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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 06, issue 08, 2003

OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH pp. 793-819

Ralf Korn and Holger Kraft

MODELLING INFLATION AS A RANDOM PROCESS pp. 821-827

S. Rawal and G. J. Rodgers

BUBBLES AND CRASHES: OPTIMISM, TREND EXTRAPOLATION AND PANIC pp. 829-837

Frank Westerhoff

THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY pp. 839-864

Wim Schoutens and Stijn Symens

QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS pp. 865-884

Fred E. Benth, Lars O. Dahl and Kenneth H. Karlsen

A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS pp. 885-903

Caio Almeida, Antonio Marcos Duarte and Cristiano Augusto Coelho Fernandes

Volume 06, issue 07, 2003

Backward Stochastic PDE and Imperfect Hedging pp. 663-692

M. Mania and R. Tevzadze

When Should We be Prepared to Improve a Portfolio by Lacklustre Stocks? — A Note on Log-Optimal Portfolio Selection pp. 693-702

D. Schäfer

Multiple Optimal Solutions in the Portfolio Selection Model with Short-Selling pp. 703-720

A. Schianchi, L. Bongini, M. D. Esposti and C. Giardinà

Independent Component Analysis and Immunization: An Exploratory Study pp. 721-738

Fabio Bellini and Ernesto Salinelli

Inventory Effects on Daily Returns in Financial Markets pp. 739-765

Andreas Krause

High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation pp. 767-789

Bertram Düring, Michel Fournié and Ansgar Jüngel

Book Review: "Exotic Options: The Cutting-edge Collection", Alexander Lipton, ed., (2003) pp. 791-792

Guillaume Gimonet

Volume 06, issue 06, 2003

Measuring the Complexity of Currency Markets by Fractal Dimension Analysis pp. 553-563

Abdol Soofi and Andreas Galka

On American Derivatives and Related Obstacle Problems pp. 565-591

Jörg Kampen

Optimal Asset Allocation with Asymptotic Criteria pp. 593-604

Slava Karguine

The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model pp. 605-612

M. G. Figueroa, M. C. Mariani and M. B. Ferraro

Mean-Variance Hedging Under Additional Market Information pp. 613-636

F. Thierbach

Options with Multiple Reset Rights pp. 637-653

Min Dai, Yue Kuen Kwok and Li Xin Wu

Jump Diffusion Models for Risky Debts: Quality Spread Differentials pp. 655-662

Hoi Ying Wong and Yue Kuen Kwok

Volume 06, issue 05, 2003

A Quantum Field Theory Term Structure Model Applied to Hedging pp. 443-467

Belal E. Baaquie, Marakani Srikant and Mitch C. Warachka

Beyond Black–Scholes: A Neural Networks-Based Approach to Options Pricing pp. 469-489

Christopher A. Zapart

On the Pricing of Credit Spread Options: A Two Factor HW–BK Algorithm pp. 491-505

Joao B. C. Garcia, Helmut van Ginderen and Reinaldo C. Garcia

Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model pp. 507-519

John Schoenmakers and Brian Coffey

Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions pp. 521-552

Antje Mahayni

Volume 06, issue 04, 2003

A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL pp. 317-326

Robert J. Elliott and Rogemar S. Mamon

AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART II pp. 327-353

Lars O. Dahl

MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS pp. 355-401

Craig Friedman and Sven Sandow

PORTFOLIO OPTIMIZATION OF SMALL SCALE FUND USING MEAN-ABSOLUTE DEVIATION MODEL pp. 403-418

Hiroshi Konno

WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING? pp. 419-442

Riccardo Rebonato

Volume 06, issue 03, 2003

OPTIMAL LISTING POLICY FOR IPOsIN THE GERMAN FINANCIAL MARKET pp. 213-238

Manfred Eckert

A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT pp. 239-255

Liliana Forzani and Carlos Tolmasky

VALUATION AND OPTIMAL EXERCISE TIME FOR THE BANXICO PUT OPTION pp. 257-275

Begoñna Fernández Fernández and Patricia Saavedra Barrera

A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES pp. 277-299

S. Sbaraglia, M. Papi, M. Briani, M. Bernaschi and Fausto Gozzi

AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART I pp. 301-316

Lars O. Dahl

Volume 06, issue 02, 2003

UNCERTAINTY IN PRICING TRADABLE OPTIONS pp. 103-117

Jorge R. Sobehart and Sean C. Keenan

LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES pp. 119-134

Luis Gil-Alana

SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK pp. 135-172

J. K. Hoogland, C. D. D. Neumann and M. H. Vellekoop

A CONTINUOUS-TIME REEXAMINATION OF DOLLAR-COST AVERAGING pp. 173-194

Moshe Milevsky and Steven E. Posner

ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE pp. 195-212

Alessandro Ramponi

Volume 06, issue 01, 2003

UNDERPRICING OF NEW EQUITY OFFERINGS BY PRIVATIZED FIRMS: AN INTERNATIONAL TEST pp. 1-30

Huang Qi and Richard M. Levich

INFORMED OPPORTUNISTIC TRADING AND PRICE OPTIMAL CONTROL pp. 31-55

Laurent Gauthier

EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL pp. 57-72

Marc Henrard

WHY THE RETURN NOTION MATTERS pp. 73-86

Gregor Dorfleitner

A CLOSER LOOK AT THE EPPS EFFECT pp. 87-102

Roberto Renò

Volume 05, issue 08, 2002

FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES pp. 775-783

Luis Gil-Alana

AMBIGUITY AND PORTFOLIO INERTIA pp. 785-795

Marcello Basili and Fulvio Fontini

A PROCESS-RECONSTRUCTION ANALYSIS OF MARKET FLUCTUATIONS pp. 797-821

R. Vilela Mendes, R. Lima and Tanya Araújo

DEFAULTABLE DEBT PRICING IN MULTI-FACTOR MODELS pp. 823-844

K. G. Lim, Shiwei Chang and Tsui Kai Chong

MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES pp. 845-875

João Amaro de Matos and João Sobral Do Rosário

Volume 05, issue 07, 2002

A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE pp. 667-694

Riccardo Rebonato and Mark Joshi

THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH pp. 695-700

Manfred Frühwirth

ON THE PRICING OF AN ISLAMIC CONVERTIBLE MORTGAGE FOR INFRASTRUCTURE PROJECT FINANCING pp. 701-728

Muhammed-Shahid Ebrahim and Tariqullah Khan

A PARADOX OF INTUITION: HEDGING THE LIMIT OR HEDGING IN THE LIMIT? pp. 729-736

J. R. Sobehart and S. C. Keenan

THE EFFICIENT FRONTIER OF LONG-SHORT PORTFOLIOS pp. 737-756

Françoise Charpin and Dominique Lacaze

PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL pp. 757-774

David Heath and Eckhard Platen

Volume 05, issue 06, 2002

FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES pp. 563-573

Igor V. Evstigneev and Klaus Schenk-Hoppé

MOVING AVERAGES AND PRICE DYNAMICS pp. 575-583

R. Baviera, M. Pasquini, J. Raboanary and M. Serva

ASYMMETRIES, CORRELATIONS AND FAT TAILS IN PERCOLATION MARKET MODEL pp. 585-597

Iksoo Chang, Dietrich Stauffer and Ras B. Pandey

DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS pp. 599-618

Yuji Yamada and James A. Primbs

VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE pp. 619-643

Yves Achdou and Olivier Pironneau

MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES pp. 645-657

Javier Depenya and Luis Gil-Alana

PREDICTION AND VOLATILITY OF BLACK MARKET CURRENCIES: EVIDENCE FROM RENMINBI AND RIAL EXCHANGE RATES pp. 659-666

Abdol Soofi and Liangyue Cao

Volume 05, issue 05, 2002

A NOTE ON THE PRICING OF INDEX AMORTISING RATE SWAPS IN A WORST-CASE SCENARIO pp. 447-454

D. Epstein and P. Wilmott

EFFECT OF ASSET VALUE CORRELATION ON CREDIT-LINKED NOTE VALUES pp. 455-478

C. H. Hui and C. F. Lo

A MODEL FOR MARKET CLOSURE AND INTERNATIONAL PORTFOLIO MANAGEMENT WITHIN INCOMPLETE INFORMATION pp. 479-495

Mondher Bellalah and Zhen Wu

AMERICAN OPTIONS WITH REGIME SWITCHING pp. 497-514

John Buffington and Robert J. Elliott

STOCHASTIC VOLATILITY pp. 515-530

Sotirios Sabanis

INNER MARKET AS A 'BLACK BOX' OF PARAMETERS FOR THE ENTIRE MARKET pp. 531-540

Ari Belenkiy

A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS pp. 541-562

Jaume Masoliver and Josep Perelló

Volume 05, issue 04, 2002

VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING pp. 333-354

Yuji Yamada and James A. Primbs

THE ENTROPY THEORY OF BOND OPTION PRICING pp. 355-383

Les Gulko

PORTFOLIO OPTIMIZATION, HIDDEN MARKOV MODELS, AND TECHNICAL ANALYSIS OF P&F-CHARTS pp. 385-399

Robert Elliott and Juri Hinz

CORRELATION ANALYSIS IN THE LIBOR AND SWAP MARKET MODEL pp. 401-426

Etienne de Malherbe

LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES pp. 427-446

Damiano Brigo and Fabio Mercurio

Volume 05, issue 03, 2002

EQUITY ALLOCATION AND PORTFOLIO SELECTION IN INSURANCE: A SIMPLIFIED PORTFOLIO MODEL pp. 223-253

Erik Taflin

A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH pp. 255-278

Vicky Henderson, David Hobson and Glenn Kentwell

THE END-OF-THE-YEAR BONUS: HOW TO OPTIMALLY REWARD A TRADER? pp. 279-306

H. Ahn, Jeff Dewynne, P. Hua, Antony Penaud and Paul Wilmott

OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS pp. 307-320

Lorenzo Cornalba, Jean-Philippe Bouchaud and Marc Potters

INCREASING SPOT RATES OF INTEREST: STRUCTURE OF THE PRICE OF A DEFAULT FREE DISCOUNT BOND pp. 321-332

Salvador Cruz Rambaud and María Del Carmen Valls Martínez

Volume 05, issue 02, 2002

A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS pp. 123-146

Marco Rosa-Clot and Stefano Taddei

AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS pp. 147-169

G. Fusai and A. Tagliani

OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH pp. 171-187

Ralf Korn and Paul Wilmott

A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE pp. 189-221

Livio Marangio, Massimo Massimo and Alessandro Ramponi

Volume 05, issue 01, 2002

THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS pp. 1-31

Alessandro Rossi

CONFRONTING MODEL MISSPECIFICATION IN FINANCE: TRACTABLE COLLECTIONS OF SCENARIO PROBABILITY MEASURES FOR ROBUST FINANCIAL OPTIMIZATION PROBLEMS pp. 33-54

Craig Friedman

REAL EXCHANGE RATE BEHAVIOUR UNDER HONG KONG'S LINKED EXCHANGE RATE SYSTEM: AN EMPIRICAL INVESTIGATION pp. 55-78

Zhichao Zhang

ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000 pp. 79-106

Kevin Paul Scherer and Marco Avellaneda

HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE? pp. 107-122

Tiziana Di Matteo and Tomaso Aste