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 OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED pp. 1-26: Maren Diane Schmeck
PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION pp. 1-36: Sangmin Lee and Andrew Papanicolaou
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
A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS pp. 1-23: Karl Friedrich Hofmann and Thorsten Schulz
MULTIPLE TESTING OF SIGN SYMMETRY FOR STOCK RETURN DISTRIBUTIONS pp. 1-14: Petr Koldanov and Nina Lozgacheva
RANDOM TIME FORWARD-STARTING OPTIONS pp. 1-25: F. Antonelli, Alessandro Ramponi and S. Scarlatti

PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS pp. 1-25: Alet Roux
SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES pp. 1-32: Carole Bernard and Junsen Tang
ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL pp. 1-12: Miklós Rásonyi
EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS pp. 1-21: Matthias Scherer and Thorsten Schulz
NOTE ON THE SMITH–WILSON INTEREST RATE CURVE pp. 1-16: Florian Gach
MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS pp. 1-29: Markus Hess
DYNAMIC BALANCE SHEET MODEL WITH LIQUIDITY RISK pp. 1-37: Grzegorz Halaj

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
MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS pp. 1-57: Alexander Lipton
A NOTE ON UTILITY INDIFFERENCE PRICING pp. 1-17: Johannes Gerer and Gregor Dorfleitner
INVESTOR'S SENTIMENT IN MULTI-AGENT MODEL OF THE CONTINUOUS DOUBLE AUCTION pp. 1-29: Alexander Lykov, Stepan Muzychka and Kirill Vaninsky
ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS pp. 1-18: Álvaro Cartea and Sebastian Jaimungal
ON THE HESTON MODEL WITH STOCHASTIC CORRELATION pp. 1-25: Long Teng, Matthias Ehrhardt and Michael Günther

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
ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES pp. 1-31: Richard Jordan and Charles Tier
LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION pp. 1-28: Fabio Caccioli, Imre Kondor, Matteo Marsili and Susanne Still
AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY pp. 1-29: Weiping Li and Tim Krehbiel
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

HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS pp. 1-49: Mark Broadie and Weiwei Shen
ALGORITHMIC TRADING WITH LEARNING pp. 1-30: Álvaro Cartea, Sebastian Jaimungal and Damir Kinzebulatov
GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING pp. 1-34: Akira Yamazaki
PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT pp. 1-18: Jia Miao and Jason Laws
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

A COMPARATIVE STUDY OF MONOTONE QUANTILE REGRESSION METHODS FOR FINANCIAL RETURNS pp. 1-16: Yuzhi Cai
FIXING RISK NEUTRAL RISK MEASURES pp. 1-28: Harvey J. Stein
CONIC PORTFOLIO THEORY pp. 1-42: Dilip B. Madan
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
LEARNING AND PORTFOLIO DECISIONS FOR CRRA INVESTORS pp. 1-21: Michele Longo and Alessandra Mainini
APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL pp. 1-32: Andrzej Daniluk and Rafał Muchorski

INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS pp. 1-37: Rama Cont and Lakshithe Wagalath
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
WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES pp. 1-36: Christoph Belak, Sören Christensen and Olaf Menkens
NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS pp. 1-27: Takuji Arai, Yuto Imai and Ryoichi Suzuki
A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES pp. 1-26: J. X. Jiang, R. H. Liu and D. Nguyen
GENERALIZED BN–S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING pp. 1-23: Indranil Sengupta
ON ROBUSTNESS OF THE BLACK–SCHOLES PARTIAL DIFFERENTIAL EQUATION MODEL pp. 1-11: Miklavz Mastinsek

BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS pp. 1-19: Robert Jarrow
PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE pp. 1-39: Gabriel Frahm
OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET pp. 1-26: Etienne Chevalier, Vathana Ly Vath, Simone Scotti and Alexandre Roch
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
CAPITAL STRUCTURE AND TAX CONVEXITY WHEN THE MATURITY OF DEBT IS FINITE pp. 1-20: Sami Attaoui
PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES pp. 1-22: Fred Espen Benth and Hanna Zdanowicz