epple, Sam Morgan and Lutz Schloegl

ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH pp. 749-761

Jakob Sidenius

Volume 10, issue 03, 2007

PRICING SECURITIES WITH EXCHANGE-IMPOSED PRICE LIMITS VIA RISK NEUTRAL VALUATION pp. 399-406

Arie Harel, Giora Harpaz and Jack Clark Francis

DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES pp. 407-435

Florian Huehne

THE LINEAR DEPENDENCE AND FEEDBACK SPECTRA BETWEEN STOCK MARKET AND ECONOMY pp. 437-447

Xia Pan

ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL pp. 449-474

Stéphan Clémençon and Skander Slim

AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION pp. 475-503

Takuji Arai

KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES pp. 505-516

László Györfi, András Urbán and István Vajda

HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS pp. 517-534

Yunbi An, Ata Assaf and Jun Yang

AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING pp. 535-555

Suhas Nayak

AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS pp. 557-589

Marek Rutkowski and Nannan Yu

Volume 10, issue 02, 2007

STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION pp. 203-233

Florian Herzog, Gabriel Dondi and Hans P. Geering

THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS pp. 235-249

Haitham Al-Zoubi and Aktham Maghyereh

THE MARKET REACTION TO STOCK SPLITS — EVIDENCE FROM INDIA pp. 251-271

Alok Mishra

ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS pp. 273-306

Nina Boyarchenko and Sergei Levendorskiǐ

TIME VARYING SENSITIVITIES ON A GRID ARCHITECTURE pp. 307-329

Stefano d'Addona and Mattia Ciprian

COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY pp. 331-361

Samuli Ikonen and Jari Toivanen

VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS pp. 363-387

Chi Chiu Chu and Yue Kuen Kwok

FAIR ACTUARIAL VALUES FOR DEDUCTIBLE INSURANCE POLICIES IN THE PRESENCE OF PARAMETER UNCERTAINTY pp. 389-397

Arie Harel and Giora Harpaz

Volume 10, issue 01, 2007

EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES pp. 1-21

L. A. Bordag and A. Y. Chmakova

MODERN LOGARITHMS FOR THE HESTON MODEL pp. 23-30

Ingo Fahrner

A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES pp. 31-49

Hongtao Yang

PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE pp. 51-88

Giuseppe Campolieti and Roman Makarov

A COMMENT ON TWO-PHASE BEHAVIOR OF FINANCIAL MARKETS pp. 89-93

Anthony E. Krzesinski, Andre Costa, Maya Ramakrishnan and Peter G. Taylor

A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION pp. 95-110

Antony William Stace

VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING pp. 111-127

Yingzi Zhu and Jin E. Zhang

STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS pp. 129-154

Hiroshi Shiraishi and Masanobu Taniguchi

A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES pp. 155-202

Carl Chiarella, Christina Nikitopoulos-Sklibosios and Erik Schlogl