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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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
DOUBLE SPEND RACES pp. 1-32: Cyril Grunspan and Ricardo Pérez-Marco
A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK pp. 1-34: Tomasz R. Bielecki, Igor Cialenco and Shibi Feng
BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS pp. 1-12: Ariel Neufeld
MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS pp. 1-30: Shi Qiu and Sovan Mitra
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO pp. 1-27: David Bauder, Taras Bodnar, Stepan Mazur and Yarema Okhrin

DRAWDOWN MEASURES AND RETURN MOMENTS pp. 1-42: Philipp M. Möller
PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION pp. 1-24: Sühan Altay, Katia Colaneri and Zehra Eksi
A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA pp. 1-22: Cheikh Mbaye and Frédéric Vrins
ERRATUM: EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL pp. 1-2: Jacques van Appel and Thomas A. McWalter
PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER? pp. 1-13: R. Rebonato
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
THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS pp. 1-29: Weiping Li and Su Chen

PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY pp. 1-18: John Armstrong, Teemu Pennanen and Udomsak Rakwongwan
BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY pp. 1-30: T. R. Hurd
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
PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES pp. 1-28: Alan de Genaro and Marco Avellaneda
PREFACE pp. 1-4: Marco Avellaneda, Bruno Dupire and Jorge P. Zubelli
XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS pp. 1-40: Lokman A. Abbas-Turki, Stéphane Crépey and Babacar Diallo

SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS pp. 1-29: Niv Nayman
QUANTO PRICING IN STOCHASTIC CORRELATION MODELS pp. 1-20: Long Teng, Matthias Ehrhardt and Michael Günther
GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS pp. 1-13: Tim Byrnes and Tristan Barnett
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
PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS pp. 1-34: Markus Hess
ARBITRAGE PRICING THEORY IN ERGODIC MARKETS pp. 1-28: Gabriel Frahm

LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS pp. 1-44: Panagiotis Christodoulou, Nils Detering and Thilo Meyer-Brandis
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
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
OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP pp. 1-19: Roman V. Ivanov
CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE” pp. 1-4: Gabriel Frahm

PREFACE pp. 1-3: Marco Avellaneda, Bruno Dupire and Jorge P. Zubelli
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
LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS pp. 1-26: Dorje C. Brody, Lane P. Hughston and David M. Meier
THE POTENTIAL APPROACH IN PRACTICE pp. 1-30: T. Kluge and L. C. G. Rogers
TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE pp. 1-37: Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL pp. 1-21: Lakshithe Wagalath and Jorge P. Zubelli

DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION pp. 1-38: Martin Schweizer, Danijel Zivoi and Mario Šikić
EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL pp. 1-43: Julien Hok, Philip Ngare and Antonis Papapantoleon
CONIC CPPIs pp. 1-20: Ine Marquet and Wim Schoutens
KYLE–BACK’S MODEL WITH A RANDOM HORIZON pp. 1-41: José Manuel Corcuera and Giulia Di Nunno
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
MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES pp. 1-26: Florence Guillaume
SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW pp. 1-16: Federico de Olivera, José Fajardo and Ernesto Mordecki

SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL pp. 1-25: Dan Pirjol and Lingjiong Zhu
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
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
SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS pp. 1-38: Louis Bhim and Reiichiro Kawai
MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS pp. 1-30: Marina Marena, Andrea Romeo and Patrizia Semeraro
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS pp. 1-22: Yerkin Kitapbayev and Tim Leung