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.

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

THE STRESS-DEPENDENT RANDOM WALK pp. 1-16

Martin Gremm

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

Mohammed A. Aba Oud and Joanna Goard

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

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

ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL pp. 1-18

Fatma Haba and Antoine Jacquier

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

Roman Horsky and Tilman Sayer

Volume 18, issue 07, 2015

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

Alexander Melnikov and Amir Nosrati

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

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

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

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

Volume 18, issue 06, 2015

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

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

Ben Hambly and Juozas Vaicenavicius

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

Elisa Alòs, Rafael de Santiago and Josep Vives

CONDITIONAL ASIAN OPTIONS pp. 1-24

Runhuan Feng and Hans W. Volkmer

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

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

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

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

Volume 18, issue 05, 2015

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

Lixin Wu

REGULATORY CAPITAL MODELING FOR CREDIT RISK pp. 1-44

Marek Rutkowski and Silvio Tarca

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

Marcos Escobar Anel, Daniela Neykova and Rudi Zagst

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

Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang

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

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

Fernando Cordero and Lavinia Perez-Ostafe

Volume 18, issue 04, 2015

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

Hideharu Funahashi

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

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

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

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

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

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

Robert J. Elliott, Leunglung Chan and Tak Kuen Siu

Volume 18, issue 03, 2015

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

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

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

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

Yukihiro Tsuzuki

Volume 18, issue 02, 2015

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

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

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

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

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

Luluwah Al-Fagih

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

Damiano Brigo, Cristin Buescu, Andrea Pallavicini and Qing Liu

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

Bert-Jan Nauta

Volume 18, issue 01, 2015

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

Claudio Fontana

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

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

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

Guillaume Bernis, Laurence Carassus, Grégoire Docq and Simone Scotti

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

Sascha Desmettre, Ralf Korn and Frank Thomas Seifried