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 04, issue 06, 2001

A NETWORK MODEL FOR FOREIGN EXCHANGE ARBITRAGE, HEDGING AND SPECULATION pp. 837-852

C. Kenneth Jones

BUBBLES AND ANTI-BUBBLES IN LATIN-AMERICAN, ASIAN AND WESTERN STOCK MARKETS: AN EMPIRICAL STUDY pp. 853-920

Anders Johansen and Didier Sornette

CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS pp. 921-938

Marco Avellaneda and Lixin Wu

MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS pp. 939-957

Hiroshi Konno and Annista Wijayanayake

Volume 04, issue 05, 2001

A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS pp. 711-731

Fred Espen Benth, Kenneth Hvistendahl Karlsen and Kristin Reikvam

HEDGING AND ARBITRAGE WARRANTS UNDER SMILE EFFECTS: ANALYSIS AND EVIDENCE pp. 733-758

Son-Nan Chen, An-Pin Chen and Camus Chang

OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS pp. 759-772

Zhaojun Yang and Chaoqun Ma

REFINING THE QUADRATIC APPROXIMATION FORMULA FOR AN AMERICAN OPTION pp. 773-781

Woon Kwong Wong and Kai Xu

MARKET EQUILIBRIUM WITH CAPITAL LOSS DEDUCTION OPTIONS pp. 783-803

Austin Murphy

PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS pp. 805-818

C. F. Lo, P. H. Yuen and C. H. Hui

COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY pp. 819-835

H. Yang and Tak Kuen Siu

Volume 04, issue 04, 2001

FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL pp. 567-584

Robert J. Elliott, William C. Hunter and Barbara M. Jamieson

STOCK EVALUATION USING FUZZY LOGIC pp. 585-602

Hussein Dourra and Pepe Siy

A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS pp. 603-620

Maria Elvira Mancino

RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE pp. 621-634

Alexander G. Muslimov and Nikolai A. Silant'ev

"BEHAVIORAL ECONOMETRIC" INTERPRETATION OF DYNAMIC SUPPLY AND DEMAND FUNCTIONS IN A MARKET PRICING MODEL pp. 635-650

Joseph K. Wang

FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES pp. 651-675

Jean-Pierre Fouque, George Papanicolaou and K. Ronnie Sircar

SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL pp. 677-709

Tim Dun, Geoff Barton and Erik Schlogl

Volume 04, issue 03, 2001

MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL pp. 375-401

Takashi Yasuoka

VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY pp. 403-437

George Skiadopoulos

REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS pp. 439-466

Jiongmin Yong

UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS pp. 467-489

Thierry Ané and Vincent Lacoste

THE PRICING OF DEBT AND PARETO-OPTIMAL FINANCING UNDER ENDOGENOUS BANKRUPTCY pp. 491-509

M. Shahid Ebrahim and Ike Mathur

WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES pp. 511-534

Enrico Capobianco

HOW TO PRICE INFORMATION BY KULLBACK-LEIBLER ENTROPY AND A MOMENT-RETURN RELATION FOR PORTFOLIOS pp. 535-543

Andreas de Vries

ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE') pp. 545-565

Karl Strobl

Volume 04, issue 02, 2001

A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA pp. 199-210

Rüdiger Frey and Wolfgang J. Runggaldier

INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH pp. 211-243

A. Bizid and Elyès Jouini

INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES pp. 245-261

Jaksa Cvitanic, Ali Lazrak, Marie Claire Quenez and Fernando Zapatero

MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES pp. 263-284

Huyên Pham

ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS pp. 285-302

Axel Grorud and Monique Pontier

A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS pp. 303-320

Andrea Gombani and Wolfgang J. Runggaldier

MAXIMIZING THE PROBABILITY OF ACHIEVING A GOAL IN THE CASE OF A PARTIALLY OBSERVED DRIFT PROCESS pp. 321-333

Gady Zohar

TRANSACTION COSTS: A NEW POINT OF VIEW pp. 335-354

Roberto Baviera

CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS pp. 355-359

Espen Gaarder Haug

THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS pp. 361-373

F. Hubalek and W. Schachermayer

Volume 04, issue 01, 2001

LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING pp. 1-21

J. K. Hoogland and C. D. D. Neumann

LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING II: PATH-DEPENDENT CONTINGENT CLAIMS pp. 23-43

J. K. Hoogland and C. D. D. Neumann

IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY pp. 45-89

Roger W. Lee

WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS pp. 91-119

Marco Avellaneda, Robert Buff, Craig Friedman, Nicolas Grandechamp, Lukasz Kruk and Joshua Newman

A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING pp. 121-146

J. L. Lesne and Jean-Luc Prigent

OPERATORS ON INHOMOGENEOUS TIME SERIES pp. 147-177

Gilles Zumbach and Ulrich Müller

OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST pp. 179-195

Sergei Fedotov and Sergei Mikhailov

Volume 03, issue 04, 2000

EXACT SOLUTION OF A MODEL FOR CROWDING AND INFORMATION TRANSMISSION IN FINANCIAL MARKETS pp. 609-616

R. D'Hulst and G. J. Rodgers

A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT pp. 617-639

Lucien Gardiol, R. Gibson, P.-A. Bares, R. Cont and S. Gyger

ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS pp. 641-659

Axel Grorud

CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS pp. 661-674

C. F. Lo, P. H. Yuen and C. H. Hui

VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS pp. 675-702

Thomas Lux and Michele Marchesi

AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE pp. 703-729

Andrew Matacz and Jean-Philippe Bouchaud

ERRATUM: "ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS" pp. 731-731

Jan Nygaard Nielsen and Martin Vestergaard

Volume 03, issue 03, 2000

PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE pp. 311-333

J. Farmer

ECONOPHYSICS: WHAT CAN PHYSICISTS CONTRIBUTE TO ECONOMICS? pp. 335-346

H. Eugene Stanley, Luís A. Nunes Amaral, Parameswaran Gopikrishnan, Yanhui Liu, Vasiliki Plerou and Bernd Rosenow

MEASURING SHOCK IN FINANCIAL MARKETS pp. 347-355

Gilles O. Zumbach, Michel Dacorogna, Jørgen L. Olsen and Richard B. Olsen

A STOCHASTIC CASCADE MODEL FOR FX DYNAMICS pp. 357-360

Wolfgang Breymann, Shoaleh Ghashghaie and Peter Talkner

MULTIFRACTAL FLUCTUATIONS IN FINANCE pp. 361-364

Francois Schmitt, Daniel Schertzer and Shaun Lovejoy

THE DISTRIBUTION OF RETURNS OF STOCK PRICES pp. 365-369

Luís A. N. Amaral, Vasiliki Plerou, Parameswaran Gopikrishnan, Martin Meyer and H. Eugene Stanley

BREAK-DOWN OF SCALING AND CONVERGENCE TO GAUSSIAN DISTRIBUTION IN STOCK MARKET DATA pp. 371-373

L. Kullmann, J. Kertész, J. Töyli, K. Kaski and A. Kanto

ANALYSIS OF EFFECT OF DETRENDING OF TIME-SCALE STRUCTURE OF FINANCIAL DATA USING DISCRETE WAVELET TRANSFORM pp. 375-379

Brian J. W. Fleming, Dejin Yu, Robert G. Harrison and David Jubb

EXPLAINING THE FORWARD INTEREST RATE TERM STRUCTURE pp. 381-389

Andrew Matacz and Jean-Philippe Bouchaud

RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS pp. 391-397

Laurent Laloux, Pierre Cizeau, Marc Potters and Jean-Philippe Bouchaud

APPLICATION OF RANDOM MATRIX THEORY TO STUDY CROSS-CORRELATIONS OF STOCK PRICES pp. 399-403

Bernd Rosenow, Vasiliki Plerou, Parameswaran Gopikrishnan, Luís A. Nunes Amaral and H. Eugene Stanley

STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS pp. 405-408

Fabrizio Lillo and Rosario Mantegna

MANAGING BOTH SIGN AND SIZE OF FLUCTUATIONS WITHIN THEn-ZIPF FRAMEWORK pp. 409-414

N. Vandewalle, F. Brisbois and P. H. Lefebvre

MARKOV PROPERTIES OF HIGH FREQUENCY EXCHANGE RATE DATA pp. 415-416

C. Renner, J. Peinke and R. Friedrich

HISTORICAL VOLATILITY DISTRIBUTION IN GAUSSIAN AND GARCH(1,1) MODELS pp. 417-417

Lutz Molgedey

RECURRENCE PLOTS AND HURST EXPONENTS FOR FINANCIAL MARKETS AND FOREIGN-EXCHANGE DATA pp. 419-419

J. A. Hołyst and M. Żebrowska

ZIG-ZAG MOVEMENTS AND NEAR NEIGHBORS IN THE FOREIGN EXCHANGE MARKET pp. 421-422

George G. Szpiro

ON THE OCCURENCE OF FINANCIAL CRASHES pp. 423-424

F. Brisbois, Ph. Boveroux, Marcel Ausloos and N. Vandewalle

A SIMPLE MODEL FOR THE NONEQUILIBRIUM DYNAMICS AND EVOLUTION OF A FINANCIAL MARKET pp. 425-441

J. Farmer

TRADER DYNAMICS IN A MODEL MARKET pp. 443-450

Neil F. Johnson, Michael Hart, Pak Ming Hui and Dafang Zheng

PHASE TRANSITION IN A TOY MARKET pp. 451-454

Damien Challet, Matteo Marsili and Riccardo Zecchina

THE THERMAL MINORITY GAME pp. 455-460

Andrea Cavagna, Juan P. Garrahan, Irene Giardina and David Sherrington

HAMMING DISTANCE AND HISTORY DISTRIBUTION IN THE MINORITY GAME pp. 461-461

R. D'Hulst and G. J. Rodgers

LEARNING, COMPETITION AND COOPERATION IN SIMPLE GAMES pp. 463-464

M. Ángeles R. de Cara, Óscar Pla and Francisco Guinea

EFFICIENT-INEFFICIENT TRANSITIONS IN MINORITY GAMES pp. 465-466

F. Vistulo de Abreu and L. M. Almeida

A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME pp. 467-472

Giulia Iori

IMITATION IN FINANCIAL MARKETS pp. 473-478

Harjoat Bhamra

SEARCH FOR LOG-PERIODIC OSCILLATIONS IN STOCK MARKET SIMULATIONS pp. 479-482

Ras B. Pandey and Dietrich Stauffer

THE APPLICATION OF THE BAK–SNEPPEN MODEL IN FINANCE pp. 483-485

P. H. Lefebvre, F. Brisbois and N. Vandewalle

A MULTI-AGENT MODELLING ENVIRONMENT FOR MARKET SIMULATION pp. 487-489

David Fletcher-Holmes and Stephen Trowell

HETEROGENEITY AND SEASONALITY IN FINANCIAL MARKETS pp. 491-491

John Appleby

UNCERTAINTY VERSUS RANDOMNESS: MINIMIZING MODEL DEPENDENCE pp. 493-500

Paul Wilmott

FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES pp. 501-510

Erik Aurell and Paolo Muratore-Ginanneschi

DRIVING FORCE IN INVESTMENT pp. 511-522

Andrea Capocci and Yi-Cheng Zhang

PORTFOLIO THEORY FOR "FAT TAILS" pp. 523-535

D. Sornette, J. V. Andersen and P. Simonetti

SPIN GLASSES IN THE TRADING BOOK pp. 537-540

I. Kondor

PRINCIPAL COMPONENT VALUE AT RISK pp. 541-545

Raymond Brummelhuis, Antonio Cordóba, Maite Quintanilla and Luis Seco

A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT pp. 547-547

Lucien Gardiol, R. Gibson, P.-A. Bares, R. Cont and S. Gyger

OPTION PRICING FOR TRUNCATED LÉVY PROCESSES pp. 549-552

Svetlana Boyarchenko and Sergei Z. Levendorskiǐ

HEDGING STRATEGY WITH LANGEVIN EVOLUTION pp. 553-556

S. Mariani, G. Rotundo and B. Tirozzi

TREE METHOD FOR OPTION PRICING UNDER STOCHASTIC VARIANCE pp. 557-557

Dragan Šestović

CONVERGENCE OF MINIMUM ENTROPY OPTION PRICES FOR WEAKLY CONVERGING INCOMPLETE MARKET MODELS pp. 559-560

Friedrich Hubalek and Thomas Hudetz

INFORMATION AND ENTROPY IN INCOMPLETE MARKETS pp. 561-561

Evangelos Tabakis

LEARNING SHORT-OPTION VALUATION IN THE PRESENCE OF RARE EVENTS pp. 563-564

Marco Raberto, G. Cuniberti, M. Riani, E. Scales, F. Mainardi and G. Servizi

TOWARDS NON-EQUILIBRIUM OPTION PRICING THEORY pp. 565-565

Matthias Otto

A DIFFUSION APPROACH TO ECONOMIC TIME SERIES pp. 567-568

M. Ciogli, G. Rotundo and B. Tirozzi

BINOMIAL TREES AS DYNAMICAL SYSTEMS pp. 569-570

Roza Galeeva

DEFAULTABLE BONDS AS ASIAN OPTIONS pp. 571-571

Emmanuel Buffet

ANALYTIC THEORY OF INTEREST RATES PART I: SOLITARY BONDS pp. 573-574

Peter Koeze

A NOTE ON RISKY BOND VALUATION pp. 575-580

C. H. Hui and C. F. Lo

OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS pp. 581-589

C. F. Lo, P. H. Yuen and C. H. Hui

PRICING OF AN INDEX-LINKED SWAPTION pp. 591-591

Katja Henjes

PREDICTION OF FINANCIAL DATA WITH HIDDEN MARKOV MIXTURES OF EXPERTS pp. 593-593

Stefan Liehr, Klaus Pawelzik, Jens Kohlmorgen, Steven Lemm and Klaus-Robert Müller

COMPOSITE INDEX PREDICTION pp. 595-595

Stefan S. Zemke

GIBBS DISTRIBUTION OF MONEY: A COMPUTER SIMULATION pp. 597-597

Adrian A. Drăgulescu and Victor Yakovenko

A MODEL OF STOCK MARKET BUBBLE UNDER UNCERTAIN FUNDAMENTALS pp. 599-599

J. Dean and T. Milovanov

NONLINEAR DYNAMICS AND CHAOS IN MACROECONOMICS pp. 601-601

Abraham C.-L. Chian

NONLINEAR OSCILLATIONS IN BUSINESS CYCLE MODEL WITH TIME LAGS pp. 603-604

Adam Krawiec, Marek Szydłowski and Janusz Toboła

VIRTUAL OBJECT THEORY AND ITS APPLICATION TO FINANCE pp. 605-606

Zheng Rong Yang, Weiping Lu and Robert G. Harrison

DESIGN OF AN ECONOMIC INDICATOR CALIBRATED IN SI UNITS pp. 607-608

McFARLANE Ian

Volume 03, issue 02, 2000

MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE pp. 161-181

P. Balland and L. P. Hughston

PROFILING NEURAL NETWORKS FOR OPTION PRICING pp. 183-204

A. Carelli, S. Silani and F. Stella

ON THE RATE OF INFORMATION ABSORPTION IN THE CONDITIONAL VARIANCE OF SES DUAL LISTED STOCKS pp. 205-217

Wai Mun Fong and Pheng Lui Chng

CRASHES AS CRITICAL POINTS pp. 219-255

Anders Johansen, Olivier Ledoit and Didier Sornette

CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS pp. 257-278

Yue-Kuen Kwok and Hoi-Ying Wong

ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS pp. 279-308

Jan Nygaard Nielsen and Martin Vestergaard

Volume 03, issue 01, 2000

A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS pp. 1-24

Erik Aurell, Roberto Baviera, Ola Hammarlid, Maurizio Serva and Angelo Vulpiani

WORST-CASE SCENARIOS FOR AMERICAN OPTIONS pp. 25-58

Robert Buff

PRICING ASSET BACKED ISLAMIC FINANCIAL INSTRUMENTS pp. 59-83

Muhammed-Shahid Ebrahim

MARKET SEGMENTATION AND NOISE TRADER RISK pp. 85-100

Vihang Errunza, Ked Hogan and Mao-Wei Hung

MEAN-REVERTING STOCHASTIC VOLATILITY pp. 101-142

Jean-Pierre Fouque, George Papanicolaou and K. Ronnie Sircar

FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS pp. 143-160

Andrew Matacz