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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INVESTIGATING CHAOTIC BEHAVIOR IN ECONOMIC SERIES: THE DELAY TIME IN THE GRASSBERGER–PROCACCIA ALGORITHM pp. 357-380: Teresa Aparicio, Eduardo Pozo and Dulce Saura
A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS pp. 381-407: Eleonora Bennati, Marco Rosa-Clot and Stefano Taddei
STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING pp. 409-440: George J. Jiang
ONE- AND MULTI-FACTOR VALUATION OF MORTGAGES: COMPUTATIONAL PROBLEMS AND SHORTCUTS pp. 441-469: Alexander Levin
OPTIMAL LAG IN DYNAMICAL INVESTMENTS pp. 471-481: Maurizio Serva

THE CAPITAL STRUCTURE OF ISLAMIC BANKS UNDER THE CONTRACTUAL OBLIGATION OF PROFIT SHARING pp. 243-283: Talla Al-Deehani, Rifaat Ahmed Abdel Karim and Victor Murinde
WHEN THE BUBBLE IS GOING TO BURST … pp. 285-292: Jing Chen
THE ENTROPIC MARKET HYPOTHESIS pp. 293-329: Les Gulko
THE ENTROPY THEORY OF STOCK OPTION PRICING pp. 331-355: Les Gulko

LOAN SALES AND BANK LIQUIDITY MANAGEMENT pp. 113-129: Andrew H. Chen and Sumon C. Mazumdar
ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES pp. 131-152: Sergei Esipov and Igor Vaysburd
THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES pp. 153-178: Julien Hugonnier
INCORPORATING PRICE-RELEVANT INFORMATION BETWEEN QUOTES AND TRADES: A NEW MEASURE OF THE EFFECTIVE BID-ASK SPREAD pp. 179-200: Sung-Hun Kim and Joseph P. Ogden
DESIGN AND VALUATION OF CORPORATE SECURITIES WITH STRATEGIC DEBT SERVICE AND ASYMMETRIC INFORMATION pp. 201-219: Yonghua Pan
NEURAL NETWORKS FOR TECHNICAL ANALYSIS: A STUDY ON KLCI pp. 221-241: Jingtao Yao, Chew Lim Tan and Hean-Lee Poh

PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD pp. 1-16: Marco Avellaneda and Lixin Wu
CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION pp. 17-42: Raphael Douady
VALUE AT RISK OF A BANK'S BALANCE SHEET pp. 43-58: Thomas Ho, Mark Abbott and Allen Abrahamson
RISKY OPTIONS SIMPLIFIED pp. 59-82: Martin Schweizer
MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING pp. 83-94: Dietrich Stauffer, Paulo M. C. de Oliveira and Americo T. Bernardes
PRICING DEFAULTABLE DEBT: SOME EXACT RESULTS pp. 95-99: D. F. Wang
ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE pp. 101-111: Lixin Wu, Yue Kuen Kwok and Hong Yu

Minimum-Relative-Entropy Calibration of Asset-Pricing Models pp. 447-472: Marco Avellaneda
Optimal Strategies for Prudent Investors pp. 473-486: Roberto Baviera, Michele Pasquini, Maurizio Serva and Angelo Vulpiani
A Simple Model for Option Pricing with Jumping Stochastic Volatility pp. 487-505: Stefano Herzel
A General Framework for Hedging and Speculating with Options pp. 507-522: Ralf Korn and Paul Wilmott
Pricing Multi-Asset Options with an External Barrier pp. 523-541: Yue-Kuen Kwok, Lixin Wu and Hong Yu

Optimal Index Tracking Under Transaction Costs and Impulse Control pp. 315-330: I. R. C. Buckley and R. Korn
Insider Trading in a Continuous Time Market Model pp. 331-347: Axel Grorud and Monique Pontier
Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach pp. 349-376: Alexander Levin
Optimal Investment Strategy for Risky Assets pp. 377-387: Sergei Maslov and Yi-Cheng Zhang
An International Study of Efficiency and Risk in Money Markets pp. 389-424: David Miles
Dynamics of Spot, Forward, and Futures Libor Rates pp. 425-445: Marek Rutkowski

A New Model for Interest Rates pp. 195-226: D. Epstein and P. Wilmott
On Minimizing Risk in Incomplete Markets Option Pricing Models pp. 227-233: Ola Hammarlid
Information Transmission Across Eurodollar Futures Markets pp. 235-245: Kian-Guan Lim, Eric Terry and Desmond How
Collapse of Detail pp. 247-282: Enlin Pan
An Explicit Formula for Option Pricing in Discrete Incomplete Markets pp. 283-288: Grażyna Wolczyńska
A Risk-Neutral Stochastic Volatility Model pp. 289-310: Yingzi Zhu and Marco Avellaneda
Book Review: "Value at Risk", Philippe Jorion pp. 311-314: Thomas S. Y. Ho

Pricing Risky Options Simply pp. 1-23: Erik Aurell and Sergei I. Simdyankin
Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets pp. 25-41: J. P. Bouchaud, D. Sornette, Christian Walter and J. P. Aguilar
Estimating Expected Exchange Rates Under Target Zone Regimes pp. 43-59: Zhaohui Chen and Alberto Giovannini
Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility pp. 61-110: Emanuel Derman and Iraj Kani
The Pricing of Country Funds from Emerging Markets: Theory and Evidence pp. 111-143: Vihang Errunza, Lemma W. Senbet and Ked Hogan
Internationally Diversified Investment Using an Integrated Portfolio Model pp. 145-160: Hiroshi Konno and Jing Li
The Mexican Crisis and the Behavior of Country-Fund Discounts: Renewing the Puzzle of Closed-End Fund Pricing pp. 161-174: Charles Kramer and Richard Smith
Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits pp. 175-189: Paul Wilmott and Asli Oztukel
Book Review: "The Econometrics of Financial Markets", John Campbell, Andrew Lo, A. Craig Mackinlay pp. 191-193: Ivailo Izvorski