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 ().

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 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

LARGE PLATONIC MARKETS WITH DELAYS pp. 1-19

Yannick Limmer and Thilo Meyer-Brandis

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

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

PRICING ASIAN OPTIONS WITH CORRELATORS pp. 1-44

Silvia Lavagnini

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

Thamayanthi Chellathurai

Volume 24, issue 06n07, 2021

DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES pp. 1-27

GÃœMBEL Sandrine and Thorsten Schmidt

THE AFFINE RATIONAL POTENTIAL MODEL pp. 1-25

The Anh Nguyen and Frank Thomas Seifried

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

LATENCY AND LIQUIDITY RISK pp. 1-37

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

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

Emmanuel Lepinette and Duc Thinh Vu

THE VIX AND FUTURE INFORMATION pp. 1-30

Markus Hess

DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY pp. 1-18

Fred Espen Benth, Gleda Kutrolli and Silvana Stefani

Volume 24, issue 05, 2021

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

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

Masaaki Fukasawa, Masamitsu Ohnishi and Makoto Shimoshimizu

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

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

Benjamin R. Auer and Frank Schuhmacher

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

Dilip B. Madan and King Wang

Volume 24, issue 04, 2021

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

Xiang Shi and Young Shin Kim

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

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

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

Jörn Sass and Dorothee Westphal

Volume 24, issue 03, 2021

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

Hideharu Funahashi

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

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

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

Fabien Le Floc’h

Volume 24, issue 02, 2021

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

Nicole Bäuerle and Daniel Schmithals

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

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

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

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

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

Zhenzhen Huang and Yue Kuen Kwok

POLYNOMIAL TERM STRUCTURE MODELS pp. 1-28

Si Cheng and Michael R. Tehranchi

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

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

Peter A. Forsyth

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

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

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

Kenichiro Shiraya

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

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

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

Clémence Alasseur, Heythem Farhat and Marcelo Saguan

Volume 23, issue 07, 2020

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

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

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

Michael Schatz and Didier Sornette

Volume 23, issue 06, 2020

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

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

Alexander von Felbert

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

Elena Vigna

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

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

Sjoerd van Bakel, Svetlana Borovkova and Matteo Michielon

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

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

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

Qiuqi Wang and Yue Kuen Kwok

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

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

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

Volume 23, issue 03, 2020

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

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

MARKET MAKING WITH ALPHA SIGNALS pp. 1-26

Álvaro Cartea and Yixuan Wang

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

Tommaso Pellegrino

SMILE MODELING IN COMMODITY MARKETS pp. 1-28

Emanuele Nastasi, Andrea Pallavicini and Giulio Sartorelli

Volume 23, issue 02, 2020

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

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

Olga Biedova and Victoria Steblovskaya

EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE pp. 1-23

Cyril Grunspan and Joris van der Hoeven

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

Valeriane Jokhadze and Wolfgang M. Schmidt

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

Volume 23, issue 01, 2020

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

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

André Catalão and Rogério Rosenfeld