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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Volume 21, issue 08, 2018
- DOUBLE SPEND RACES pp. 1-32

- Cyril Grunspan and Ricardo Pérez-Marco
- PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT pp. 1-36

- Andrea Consiglio, Michele Tumminello and Stavros Zenios
- DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS pp. 1-36

- R. Merino, J. Pospíšil, T. Sobotka and J. Vives
- MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS pp. 1-30

- Shi Qiu and Sovan Mitra
- BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS pp. 1-12

- Ariel Neufeld
- BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO pp. 1-27

- David Bauder, Taras Bodnar, Stepan Mazur and Yarema Okhrin
- A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK pp. 1-34

- Tomasz R. Bielecki, Igor Cialenco and Shibi Feng
Volume 21, issue 07, 2018
- PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT pp. 1-36

- Géraldine Bouveret
- CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY pp. 1-20

- Jiwook Jang, Jong Jun Park and Hyun Jin Jang
- PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER? pp. 1-13

- R. Rebonato
- THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS pp. 1-29

- Weiping Li and Su Chen
- ERRATUM: EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL pp. 1-2

- Jacques van Appel and Thomas A. McWalter
- DRAWDOWN MEASURES AND RETURN MOMENTS pp. 1-42

- Philipp M. Möller
- A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA pp. 1-22

- Cheikh Mbaye and Frédéric Vrins
- PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION pp. 1-24

- Sühan Altay, Katia Colaneri and Zehra Eksi
Volume 21, issue 06, 2018
- PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES pp. 1-28

- Alan de Genaro and Marco Avellaneda
- HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY pp. 1-27

- Dietmar P. J. Leisen
- OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS pp. 1-27

- Jose Faias and Tiago Castel-Branco
- XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS pp. 1-40

- Lokman A. Abbas-Turki, Stéphane Crépey and Babacar Diallo
- BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY pp. 1-30

- T. R. Hurd
- PREFACE pp. 1-4

- Marco Avellaneda, Bruno Dupire and Jorge P. Zubelli
- PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY pp. 1-18

- John Armstrong, Teemu Pennanen and Udomsak Rakwongwan
Volume 21, issue 05, 2018
- MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS pp. 1-32

- Louis-Pierre Arguin, Nien-Lin Liu and Tai-Ho Wang
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS pp. 1-32

- C. Ye, R. H. Liu and D. Ren
- QUANTO PRICING IN STOCHASTIC CORRELATION MODELS pp. 1-20

- Long Teng, Matthias Ehrhardt and Michael Günther
- SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS pp. 1-29

- Niv Nayman
- GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS pp. 1-13

- Tim Byrnes and Tristan Barnett
- ARBITRAGE PRICING THEORY IN ERGODIC MARKETS pp. 1-28

- Gabriel Frahm
- PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS pp. 1-34

- Markus Hess
Volume 21, issue 04, 2018
- CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE” pp. 1-4

- Gabriel Frahm
- INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL pp. 1-41

- Xixuan Han, Boyu Wei and Hailiang Yang
- ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS pp. 1-41

- Roberto Daluiso and Giorgio Facchinetti
- EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL pp. 1-26

- Jacques van Appel and Thomas A. McWalter
- FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS pp. 1-26

- Kuldip Singh Patel and Mani Mehra
- A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY pp. 1-18

- Emilio Russo and Alessandro Staino
- OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP pp. 1-19

- Roman V. Ivanov
- LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS pp. 1-44

- Panagiotis Christodoulou, Nils Detering and Thilo Meyer-Brandis
Volume 21, issue 03, 2018
- TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE pp. 1-37

- Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
- PREFACE pp. 1-3

- Marco Avellaneda, Bruno Dupire and Jorge P. Zubelli
- A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL pp. 1-21

- Lakshithe Wagalath and Jorge P. Zubelli
- LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS pp. 1-26

- Dorje C. Brody, Lane P. Hughston and David M. Meier
- OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY pp. 1-22

- Carole Bernard, Steven Vanduffel and Jiang Ye
- AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES pp. 1-22

- Raphael Douady and Antoine Kornprobst
- FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT pp. 1-22

- Yuri F. Saporito
- THE POTENTIAL APPROACH IN PRACTICE pp. 1-30

- T. Kluge and L. C. G. Rogers
Volume 21, issue 02, 2018
- DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION pp. 1-38

- Martin Schweizer, Danijel Zivoi and Mario Šikić
- SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW pp. 1-16

- Federico de Olivera, José Fajardo and Ernesto Mordecki
- EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL pp. 1-43

- Julien Hok, Philip Ngare and Antonis Papapantoleon
- PREFACE pp. 1-2

- José Manuel Corcuera and Wim Schoutens
- CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS pp. 1-15

- Tommi Sottinen and Lauri Viitasaari
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON pp. 1-41

- José Manuel Corcuera and Giulia Di Nunno
- MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES pp. 1-26

- Florence Guillaume
- CONIC CPPIs pp. 1-20

- Ine Marquet and Wim Schoutens
Volume 21, issue 01, 2018
- SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS pp. 1-38

- Louis Bhim and Reiichiro Kawai
- SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL pp. 1-25

- Dan Pirjol and Lingjiong Zhu
- EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING pp. 1-45

- Michael A. Kouritzin
- DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS pp. 1-41

- David Criens
- MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS pp. 1-22

- Yerkin Kitapbayev and Tim Leung
- ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY pp. 1-21

- Pavel V. Gapeev, Oliver Brockhaus and Mathieu Dubois
- MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS pp. 1-30

- Marina Marena, Andrea Romeo and Patrizia Semeraro