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 17, issue 08, 2014
- ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS pp. 1-19

- Fabian Astic and Agnès Tourin
- AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS pp. 1-36

- Alet Roux and Tomasz Zastawniak
- REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY pp. 1-23

- Ekkehard W. Sachs and Marina Schneider
- INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS pp. 1-27

- Giulia Di Nunno and Steffen Sjursen
- ON THE SHAPE OF RISK AVERSION AND ASSET ALLOCATION pp. 1-27

- Pierre Six
- CONSTANT MATURITY TREASURY CONVEXITY CORRECTION pp. 1-15

- Mario Pucci
- A NEW ARGUMENT IN FAVOR OF HYPERBOLIC DISCOUNTING IN VERY LONG TERM PROJECT APPRAISAL pp. 1-17

- Salvador Cruz Rambaud
Volume 17, issue 07, 2014
- CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION pp. 1-44

- Donatien Hainaut and Christian Yann Robert
- HEAT KERNEL MODELS FOR ASSET PRICING pp. 1-34

- Andrea Macrina
- THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION pp. 1-30

- Anthonie W. van der Stoep, Lech Grzelak and Cornelis Oosterlee
- AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION pp. 1-22

- Chia Chun Lo and Konstantinos Skindilias
- MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES pp. 1-31

- Jean-Pierre Fouque, Yuri F. Saporito and Jorge P. Zubelli
- ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO pp. 1-29

- Stefan Ankirchner, Christian Pigorsch and Nikolaus Schweizer
- CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS pp. 1-29

- Rüdiger Frey and Lars Rösler
Volume 17, issue 06, 2014
- THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE pp. 1-25

- Mathieu Gatumel and Florian Ielpo
- THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS pp. 1-26

- Elisa Appolloni, Marcellino Gaudenzi and Antonino Zanette
- AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL pp. 1-16

- Beáta Stehlíková and Luca Capriotti
- CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE pp. 1-22

- Stephane Dang-Nguyen, Jean-Marc Le Caillec and Alain Hillion
- EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL pp. 1-13

- Alexander Buryak and Ivan Guo
- JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS pp. 1-29

- Gregor Dorfleitner and Tamara Pfister
- OPTIMALITY OF PAYOFFS IN LÉVY MODELS pp. 1-46

- Ernst August von Hammerstein, Eva Lütkebohmert, Ludger Rüschendorf and Viktor Wolf
Volume 17, issue 05, 2014
- MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY pp. 1-33

- Kaj Nyström, Sidi Mohamed Ould Aly and Changyong Zhang
- ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS pp. 1-20

- Hans-Peter Bermin
- METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES pp. 1-58

- Sergei Levendorskiĭ
- BINARY MARKETS UNDER TRANSACTION COSTS pp. 1-27

- Fernando Cordero, Irene Klein and Lavinia Perez-Ostafe
- EVOLUTION OF FIRM SIZE pp. 1-15

- Lukas Gonon and L. C. G. Rogers
- REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS pp. 1-16

- Eduard Kromer and Ludger Overbeck
Volume 17, issue 04, 2014
- A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS pp. 1-18

- R. H. Liu
- CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM pp. 1-34

- Gian Luca Tassinari and Michele Leonardo Bianchi
- CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES pp. 1-34

- Minqiang Li and Fabio Mercurio
- UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS pp. 1-27

- Christian Bayer and Bezirgen Veliyev
- EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK pp. 1-23

- Cornelis S. L. de Graaf, Qian Feng, Drona Kandhai and Cornelis Oosterlee
- PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS pp. 1-32

- Timothee Papin and Gabriel Turinici
- CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL pp. 1-24

- Fabien Heuwelyckx
Volume 17, issue 03, 2014
- OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR pp. 1-26

- Robert J. Elliott and Ahmed S. Hamada
- UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES pp. 1-44

- Alexander M. G. Cox, David Hobson and OBłÓJ Jan
- CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS pp. 1-41

- Masaaki Kijima and Chi Chung Siu
- PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS pp. 1-13

- Hannah Dyrssen, Erik Ekström and Johan Tysk
- A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS pp. 1-14

- Brendan O'Donoghue, Matthew Peacock, Jacky Lee and Luca Capriotti
- EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS pp. 1-36

- Lokman A. Abbas-Turki and Damien Lamberton
- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE pp. 1-24

- Francesca Biagini and Maximilian Härtel
Volume 17, issue 02, 2014
- THE CARMA INTEREST RATE MODEL pp. 1-27

- Arne Andresen, Fred Espen Benth, Steen Koekebakker and Valeriy Zakamulin
- VECTOR-VALUED COHERENT RISK MEASURE PROCESSES pp. 1-28

- Imen Ben Tahar and Emmanuel Lépinette
- STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD pp. 1-22

- Hideyuki Tanaka and Toshihiro Yamada
- OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS pp. 1-31

- Budhi Arta Surya and Kazutoshi Yamazaki
- EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION pp. 1-32

- Emmanuel Gobet and Julien Hok
- VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS pp. 1-35

- Chuan-Hsiang Han, Wei-Han Liu and Tzu-Ying Chen
- AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS pp. 1-33

- Andreas Löhne and Birgit Rudloff
Volume 17, issue 01, 2014
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES pp. 1-26

- Eva Lütkebohmert and Lydienne Matchie
- VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE pp. 1-23

- Masaaki Fukasawa
- COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES pp. 1-23

- Giovanni Salvi and Anatoliy V. Swishchuk
- TWO PROCESSES FOR TWO PRICES pp. 1-19

- Dilip B. Madan and Wim Schoutens
- THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM pp. 1-47

- Christopher Beveridge and Mark Joshi
- LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS pp. 1-15

- Guoping Xu and Harry Zheng
- ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE? pp. 1-33

- Raimund Kovacevic and Georg Ch Pflug