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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A COMMON MARKET MEASURE FOR LIBOR AND PRICING CAPS, FLOORS AND SWAPS IN A FIELD THEORY OF FORWARD INTEREST RATES pp. 999-1018: Belal E. Baaquie
ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS pp. 1019-1057: Junwu Gan
CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS pp. 1059-1083: Peter Laurence and Tai-Ho Wang
IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS pp. 1085-1106: Charilaos E. Linaras and George Skiadopoulos
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY pp. 1107-1133: Sergio Ortobelli, Svetlozar T. Rachev, Stoyan Stoyanov, Frank Fabozzi and Almira Biglova
THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY pp. 1135-1155: Fathi Abid and Nader Naifar
CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING pp. 1157-1177: David Heath and Eckhard Platen

A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK pp. 839-869: Shu Wu and Yong Zeng
OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND pp. 871-913: Tomasz R. Bielecki, Stanley Pliska and Jiongmin Yong
EQUILIBRIUM CONDITIONS OF FORWARD EXCHANGE MARKET EXPRESSED IN A SIMPLE GEOMETRIC STRUCTURE pp. 915-932: Jianguo Chen and Lloyd P. Blenman
EXPERTS' EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION pp. 933-946: Olivier Guedj and Jean-Philippe Bouchaud
SHORT- AND LONG-TERM EFFECTS OF THE 9/11 EVENT: THE INTERNATIONAL EVIDENCE pp. 947-958: Vincent Richman, Michael R. Santos and John T. Barkoulas
PRICING PRECIPITATION BASED DERIVATIVES pp. 959-988: René Carmona and Pavel Diko
A CONSTRAINED LEAST SQUARE METHOD FOR ESTIMATING A SMOOTH, NONNEGATIVE FORWARD RATE SEQUENCE pp. 989-998: Hiroshi Konno and Sumito Ito

MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS pp. 675-691: Luis Gil-Alana
FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS pp. 693-716: Axel Grorud and Monique Pontier
AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL pp. 717-735: Eckhard Platen
A MERTON-MODEL APPROACH TO ASSESSING THE DEFAULT RISK OF UK PUBLIC COMPANIES pp. 737-761: M. Tudela and Garry Young
MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT pp. 763-789: David Hobson and Jeremy Penn
PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS pp. 791-806: Ping Wu and Robert J. Elliott
PARTIAL INFORMATION AND HAZARD PROCESS pp. 807-838: Monique Jeanblanc and Stoyan Valchev

VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS pp. 537-551: Jules Sadefo Kamdem
LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES pp. 553-574: Sebastian E. Ferrando and Ariel J. Bernal
IMPLIED KERNEL MODELS pp. 575-601: Peter Weigel
INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS pp. 603-622: Adel Sharkasi, Heather J. Ruskin and Martin Crane
AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY pp. 623-633: Siu-Ah Ng
A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE pp. 635-658: Jorge R. Sobehart
VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH pp. 659-674: Ka Wo Lau and Yue Kuen Kwok

A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS pp. 409-423: Hiroshi Konno and Rei Yamamoto
SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES pp. 425-443: Takuji Arai
FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES pp. 445-462: Victor Vaugirard
OPTIMAL CONTINGENT CLAIMS AND CONSUMPTION pp. 463-482: Daheng Peng and Maoan Han
PARTIAL EQUILIBRIUM AND MARKET COMPLETION pp. 483-508: Ying Hu, Peter Imkeller and Matthias Müller
COULD SHORT SELLING MAKE FINANCIAL MARKETS TUMBLE? pp. 509-521: Jørgen Vitting Andersen
A NOTE ON ASSET BUBBLES IN CONTINUOUS-TIME pp. 523-536: Gianluca Cassese

ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC pp. 283-300: Erhan Bayraktar and H. Vincent Poor
OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET pp. 301-319: Christian-Oliver Ewald
PRICING CREDIT RISK OF ASSET-BACKED SECURITIZATION BONDS IN SINGAPORE pp. 321-338: Tien Foo Sing, Seow Eng Ong, Gang-Zhi Fan and Kian Guan Lim
INFLATION REGIMES AND PRICE-SETTING INTERACTIONS pp. 339-355: Edoardo Gaffeo
MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH pp. 357-380: Rama Cont
LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING pp. 381-392: Sergei Fedotov and Abby Tan
HEDGING DOUBLE BARRIERS WITH SINGLES pp. 393-407: Alessandro Sbuelz

CALIBRATED OPTION BOUNDS pp. 141-159: Alan J. King, Matti Koivu and Teemu Pennanen
AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING pp. 161-184: Caio Almeida
OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC pp. 185-206: Benito Stradi and Emmanuel Haven
COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS pp. 207-221: Martin Hanke and Elisabeth Rösler
AFFINE LATTICE MODELS pp. 223-238: Claudio Albanese and Alexey Kuznetsov
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS pp. 239-253: Peter Carr and Alireza Javaheri
PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE pp. 255-281: Sergio Bianchi

BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH pp. 1-12: Francisco Venegas-Martínez
DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION pp. 13-58: Alexei Chekhlov, Stanislav Uryasev and Michael Zabarankin
PROFIT-SHARING IN TRANSACTIONS GOVERNED BY A SUBADDITIVE CAPITALIZATION FUNCTION pp. 59-74: Salvador Cruz Rambaud and María Del Carmen Valls Martínez
MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS pp. 75-95: Don Galagedera and Robert Faff
BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE pp. 97-121: Michael A. Kouritzin and Yong Zeng
THE SWING OPTION ON THE STOCK MARKET pp. 123-139: Martin Dahlgren and Ralf Korn