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 23, issue 08, 2020

A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES pp. 1-34

Alexander Lipton and Marcos López de Prado

OPTIMAL MEAN–VARIANCE PORTFOLIO SELECTION WITH NO-SHORT-SELLING CONSTRAINT pp. 1-25

Jingsi Xu

FINANCIAL CONTAGION IN A STOCHASTIC BLOCK MODEL pp. 1-53

Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou and Daniel Ritter

MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION pp. 1-24

Ka Wai Tsang and Zhaoyi He

BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS pp. 1-31

Luca de Gennaro Aquino and Carole Bernard

A PRINCIPAL–AGENT APPROACH TO CAPACITY REMUNERATION MECHANISMS pp. 1-64

Clémence Alasseur, Heythem Farhat and Marcelo Saguan

AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS pp. 1-20

Kenichiro Shiraya

Volume 23, issue 07, 2020

MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS pp. 1-29

Jacques van Appel and Thomas A. McWalter

SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE pp. 1-39

Maxim Bichuch and Ke Chen

INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS pp. 1-56

Michael Schatz and Didier Sornette

LINEAR STOCHASTIC DIVIDEND MODEL pp. 1-20

Sander Willems

BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION pp. 1-33

Marcos Escobar-Anel, Andreas Lichtenstern and Rudi Zagst

APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES pp. 1-33

Eckhard Platen and Renata Rendek

OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL pp. 1-35

Arne Løkka and Junwei Xu

Volume 23, issue 06, 2020

COUNTERPARTY CREDIT RISK IN A CLEARING NETWORK pp. 1-21

Alexander von Felbert

OPTION PRICING IN MARKETS WITH INFORMED TRADERS pp. 1-32

Yuan Hu, Abootaleb Shirvani, Stoyan Stoyanov, Young Shin Kim, Frank J. Fabozzi and Svetlozar T. Rachev

INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES pp. 1-32

Charles Guy Njike Leunga and Donatien Hainaut

MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS pp. 1-32

Dilip B. Madan

ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION pp. 1-22

Elena Vigna

COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS pp. 1-42

Anthonie W. van der Stoep, Lech Grzelak and Cornelis Oosterlee

WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES pp. 1-26

Guillaume Leduc and Kenneth Palmer

Volume 23, issue 05, 2020

REAL OPTION SIGNALING GAMES OF DEBT FINANCING USING EQUITY GUARANTEE SWAPS UNDER ASYMMETRIC INFORMATION pp. 1-37

Qiuqi Wang and Yue Kuen Kwok

APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL pp. 1-36

Yuliya Mishura and Anton Yurchenko-Tytarenko

VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK pp. 1-39

Martino Grasselli and Lakshithe Wagalath

MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY pp. 1-19

Chi Tim Ng, Yue Shi and Ngai Hang Chan

REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS pp. 1-26

Mohamed Marzougue

INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS pp. 1-34

Markus Michaelsen

CONIC CVA AND DVA FOR OPTION PORTFOLIOS pp. 1-30

Sjoerd van Bakel, Svetlana Borovkova and Matteo Michielon

Volume 23, issue 04, 2020

OPTIMAL DIVIDEND POLICY AND STOCK PRICES pp. 1-29

Weiping Li

OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS pp. 1-37

Alexander Lipton

VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING pp. 1-38

Marcel Kremer, Fred Espen Benth, Björn Felten and Rüdiger Kiesel

THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE pp. 1-16

Foad Shokrollahi

CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL pp. 1-16

Raoul Pietersz, Frank Sengers and Matteo Michielon

SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL pp. 1-35

Jean-Philippe Aguilar

MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS pp. 1-35

Edward Hoyle, Andrea Macrina and Levent Ali Mengütürk

Volume 23, issue 03, 2020

A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL pp. 1-49

Olesya Grishchenko, Xiao Han and Victor Nistor

SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES pp. 1-30

Tommaso Pellegrino

A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS pp. 1-17

David Criens

MARKET MAKING WITH ALPHA SIGNALS pp. 1-26

Álvaro Cartea and Yixuan Wang

SMILE MODELING IN COMMODITY MARKETS pp. 1-28

Emanuele Nastasi, Andrea Pallavicini and Giulio Sartorelli

SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES pp. 1-42

Yanhong Chen and Yijun Hu

ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS pp. 1-39

Julian Sester

Volume 23, issue 02, 2020

MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING pp. 1-37

Valeriane Jokhadze and Wolfgang M. Schmidt

A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS pp. 1-29

Tim Leung and Yang Zhou

UPSIDE BETA RATIO: A PERFORMANCE MEASURE FOR POTENTIAL-SEEKING INVESTORS pp. 1-26

Dipankar Mondal and N. Selvaraju

CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS pp. 1-28

Pavel V. Gapeev and Monique Jeanblanc

EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE pp. 1-23

Cyril Grunspan and Joris van der Hoeven

PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS pp. 1-25

Riccardo Rebonato, Ivan Saroka and Vlad Putiatyn

MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY pp. 1-22

Olga Biedova and Victoria Steblovskaya

Volume 23, issue 01, 2020

ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS pp. 1-52

André Catalão and Rogério Rosenfeld

xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT pp. 1-24

Lixin Wu and Dawei Zhang

STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT pp. 1-28

Aditi Dandapani and Philip Protter

DYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGET pp. 1-16

Sheng-Feng Luo

CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES pp. 1-16

Francesca Centrone and Emanuela Rosazza Gianin

GENERAL ANALYSIS OF LONG-TERM INTEREST RATES pp. 1-29

Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel

BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES pp. 1-29

Michael A. Kouritzin and Anne Mackay