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 (tltai@wspc.com.sg).

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 23, issue 08, 2020

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

Luca de Gennaro Aquino and Carole Bernard

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

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

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

Jingsi Xu

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

Kenichiro Shiraya

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

Clémence Alasseur, Heythem Farhat and Marcelo Saguan

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

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

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

Michael Schatz and Didier Sornette

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

Maxim Bichuch and Ke Chen

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

Jacques van Appel and Thomas A. McWalter

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

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

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

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

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

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

Yuliya Mishura and Anton Yurchenko-Tytarenko

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

Sjoerd van Bakel, Svetlana Borovkova and Matteo Michielon

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

Volume 23, issue 04, 2020

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

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

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

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

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

Yanhong Chen and Yijun Hu

MARKET MAKING WITH ALPHA SIGNALS pp. 1-26

Álvaro Cartea and Yixuan Wang

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

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

David Criens

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

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

Riccardo Rebonato, Ivan Saroka and Vlad Putiatyn

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

Pavel V. Gapeev and Monique Jeanblanc

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

Olga Biedova and Victoria Steblovskaya

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

Volume 23, issue 01, 2020

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

STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT pp. 1-28

Aditi Dandapani and Philip Protter

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

Lixin Wu and Dawei Zhang

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