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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AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS pp. 1-31: Chen Liu, Henry Schellhorn and Qidi Peng
GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS pp. 1-25: Jairo A. Rendon
AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL pp. 1-30: Markus Hess
PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS pp. 1-26: Takuji Arai
HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS pp. 1-41: Tak Kuen Siu and Robert J. Elliott
SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION pp. 1-53: J. Lars Kirkby and Shi-Jie Deng
MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH pp. 1-36: Masaaki Kijima and Christopher Ting

BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM pp. 1-40: Carmine de Franco, Johann Nicolle and Huyên Pham
NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS pp. 1-46: Maya Briani, Lucia Caramellino, Giulia Terenzi and Antonino Zanette
NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES pp. 1-29: Gianluca Cassese
OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS pp. 1-35: Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski and Ljupco Kocarev
PORTFOLIO RHO-PRESENTATIVITY pp. 1-52: Tristan Froidure, Khalid Jalalzai and Yves Choueifaty
CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION pp. 1-24: Christopher Lynch and Benjamin Mestel
SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS pp. 1-18: Shiva Chandra and Andrew Papanicolaou

PRICING DERIVATIVES IN HERMITE MARKETS pp. 1-27: Stoyan V. Stoyanov, Svetlozar T. Rachev, Stefan Mittnik and Frank J. Fabozzi
CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING pp. 1-33: Zhiping Chen, Liyuan Wang, Ping Chen and Haixiang Yao
CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES pp. 1-13: Firuz Rakhmonov and Parviz Rakhmonov
PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION pp. 1-24: Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba and José Carlos Dias
PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE pp. 1-17: Jan-Frederik Mai
HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT pp. 1-31: Hugo E. Ramirez, Peter Duck, Paul V. Johnson and Sydney Howell
AMERICAN OPTIONS AND INCOMPLETE INFORMATION pp. 1-14: Erik Ekström and Martin Vannestål

CREDIT SPREAD AND LIQUIDATION VALUE-BASED DEBT FINANCING CONSTRAINT pp. 1-27: Takashi Shibata and Michi Nishihara
ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM pp. 1-20: Mesias Alfeus and Erik Schlogl
BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL pp. 1-24: Roberto Baviera
PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS pp. 1-38: Hongcan Lin, David Saunders and Chengguo Weng
CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONS pp. 1-22: Andrea Flori
THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE pp. 1-31: Gabriel Frahm, Alexander Jonen and Rainer Schüssler
HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS pp. 1-26: Matthieu Garcin

EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE pp. 1-33: Ben-Zhang Yang, Jia Yue and Nan-Jing Huang
MULTI-CURRENCY CREDIT DEFAULT SWAPS pp. 1-35: Damiano Brigo, Nicola Pede and Andrea Petrelli
DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION pp. 1-18: Pavel V. Gapeev and Monique Jeanblanc
A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA pp. 1-24: Antoine Lejay and Paolo Pigato
MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS pp. 1-24: Ralf Korn and Elisabeth Leoff
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM pp. 1-23: Ryan Donnelly and Tim Leung
VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING pp. 1-19: Xin-Jiang He and Song-Ping Zhu

RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION pp. 1-19: Jim Gatheral and Radoš Radoičić
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS pp. 1-37: Andrey Itkin, V. Shcherbakov and A. Veygman
VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS pp. 1-44: Oliver Pfante and Nils Bertschinger
SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS pp. 1-41: Aurélien Alfonsi, Jacopo Corbetta and Benjamin Jourdain
SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS pp. 1-49: Svetlana Boyarchenko and Sergei Levendorskiĭ
A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE pp. 1-26: Bernard Lapeyre and Marouan Iben Taarit
SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES pp. 1-18: Yanhong Chen and Yijun Hu

PENALTY AMERICAN OPTIONS pp. 1-32: Ziwei Ke and Joanna Goard
APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION pp. 1-16: Luca Capriotti, Yupeng Jiang and Gaukhar Shaimerdenova
EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS pp. 1-43: Dilip B. Madan and Wim Schoutens
SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL pp. 1-19: Hossein Jafari and Ghazaleh Rahimi
HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH pp. 1-17: Wen-Qiong Liu and Wen-Li Huang
MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS pp. 1-26: Petar Jevtić, Marina Marena and Patrizia Semeraro
OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT pp. 1-28: Weston Barger and Matthew Lorig

THE BROAD CONSEQUENCES OF NARROW BANKING pp. 1-22: Matheus R. Grasselli and Alexander Lipton
BORROWING CAPACITY, FINANCIAL INSTABILITY, AND CONTAGION pp. 1-25: Youngna Choi
STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS pp. 1-30: M. Avellaneda and A. Papanicolaou
MULTIDIMENSIONAL CALIBRATION OF CRUDE OIL AND REFINED PRODUCTS VIA SEMIDEFINITE PROGRAMMING TECHNIQUES pp. 1-31: Carolina Effio Saldivar, José Herskovits, Juan Pablo Luna and Claudia Sagastizábal
MEASURING DEFAULT RISK FOR A PORTFOLIO OF EQUITIES pp. 1-21: Matheus Pimentel Rodrigues and Andre Cury Maialy
PREFACE pp. 1-4: Marco Avellaneda, Bruno Dupire and Jorge P. Zubelli
DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS pp. 1-18: George Bouzianis and Lane P. Hughston