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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COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK pp. 1-31: Qian Feng and Cornelis Oosterlee
MEASURING AND MONITORING THE EFFICIENCY OF MARKETS pp. 1-32: Dilip B. Madan, Wim Schoutens and King Wang
INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS pp. 1-32: Zhenyu Cui, J. Lars Kirkby, Guanghua Lian and Duy Nguyen
RISE AND FALL OF SYNTHETIC CDO MARKET: LESSONS LEARNED pp. 1-28: JABłECKI Juliusz
A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES pp. 1-39: Robert Jarrow
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET pp. 1-24: Svetlozar T. Rachev, Stoyan V. Stoyanov and Frank Fabozzi
BEHAVIORAL VALUE ADJUSTMENTS pp. 1-37: Matteo Bissiri and Riccardo Cogo

HIGH UNCERTAINTY FINANCING pp. 1-24: Nick Georgiopoulos
NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD pp. 1-22: Chi Man Leung and Yue Kuen Kwok
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS pp. 1-35: Frédéric Vrins
AN EXPLICIT IMPLIED VOLATILITY FORMULA pp. 1-32: Dan Stefanica and Radoš Radoičić
IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION pp. 1-26: Álvaro Cartea and Sebastian Jaimungal
DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS pp. 1-26: Eduard Kromer and Ludger Overbeck
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION pp. 1-26: F. Cong and Cornelis Oosterlee

STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL pp. 1-22: Ioane Muni Toke
BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM pp. 1-18: Pingjin Deng and Xiufang Li
SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION pp. 1-21: Denis Belomestny, Wolfgang Härdle and Ekaterina Krymova
DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS pp. 1-27: Nicola Moreni and Andrea Pallavicini
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY pp. 1-10: Erhan Bayraktar and Zhou Zhou
LOGISTIC MODEL FOR STOCK MARKET BUBBLES AND ANTI-BUBBLES pp. 1-24: Christopher Lynch and Benjamin Mestel
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH pp. 1-33: Tim Leung and Hyungbin Park

ANALYTIC PRICING OF CoCo BONDS pp. 1-26: Colin Turfus and Alexander Shubert
ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs pp. 1-27: Sergei Levendorskiĭ
THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT pp. 1-23: Takashi Kato
SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES pp. 1-48: Çağin Ararat, Andreas H. Hamel and Birgit Rudloff
ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS pp. 1-21: Vitalii Makogin, Alexander Melnikov and Yuliya Mishura
EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY pp. 1-13: Nicole Bäuerle and Stefanie Grether
TIGHTER BOUNDS FOR IMPLIED VOLATILITY pp. 1-14: Jim Gatheral, Ivan Matić, Radoš Radoičić and Dan Stefanica

AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK pp. 1-38: Riccardo Rebonato
PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES pp. 1-34: Thamayanthi Chellathurai
EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT pp. 1-34: Xiaoyang Zhuo and Olivier Menoukeu-Pamen
THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS pp. 1-48: J. N. Dewynne and N. El-Hassan
IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING pp. 1-39: Erindi Allaj
THE BRITISH ASSET-OR-NOTHING PUT OPTION pp. 1-19: Min Gao
EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT pp. 1-41: Jörn Sass, Dorothee Westphal and Ralf Wunderlich

FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES pp. 1-48: Leif Döring, Blanka Horvath and Josef Teichmann
SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL pp. 1-27: Yue Liu and Nicolas Privault
ON THE CALCULATION OF RISK MEASURES USING LEAST-SQUARES MONTE CARLO pp. 1-14: Giuseppe Benedetti
OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION pp. 1-32: Bin Zou
ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING pp. 1-32: P. A. Forsyth and K. R. Vetzal
GENERAL SEMI-MARKOV MODEL FOR LIMIT ORDER BOOKS pp. 1-21: Anatoliy Swishchuk, Tyler Hofmeister, Katharina Cera and Julia Schmidt
OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY pp. 1-41: Wahid Faidi, Anis Matoussi and Mohamed Mnif

CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs pp. 1-44: Jaka Gogala and Joanne E. Kennedy
EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY pp. 1-28: Akira Yamazaki
GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS pp. 1-15: Takuji Arai
ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING pp. 1-20: Hans-Peter Bermin and Gareth Williams
CONIC TRADING IN A MARKOVIAN STEADY STATE pp. 1-22: Dilip B. Madan, Martijn Pistorius and Wim Schoutens
PERFORMANCE ANALYSIS OF THE OPTIMAL STRATEGY UNDER PARTIAL INFORMATION pp. 1-21: Ahmed Bel Hadj Ayed, Grégoire Loeper, Sofiene El Aoud and Frédéric Abergel
ROBUST TRADING OF IMPLIED SKEW pp. 1-41: Sergey Nadtochiy and OBłÓJ Jan

ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS pp. 1-22: Norman Josephy, Lucia Kimball and Victoria Steblovskaya
OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS pp. 1-16: Rossella Agliardi and Ramazan Gencay
CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION pp. 1-37: Vinicius Albani, Adriano de Cezaro and Jorge P. Zubelli
A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK pp. 1-33: Angelos Dassios and Hongbiao Zhao
NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING pp. 1-38: Nemat Safarov and Colin Atkinson
LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS pp. 1-26: Lakshithe Wagalath
COHERENT FOREIGN EXCHANGE MARKET MODELS pp. 1-29: Alessandro Gnoatto