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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AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES pp. 949-978: Andrew Kalotay, Deane Yang and Frank Fabozzi
THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE pp. 979-995: T. J. O'Neill, J. H. W. Penm and R. D. Terrell
A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA pp. 997-1030: Mascia Bedendo and Stewart D. Hodges
AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS pp. 1031-1068: Brendan O. Bradley and Murad S. Taqqu
ON THE VALIDITY OF THE RANDOM WALK HYPOTHESIS APPLIED TO THE DHAKA STOCK EXCHANGE pp. 1069-1085: Mohammad S. Hasan

OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES pp. 805-822: Massimiliano Adamo, Anna Lisa Amadori, Massimo Bernaschi, Claudia La Chioma, Alessia Marigo, Benedetto Piccoli, Simone Sbaraglia, Adamo Uboldi, Davide Vergni, Paola Fabbri, Davide Iacovoni, Francesco Natale, Stefano Scalera, Lucia Spilotro and Antonella Valletta
TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY? pp. 823-851: Nicolas Boitout and Loredana Ureche-Rangau
INVENTORY HEDGING AND OPTION MARKET MAKING pp. 853-878: Antoine Giannetti, Rui Zhong and Lixin Wu
LONG MEMORY IN STOCK TRADING pp. 879-885: Andrei Leonidov
BALAYAGE MONOTONOUS RISK MEASURES pp. 887-900: Johannes Leitner
OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS pp. 901-907: Erik Ekström and Johan Tysk
COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK? pp. 909-917: Nils Chr. Framstad
TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL pp. 919-947: Caio Almeida

ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING pp. 659-684: Alexandre Ern, Stéphane Villeneuve and Antonino Zanette
CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS pp. 685-700: Emmanuel Sharef and Damir Filipović
VALUATION OF EXCHANGEABLE CONVERTIBLE BONDS pp. 701-721: Marco Realdon
AN EMPIRICAL STUDY ON THE STATISTICAL PROPERTIES OF ROMANIAN EMERGING STOCK MARKET RASDAQ pp. 723-739: Mircea Gligor
CORPORATE BOND RISK FROM STOCK DIVIDEND UNCERTAINTY pp. 741-755: Mark B. Wise, Peter B. Lee and Vineer Bhansali
OPTION PRICING WITH FEEDBACK EFFECTS pp. 757-768: Alexander Lyukov
VALUATION, TAX SHIELDS AND THE COST-OF-CAPITAL WITH PERSONAL TAXES: A FRAMEWORK FOR INCORPORATING TAXES pp. 769-804: Wolfgang Schultze

AN EXPLANATION OF NON-EQUILIBRIUM CURRENCY BID-ASK SPREADS pp. 531-540: Kofi B. Afful
MODEL PERFORMANCE MEASURES FOR LEVERAGED INVESTORS pp. 541-554: Craig Friedman and Sven Sandow
A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL pp. 555-575: Riccardo Rebonato and Dherminder Kainth
ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK pp. 577-589: Hossein Kazemi, Mahnaz Mahdavi and Brett Salazar
A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS pp. 591-614: G. N. Milstein, O. REIß and J. Schoenmakers
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS pp. 615-643: Erhan Bayraktar, H. Vincent Poor and K. Ronnie Sircar
GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS pp. 645-657: Erik Aurell and Paolo Muratore-Ginanneschi

INTEGRATION OF GLOBAL CAPITAL MARKETS: AN EMPIRICAL EXPLORATION pp. 385-405: Malay Bhattacharyya and Ashok Banerjee
REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS pp. 407-423: Emanuele Amerio, Pietro Muliere and Piercesare Secchi
STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS pp. 425-464: Mihaela Manoliu
RISK SENSITIVITIES OF BERMUDA SWAPTIONS pp. 465-509: Vladimir V. Piterbarg
MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX pp. 511-529: Eckhard Platen

MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS pp. 193-230: Etienne de Malherbe
MODELING FINANCIAL SERIES DISTRIBUTIONS: A VERSATILE DATA FITTING APPROACH pp. 231-251: Jen S. Shang and Pandu R. Tadikamalla
NFA FOR FACTOR NUMBER DETERMINATION IN APT pp. 253-267: Kai-Chun Chiu and Lei Xu
DETECTING AND MODELING TAIL DEPENDENCE pp. 269-287: Fabio Bellini and Gianna Figà-Talamanca
TESTING FOR "PURE" CONTAGION EFFECTS IN INTERNATIONAL BANKING: THE CASE OF BCCI'S FAILURE pp. 289-301: Angelos Kanas
PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES pp. 303-335: S. Z. Levendorskiǐ
THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE pp. 337-384: Vadim Linetsky

AGRICULTURAL FINANCE REVENUE FUTURES CONTRACT pp. 85-99: Martial V. Guinvarc'h, Jacques Janssen and Jean Cordier
CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS pp. 101-120: Martin Barlow, Yuri Gusev and Manpo Lai
DIVIDEND POLICY, TRADING CHARACTERISTICS AND SHARE PRICES: EMPIRICAL EVIDENCE FROM EGYPTIAN FIRMS pp. 121-133: Mohammed Omran and John Pointon
CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS pp. 135-149: Hongquan Zhu, Zudi Lu, Shouyang Wang and Abdol Soofi
ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM pp. 151-175: Artur Sepp
THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS pp. 177-192: Fred Espen Benth and Jūratė Šaltytė-Benth

LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION pp. 1-18: Clarence C. Y. Kwan
THE CHARPIN–LACAZE RESPONSE TO C. C. Y. KWAN'S PAPER "LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION" pp. 19-23: Françoise Charpin and Dominique Lacaze
LONG-SHORT STRATEGIES: AN EXTENSION pp. 25-29: Françoise Charpin and Dominique Lacaze
LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES pp. 31-44: Fotios Siokis and Chris Christodoulou
DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET pp. 45-62: Anna Battauz and Francesca Beccacece
PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS pp. 63-81: Nicole Branger
Book Review: "Nigel Da Costa Lewis (2003) Market Risk Modelling: Applied Statistical Methods for Practitioners" pp. 83-83: Marsha Lipton