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 20, issue 08, 2017
- FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET pp. 1-24

- Svetlozar T. Rachev, Stoyan V. Stoyanov and Frank Fabozzi
- RISE AND FALL OF SYNTHETIC CDO MARKET: LESSONS LEARNED pp. 1-28

- JABłECKI Juliusz
- BEHAVIORAL VALUE ADJUSTMENTS pp. 1-37

- Matteo Bissiri and Riccardo Cogo
- A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES pp. 1-39

- Robert Jarrow
- 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
Volume 20, issue 07, 2017
- AN EXPLICIT IMPLIED VOLATILITY FORMULA pp. 1-32

- Dan Stefanica and Radoš Radoičić
- NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD pp. 1-22

- Chi Man Leung and Yue Kuen Kwok
- 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
- HIGH UNCERTAINTY FINANCING pp. 1-24

- Nick Georgiopoulos
- WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS pp. 1-35

- Frédéric Vrins
Volume 20, issue 06, 2017
- BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM pp. 1-18

- Pingjin Deng and Xiufang Li
- STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL pp. 1-22

- Ioane Muni Toke
- 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
- SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY pp. 1-10

- Erhan Bayraktar and Zhou Zhou
- LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH pp. 1-33

- Tim Leung and Hyungbin Park
- DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS pp. 1-27

- Nicola Moreni and Andrea Pallavicini
- LOGISTIC MODEL FOR STOCK MARKET BUBBLES AND ANTI-BUBBLES pp. 1-24

- Christopher Lynch and Benjamin Mestel
Volume 20, issue 05, 2017
- THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT pp. 1-23

- Takashi Kato
- ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs pp. 1-27

- Sergei Levendorskiĭ
- 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
- ANALYTIC PRICING OF CoCo BONDS pp. 1-26

- Colin Turfus and Alexander Shubert
- TIGHTER BOUNDS FOR IMPLIED VOLATILITY pp. 1-14

- Jim Gatheral, Ivan Matić, Radoš Radoičić and Dan Stefanica
- EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY pp. 1-13

- Nicole Bäuerle and Stefanie Grether
Volume 20, issue 04, 2017
- IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING pp. 1-39

- Erindi Allaj
- EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT pp. 1-41

- Jörn Sass, Dorothee Westphal and Ralf Wunderlich
- THE VALUATION OF SELF-FUNDING INSTALMENT WARRANTS pp. 1-48

- J. N. Dewynne and N. El-Hassan
- THE BRITISH ASSET-OR-NOTHING PUT OPTION pp. 1-19

- Min Gao
- 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
- AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK pp. 1-38

- Riccardo Rebonato
Volume 20, issue 03, 2017
- 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
- 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
- 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
Volume 20, issue 02, 2017
- 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
- 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
- CONIC TRADING IN A MARKOVIAN STEADY STATE pp. 1-22

- Dilip B. Madan, Martijn Pistorius and Wim Schoutens
- ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING pp. 1-20

- Hans-Peter Bermin and Gareth Williams
Volume 20, issue 01, 2017
- COHERENT FOREIGN EXCHANGE MARKET MODELS pp. 1-29

- Alessandro Gnoatto
- ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS pp. 1-22

- Norman Josephy, Lucia Kimball and Victoria Steblovskaya
- LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS pp. 1-26

- Lakshithe Wagalath
- 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
- CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION pp. 1-37

- Vinicius Albani, Adriano de Cezaro and Jorge P. Zubelli
- OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS pp. 1-16

- Rossella Agliardi and Ramazan Gencay