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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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
PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED pp. 1-26: Maren Diane Schmeck
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
PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION pp. 1-36: Sangmin Lee and Andrew Papanicolaou
MULTIPLE TESTING OF SIGN SYMMETRY FOR STOCK RETURN DISTRIBUTIONS pp. 1-14: Petr Koldanov and Nina Lozgacheva

SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES pp. 1-32: Carole Bernard and Junsen Tang
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
MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS pp. 1-29: Markus Hess
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

ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS pp. 1-18: Álvaro Cartea and Sebastian Jaimungal
MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS pp. 1-57: Alexander Lipton
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
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 NOTE ON UTILITY INDIFFERENCE PRICING pp. 1-17: Johannes Gerer and Gregor Dorfleitner

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

PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT pp. 1-18: Jia Miao and Jason Laws
RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL pp. 1-28: Michele Leonardo Bianchi, Gian Luca Tassinari and Frank Fabozzi
STRONG BUBBLES AND STRICT LOCAL MARTINGALES pp. 1-44: Martin Herdegen and Martin Schweizer
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
ALGORITHMIC TRADING WITH LEARNING pp. 1-30: Álvaro Cartea, Sebastian Jaimungal and Damir Kinzebulatov
OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION pp. 1-27: Anton A. Shardin and Michaela Szölgyenyi

CONIC PORTFOLIO THEORY pp. 1-42: Dilip B. Madan
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
LEARNING AND PORTFOLIO DECISIONS FOR CRRA INVESTORS pp. 1-21: Michele Longo and Alessandra Mainini
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

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

CAPITAL STRUCTURE AND TAX CONVEXITY WHEN THE MATURITY OF DEBT IS FINITE pp. 1-20: Sami Attaoui
PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE pp. 1-39: Gabriel Frahm
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
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS pp. 1-19: Robert Jarrow
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 HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES pp. 1-22: Fred Espen Benth and Hanna Zdanowicz