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 19, issue 08, 2016
- A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS pp. 1-23

- Karl Friedrich Hofmann and Thorsten Schulz
- RANDOM TIME FORWARD-STARTING OPTIONS pp. 1-25

- F. Antonelli, Alessandro Ramponi and S. Scarlatti
- LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS pp. 1-16

- Mark Joshi and Oh Kang Kwon
- SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS pp. 1-33

- M. Alessandra Crisafi and Andrea Macrina
- PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION pp. 1-36

- Sangmin Lee and Andrew Papanicolaou
- PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED pp. 1-26

- Maren Diane Schmeck
- MULTIPLE TESTING OF SIGN SYMMETRY FOR STOCK RETURN DISTRIBUTIONS pp. 1-14

- Petr Koldanov and Nina Lozgacheva
Volume 19, issue 07, 2016
- SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES pp. 1-32

- Carole Bernard and Junsen Tang
- MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS pp. 1-29

- Markus Hess
- EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS pp. 1-21

- Matthias Scherer and Thorsten Schulz
- ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL pp. 1-12

- Miklós Rásonyi
- NOTE ON THE SMITH–WILSON INTEREST RATE CURVE pp. 1-16

- Florian Gach
- PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS pp. 1-25

- Alet Roux
- DYNAMIC BALANCE SHEET MODEL WITH LIQUIDITY RISK pp. 1-37

- Grzegorz Halaj
Volume 19, issue 06, 2016
- MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS pp. 1-57

- Alexander Lipton
- ON THE HESTON MODEL WITH STOCHASTIC CORRELATION pp. 1-25

- Long Teng, Matthias Ehrhardt and Michael Günther
- INVESTOR'S SENTIMENT IN MULTI-AGENT MODEL OF THE CONTINUOUS DOUBLE AUCTION pp. 1-29

- Alexander Lykov, Stepan Muzychka and Kirill Vaninsky
- A TWO-FACTOR JUMP-DIFFUSION MODEL FOR PRICING CONVERTIBLE BONDS WITH DEFAULT RISK pp. 1-26

- Radha Krishn Coonjobeharry, Désiré Yannick Tangman and Muddun Bhuruth
- ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS pp. 1-18

- Álvaro Cartea and Sebastian Jaimungal
- A NOTE ON UTILITY INDIFFERENCE PRICING pp. 1-17

- Johannes Gerer and Gregor Dorfleitner
Volume 19, issue 05, 2016
- EFFICIENT HEDGING OF PATH–DEPENDENT OPTIONS pp. 1-27

- Adam W. Kolkiewicz
- DOUBLE CASCADE MODEL OF FINANCIAL CRISES pp. 1-27

- T. R. Hurd, Davide Cellai, Sergey Melnik and Quentin H. Shao
- LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION pp. 1-28

- Fabio Caccioli, Imre Kondor, Matteo Marsili and Susanne Still
- PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY pp. 1-37

- Gregor Heyne, Michael Kupper and Ludovic Tangpi
- SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL pp. 1-37

- Nicolas Langrené, Geoffrey Lee and Zili Zhu
- ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES pp. 1-31

- Richard Jordan and Charles Tier
- AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY pp. 1-29

- Weiping Li and Tim Krehbiel
Volume 19, issue 04, 2016
- PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT pp. 1-18

- Jia Miao and Jason Laws
- ALGORITHMIC TRADING WITH LEARNING pp. 1-30

- Álvaro Cartea, Sebastian Jaimungal and Damir Kinzebulatov
- HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS pp. 1-49

- Mark Broadie and Weiwei Shen
- GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING pp. 1-34

- Akira Yamazaki
- STRONG BUBBLES AND STRICT LOCAL MARTINGALES pp. 1-44

- Martin Herdegen and Martin Schweizer
- RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL pp. 1-28

- Michele Leonardo Bianchi, Gian Luca Tassinari and Frank Fabozzi
- OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION pp. 1-27

- Anton A. Shardin and Michaela Szölgyenyi
Volume 19, issue 03, 2016
- FIXING RISK NEUTRAL RISK MEASURES pp. 1-28

- Harvey J. Stein
- A COMPARATIVE STUDY OF MONOTONE QUANTILE REGRESSION METHODS FOR FINANCIAL RETURNS pp. 1-16

- Yuzhi Cai
- THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE pp. 1-19

- Guangli Xu, Shiyu Song and Yongjin Wang
- TRAJECTORY-BASED MODELS, ARBITRAGE AND CONTINUITY pp. 1-34

- Alexander Alvarez and Sebastian E. Ferrando
- APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL pp. 1-32

- Andrzej Daniluk and Rafał Muchorski
- CONIC PORTFOLIO THEORY pp. 1-42

- Dilip B. Madan
- LEARNING AND PORTFOLIO DECISIONS FOR CRRA INVESTORS pp. 1-21

- Michele Longo and Alessandra Mainini
Volume 19, issue 02, 2016
- INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS pp. 1-37

- Rama Cont and Lakshithe Wagalath
- ON ROBUSTNESS OF THE BLACK–SCHOLES PARTIAL DIFFERENTIAL EQUATION MODEL pp. 1-11

- Miklavz Mastinsek
- NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS pp. 1-27

- Takuji Arai, Yuto Imai and Ryoichi Suzuki
- GENERALIZED BN–S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING pp. 1-23

- Indranil Sengupta
- RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES pp. 1-29

- Wendong Zheng, Chi Hung Yuen and Yue Kuen Kwok
- A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES pp. 1-26

- J. X. Jiang, R. H. Liu and D. Nguyen
- WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES pp. 1-36

- Christoph Belak, Sören Christensen and Olaf Menkens
Volume 19, issue 01, 2016
- BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS pp. 1-19

- Robert Jarrow
- SHRINKAGE ESTIMATION OF MEAN-VARIANCE PORTFOLIO pp. 1-25

- Yan Liu, Ngai Hang Chan, Chi Tim Ng and Samuel Po Shing Wong
- THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING pp. 1-25

- Carl Chiarella, Les Clewlow and Boda Kang
- PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES pp. 1-22

- Fred Espen Benth and Hanna Zdanowicz
- OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET pp. 1-26

- Etienne Chevalier, Vathana Ly Vath, Simone Scotti and Alexandre Roch
- PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE pp. 1-39

- Gabriel Frahm
- CAPITAL STRUCTURE AND TAX CONVEXITY WHEN THE MATURITY OF DEBT IS FINITE pp. 1-20

- Sami Attaoui