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 18, issue 08, 2015

MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING pp. 1-35

Christophette Blanchet-Scalliet, Etienne Chevalier, Idris Kharroubi and Thomas Lim

OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS pp. 1-72

Patrick Assonken and G. S. Ladde

JOINING THE HESTON AND A THREE-FACTOR SHORT RATE MODEL: A CLOSED-FORM APPROACH pp. 1-17

Roman Horsky and Tilman Sayer

OPTION PRICING BASED ON A LOG–SKEW–NORMAL MIXTURE pp. 1-22

Jose Jimenez Moscoso, V. Arunachalam and G. M. Serna

THE STRESS-DEPENDENT RANDOM WALK pp. 1-16

Martin Gremm

ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL pp. 1-18

Fatma Haba and Antoine Jacquier

VALUATION OF OPTIONS ON OIL FUTURES UNDER THE 3/4 OIL PRICE MODEL pp. 1-12

Mohammed A. Aba Oud and Joanna Goard

Volume 18, issue 07, 2015

UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH pp. 1-43

Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamaï and Anthony Réveillac

THE MULTI-CURVE POTENTIAL MODEL pp. 1-32

The Anh Nguyen and Frank Thomas Seifried

EFFICIENT HEDGING FOR DEFAULTABLE SECURITIES AND ITS APPLICATION TO EQUITY-LINKED LIFE INSURANCE CONTRACTS pp. 1-28

Alexander Melnikov and Amir Nosrati

QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES pp. 1-16

Thilo A. Schmitt, Rudi Schäfer, Holger Dette and Thomas Guhr

COUPLED NETWORK APPROACH TO PREDICTABILITY OF FINANCIAL MARKET RETURNS AND NEWS SENTIMENTS pp. 1-26

Chester Curme, H. Eugene Stanley and Irena Vodenska

FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS pp. 1-26

Pingping Zeng, Yue Kuen Kwok and Wendong Zheng

FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION pp. 1-26

Tianyang Nie and Marek Rutkowski

Volume 18, issue 06, 2015

ON THE ROLE OF SKEWNESS, KURTOSIS, AND THE LOCATION AND SCALE CONDITION IN A SHARPE RATIO PERFORMANCE EVALUATION SETTING pp. 1-13

Benjamin R. Auer

CALIBRATION OF STOCHASTIC VOLATILITY MODELS VIA SECOND-ORDER APPROXIMATION: THE HESTON CASE pp. 1-31

Elisa Alòs, Rafael de Santiago and Josep Vives

THE 3/2 MODEL AS A STOCHASTIC VOLATILITY APPROXIMATION FOR A LARGE-BASKET PRICE-WEIGHTED INDEX pp. 1-25

Ben Hambly and Juozas Vaicenavicius

A CHANGE OF MEASURE PRESERVING THE AFFINE STRUCTURE IN THE BARNDORFF-NIELSEN AND SHEPHARD MODEL FOR COMMODITY MARKETS pp. 1-40

Fred Espen Benth and Salvador Ortiz-Latorre

COMPUTATION OF GREEKS FOR JUMP-DIFFUSION MODELS pp. 1-30

M'Hamed Eddahbi, Sidi Mohamed Lalaoui Ben Cherif and Abdelaziz Nasroallah

CONDITIONAL ASIAN OPTIONS pp. 1-24

Runhuan Feng and Hans W. Volkmer

THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS pp. 1-38

Anthonie W. van der Stoep, Lech Grzelak and Cornelis Oosterlee

Volume 18, issue 05, 2015

CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS pp. 1-26

Fernando Cordero and Lavinia Perez-Ostafe

REGULATORY CAPITAL MODELING FOR CREDIT RISK pp. 1-44

Marek Rutkowski and Silvio Tarca

CVA AND FVA TO DERIVATIVES TRADES COLLATERALIZED BY CASH pp. 1-22

Lixin Wu

AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING pp. 1-31

Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang

PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING pp. 1-46

Marcos Escobar Anel, Daniela Neykova and Rudi Zagst

HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs pp. 1-24

Andrey Itkin

LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL pp. 1-24

Olivier Menoukeu-Pamen and Romuald Momeya

Volume 18, issue 04, 2015

APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES pp. 1-26

Karl Friedrich Mina, Gerald H. L. Cheang and Carl Chiarella

A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL pp. 1-13

Robert J. Elliott, Leunglung Chan and Tak Kuen Siu

SKEW AND IMPLIED LEVERAGE EFFECT: SMILE DYNAMICS REVISITED pp. 1-15

Vincent Vargas, Tung-Lam Dao and Jean-Philippe Bouchaud

PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING pp. 1-48

Younes Kchia and Philip Protter

SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS pp. 1-14

Erik Ekström and Bing Lu

RETURN-PREDICTING FACTORS FOR US TREASURIES: ON THE SIMILARITY OF "TENTS" AND "BATS" pp. 1-14

Riccardo Rebonato

AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES pp. 1-43

Hideharu Funahashi

Volume 18, issue 03, 2015

PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION pp. 1-44

Marcos Escobar Anel, Barbara Götz, Daniela Neykova and Rudi Zagst

COHERENT CHAOS INTEREST-RATE MODELS pp. 1-27

Dorje C. Brody and Stala Hadjipetri

COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS pp. 1-31

Damiano Brigo, João Garcia and Nicola Pede

CVA WITH WRONG WAY RISK: SENSITIVITIES, VOLATILITY AND HEDGING pp. 1-31

Omar El Hajjaji and Alexander Subbotin

ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY pp. 1-31

Olivier Guéant, Jiang Pu and Guillaume Royer

OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT pp. 1-31

Tim Leung and Xin Li

NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS pp. 1-22

Yukihiro Tsuzuki

Volume 18, issue 02, 2015

FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES pp. 1-35

Fred Espen Benth and Sara Ana Solanilla Blanco

A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING pp. 1-10

Damiano Brigo, Cristin Buescu, Andrea Pallavicini and Qing Liu

THE BRITISH KNOCK-OUT PUT OPTION pp. 1-32

Luluwah Al-Fagih

PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS pp. 1-16

Desislava Chetalova, Thilo A. Schmitt, Rudi Schäfer and Thomas Guhr

LIQUIDITY RISK, INSTEAD OF FUNDING COSTS, LEADS TO A VALUATION ADJUSTMENT FOR DERIVATIVES AND OTHER ASSETS pp. 1-30

Bert-Jan Nauta

RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING pp. 1-25

Emilio Barucci and Daniele Marazzina

LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS pp. 1-25

Archil Gulisashvili

Volume 18, issue 01, 2015

ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS pp. 1-35

Yanbin Shen, J. H. M. Anderluh and J. A. M. van der Weide

ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS pp. 1-21

Francesca Biagini, Julia Bregman and Thilo Meyer-Brandis

CONSISTENT PARALLEL AND PROPORTIONAL SHIFTS IN THE TERM STRUCTURE OF FUTURES PRICES pp. 1-25

Mia Hinnerich

ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS pp. 1-25

Monique Jeanblanc and Marta Leniec

OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS pp. 1-27

Guillaume Bernis, Laurence Carassus, Grégoire Docq and Simone Scotti

WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS pp. 1-34

Claudio Fontana

LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS pp. 1-30

Sascha Desmettre, Ralf Korn and Frank Thomas Seifried