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 09, issue 08, 2006

THE CONGLOMERATE DISCOUNT: A NEW EXPLANATION BASED ON CREDIT RISK pp. 1201-1214

Manuel Ammann and Michael Verhofen

INSIDER TRADING RULES AND PRICE FORMATION IN SECURITIES MARKETS: AN ENTROPY ANALYSIS OF STRATEGIC TRADING pp. 1215-1243

Karl Ludwig Keiber

PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER pp. 1245-1266

Sasha F. Stoikov

OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS pp. 1267-1297

Amina Bouzguenda Zeghal and Mohamed Mnif

PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES pp. 1299-1321

Juri Hinz and Martina Wilhelm

A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL pp. 1323-1350

Dan Shao

MINIMAL VARIANCE HEDGING FOR INSIDER TRADING pp. 1351-1375

Francesca Biagini and Bernt Øksendal

THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL pp. 1377-1396

Benjamin Tabak

Volume 09, issue 07, 2006

A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE pp. 1009-1020

Robert J. Elliott and Bing Han

TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA pp. 1021-1050

Samir Saadi, Devinder Gandhi and Shantanu Dutta

OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS pp. 1051-1069

Erik Aurell and Paolo Muratore-Ginanneschi

SOME FURTHER ANALYTICAL PROPERTIES OF THE CONSTANT CORRELATION MODEL FOR PORTFOLIO SELECTION pp. 1071-1091

Clarence C. Y. Kwan

SELF EXCITING THRESHOLD INTEREST RATES MODELS pp. 1093-1122

Marc Decamps, Marc Goovaerts and Wim Schoutens

AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET pp. 1123-1139

Hidetoshi Tanimura and Yuji Yamada

A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS pp. 1141-1177

Song-Ping Zhu

THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES pp. 1179-1199

Luca Capriotti

Volume 09, issue 06, 2006

OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING pp. 825-841

Robert J. Elliott, Tak Kuen Siu and Leunglung Chan

A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES pp. 843-867

Fred Espen Benth, Martin Groth and Paul Kettler

STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY pp. 869-887

Tao Pang

AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE pp. 889-914

Yevgeny Goncharov

PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES pp. 915-949

Oleg Kudryavtsev and Sergei Levendorskiǐ

OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION pp. 951-966

Zhong-Fei Li, Kai W. Ng, Ken Seng Tan and Hailiang Yang

SYMMETRIES IN LÉVY TERM STRUCTURE MODELS pp. 967-986

Ernst Eberlein, Wolfgang Kluge and Antonis Papapantoleon

MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES pp. 987-996

Jonatan Eriksson

A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS pp. 997-1007

Vicky Henderson and David Hobson

Volume 09, issue 05, 2006

TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS pp. 643-671

Thierry Ané

THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING pp. 673-703

Gunter H. Meyer

FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH pp. 705-746

Riccardo Rebonato

AN ANALYSIS AND MEASUREMENT OF CONFIDENCE OF STOCK INVESTORS IN INDIA pp. 747-775

Aman Srivastava

PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD pp. 777-785

Erhan Bayraktar, Li Chen and H. Vincent Poor

LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS pp. 787-799

Shwu-Jane Shieh

VALUES OF MORTGAGES WITH TOP-UP PAYMENT OPTIONS pp. 801-824

Rose Neng Lai, Seow Eng Ong and Tien Foo Sing

Volume 09, issue 04, 2006

MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES pp. 455-481

Denis Belomestny and Grigori N. Milstein

AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS pp. 483-501

T. J. Brailsford, J. H. W. Penm and R. D. Terrell

THE VALUE OF FIGHTING IRREVERSIBLE DEMISE BY SOFTENING THE IRREVERSIBLE COST pp. 503-516

Paul Magis and Alessandro Sbuelz

PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES pp. 517-532

Chi Chiu Chu and Yue Kuen Kwok

PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD pp. 533-553

Marcellino Gaudenzi and Maria Antonietta Lepellere

A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH pp. 555-576

Claudia Ceci and Anna Gerardi

BOND MARKET MODEL pp. 577-596

Roberto Baviera

CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION pp. 597-618

Olaf Menkens

OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS pp. 619-641

Qiang Meng and Ananda Weerasinghe

Volume 09, issue 03, 2006

ON CAPITAL STRUCTURE, RISK SHARING AND CAPITAL ADEQUACY IN ISLAMIC BANKS pp. 269-280

Simon Archer and Rifaat Ahmed Abdel Karim

ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES pp. 281-314

Tomas Bjork, Magnus Blix and Camilla Landén

THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION pp. 315-339

Damiano Brigo and Laurent Cousot

TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS pp. 341-358

Mario Cerrato and Andrea Iannelli

SECURITY MARKETS WITH PRICE LIMITS: A BAYESIAN APPROACH pp. 359-372

Arie Harel and Giora Harpaz

INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS pp. 373-400

Jinggang Huang, Sven Sandow and Craig Friedman

NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS pp. 401-414

Agnès Tourin

PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY pp. 415-453

Ali Bora Yiǧitbaşioǧlu and Carol Alexander

Volume 09, issue 02, 2006

OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM pp. 151-170

Gabriele Stabile

GENERALIZED SINGULAR VALUE DECOMPOSITION AND ITS APPLICATIONS IN MODEL ANALYSIS pp. 171-184

Eugene V. Dulov, Humberto Sarria Zapata and Natalia A. Andrianova

PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES pp. 185-197

José Fajardo and Ernesto Mordecki

WOULD THERE EVER BE CONSENSUS VALUE AND SOURCE OF THE EQUITY RISK PREMIUM? A REVIEW OF THE EXTANT LITERATURE pp. 199-215

Oluwatobi Oyefeso

DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL? pp. 217-226

Lampros Kalyvas and Athanasios Sfetsos

TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS pp. 227-244

Frank Westerhoff

EMPIRICAL EXERCISE BEHAVIOR OF WARRANT HOLDERS AND ITS CONSEQUENCES FOR WARRANT VALUES pp. 245-268

Christian Koziol

Volume 09, issue 01, 2006

EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES pp. 1-22

Catherine Kyrtsou, Alexandros Leontitsis and Costas Siriopoulos

THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY pp. 23-42

Fathi Abid and Nader Naifar

AN INFINITE FACTOR MODEL FOR CREDIT RISK pp. 43-68

Thorsten Schmidt

A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL pp. 69-89

Sergio Albeverio, Alex Popovici and Victoria Steblovskaya

THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING pp. 91-111

Anton Bovier, Jiří Černý and Ostap Hryniv

CLUSTER ANALYSIS FOR NON-GAUSSIAN LOCALLY STATIONARY PROCESSES pp. 113-132

Junichi Hirukawa

PREDICTION OF FINANCIAL DISTRESS BY MULTIVARIATE STATISTICAL ANALYSIS: THE CASE OF FIRMS TAKEN INTO THE SURVEILLANCE MARKET IN THE ISTANBUL STOCK EXCHANGE pp. 133-150

Serpil Canbaş, Yildirim B. Önal, Hatice G. Düzakin and Süleyman B. Kiliç