International Journal of Theoretical and Applied Finance (IJTAF)

1998 - 2025

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 24, issue 08, 2021

INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA pp. 1-31

Flavia Antonacci, Cristina Costantini, D’IPPOLITI Fernanda and Marco Papi

PRICING ASIAN OPTIONS WITH CORRELATORS pp. 1-44

Silvia Lavagnini

SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS pp. 1-50

Svetlana Boyarchenko, Sergei Levendorskiä¬, J. Lars Kyrkby and Zhenyu Cui

MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS pp. 1-49

Thamayanthi Chellathurai

LARGE PLATONIC MARKETS WITH DELAYS pp. 1-19

Yannick Limmer and Thilo Meyer-Brandis

Volume 24, issue 06n07, 2021

DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES pp. 1-27

GÃœMBEL Sandrine and Thorsten Schmidt

COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION pp. 1-26

Emmanuel Lepinette and Duc Thinh Vu

LATENCY AND LIQUIDITY RISK pp. 1-37

à Lvaro Cartea, Sebastian Jaimungal and Leandro Sã Nchez-Betancourt

THE AFFINE RATIONAL POTENTIAL MODEL pp. 1-25

The Anh Nguyen and Frank Thomas Seifried

DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY pp. 1-18

Fred Espen Benth, Gleda Kutrolli and Silvana Stefani

THE VIX AND FUTURE INFORMATION pp. 1-30

Markus Hess

LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES pp. 1-41

Ramin Okhrati and Nikolaos Karpathopoulos

PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES pp. 1-35

Jean-Loup Dupret and Donatien Hainaut

Volume 24, issue 05, 2021

THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH pp. 1-27

Martin Keller-Ressel

OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK pp. 1-27

Tim Leung, Raphael Yan and Yang Zhou

OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES pp. 1-13

Dilip B. Madan and King Wang

DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS pp. 1-43

Masaaki Fukasawa, Masamitsu Ohnishi and Makoto Shimoshimizu

PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION pp. 1-49

Pieter M. van Staden, Duy-Minh Dang and Peter A. Forsyth

COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES pp. 1-21

Benjamin R. Auer and Frank Schuhmacher

Volume 24, issue 04, 2021

ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT pp. 1-28

Jörn Sass and Dorothee Westphal

FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS pp. 1-29

Pavel V. Gapeev and Monique Jeanblanc

THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK pp. 1-26

Vicky Henderson, Jia Sun and A. Elizabeth Whalley

COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION pp. 1-18

Xiang Shi and Young Shin Kim

A UNIFIED MARKET MODEL FOR SWAPTIONS AND CONSTANT MATURITY SWAPS pp. 1-31

Chyng Wen Tee and Jeroen Kerkhof

FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK pp. 1-25

Sung Ik Kim and Young Shin Kim

Volume 24, issue 03, 2021

FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS pp. 1-22

Matteo Michielon, Asma Khedher and Peter Spreij

FINANCING AND INVESTMENT STRATEGIES UNDER CREDITOR-MAXIMIZED LIQUIDATION pp. 1-30

Takashi Shibata and Michi Nishihara

AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK pp. 1-28

Calisto Guambe, Lesedi Mabitsela and Rodwell Kufakunesu

ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES pp. 1-28

Daniel Mantilla-Garcia, Enrique A. Ter Horst, Emilien Audeguil and German Molina

PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME pp. 1-24

Fabien Le Floc’h

REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS pp. 1-37

Hideharu Funahashi

Volume 24, issue 02, 2021

EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS pp. 1-51

Zhenzhen Huang and Yue Kuen Kwok

CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS pp. 1-34

E. Alòs, F. Antonelli, Alessandro Ramponi and S. Scarlatti

CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS pp. 1-29

Nicole Bäuerle and Daniel Schmithals

POLYNOMIAL TERM STRUCTURE MODELS pp. 1-28

Si Cheng and Michael R. Tehranchi

DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS pp. 1-47

Raúl Merino, Jan Pospíšil, Tomáš Sobotka, Tommi Sottinen and Josep Vives

INSIDER TRADING WITH TEMPORARY PRICE IMPACT pp. 1-32

Weston Barger and Ryan Donnelly

Volume 24, issue 01, 2021

TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION pp. 1-28

Tomasz R. Bielecki, Tao Chen and Igor Cialenco

SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION pp. 1-24

Mikhail Zhitlukhin

MIXTURE OF CONSISTENT STOCHASTIC UTILITIES AND A PRIORI RANDOMNESS pp. 1-34

Mrad Mohamed

PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK pp. 1-34

Rafael Serrano

CLOSED FORM OPTIMAL EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION pp. 1-18

Yerkin Kitapbayev

TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS pp. 1-31

Peter A. Forsyth

Volume 23, issue 08, 2020

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

Kenichiro Shiraya

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

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

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

Clémence Alasseur, Heythem Farhat and Marcelo Saguan

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

Luca de Gennaro Aquino and Carole Bernard

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

Jingsi Xu

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

Ka Wai Tsang and Zhaoyi He

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

Alexander Lipton and Marcos López de Prado

Volume 23, issue 07, 2020

LINEAR STOCHASTIC DIVIDEND MODEL pp. 1-20

Sander Willems

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

Maxim Bichuch and Ke Chen

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

Arne Løkka and Junwei Xu

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

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

Jacques van Appel and Thomas McWalter

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

Michael Schatz and Didier Sornette

Volume 23, issue 06, 2020

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

Guillaume Leduc and Kenneth Palmer

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

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

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

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

Elena Vigna

Volume 23, issue 05, 2020

INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS pp. 1-34

Markus Michaelsen

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

Mohamed Marzougue

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

Qiuqi Wang and Yue Kuen Kwok

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

Martino Grasselli and Lakshithe Wagalath

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

Yuliya Mishura and Anton Yurchenko-Tytarenko

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

Chi Tim Ng, Yue Shi and Ngai Hang Chan

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

Sjoerd van Bakel, Svetlana Borovkova and Matteo Michielon

Volume 23, issue 04, 2020

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

OPTIMAL DIVIDEND POLICY AND STOCK PRICES pp. 1-29

Weiping Li

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

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

Alexander Lipton

Volume 23, issue 03, 2020

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

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

Yanhong Chen and Yijun Hu

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

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

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

Julian Sester

Volume 23, issue 02, 2020

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

Olga Biedova and Victoria Steblovskaya

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

Riccardo Rebonato, Ivan Saroka and Vlad Putiatyn

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

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

Valeriane Jokhadze and Wolfgang M. Schmidt

EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE pp. 1-23

Cyril Grunspan and Joris van der Hoeven

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

Pavel V. Gapeev and Monique Jeanblanc

Volume 23, issue 01, 2019

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

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

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