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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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
CONSTANT MATURITY TREASURY CONVEXITY CORRECTION pp. 1-15: Mario Pucci
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
A NEW ARGUMENT IN FAVOR OF HYPERBOLIC DISCOUNTING IN VERY LONG TERM PROJECT APPRAISAL pp. 1-17: Salvador Cruz Rambaud

THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION pp. 1-30: Anthonie W. van der Stoep, Lech Grzelak and Cornelis Oosterlee
CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION pp. 1-44: Donatien Hainaut and Christian Yann Robert
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
HEAT KERNEL MODELS FOR ASSET PRICING pp. 1-34: Andrea Macrina
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

EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL pp. 1-13: Alexander Buryak and Ivan Guo
THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE pp. 1-25: Mathieu Gatumel and Florian Ielpo
JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS pp. 1-29: Gregor Dorfleitner and Tamara Pfister
AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL pp. 1-16: Beáta Stehlíková and Luca Capriotti
THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS pp. 1-26: Elisa Appolloni, Marcellino Gaudenzi and Antonino Zanette
OPTIMALITY OF PAYOFFS IN LÉVY MODELS pp. 1-46: Ernst August von Hammerstein, Eva Lütkebohmert, Ludger Rüschendorf and Viktor Wolf
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

MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY pp. 1-33: Kaj Nyström, Sidi Mohamed Ould Aly and Changyong Zhang
REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS pp. 1-16: Eduard Kromer and Ludger Overbeck
BINARY MARKETS UNDER TRANSACTION COSTS pp. 1-27: Fernando Cordero, Irene Klein and Lavinia Perez-Ostafe
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
EVOLUTION OF FIRM SIZE pp. 1-15: Lukas Gonon and L. C. G. Rogers

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
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
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
A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS pp. 1-18: R. H. Liu

PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS pp. 1-13: Hannah Dyrssen, Erik Ekström and Johan Tysk
EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS pp. 1-36: Lokman A. Abbas-Turki and Damien Lamberton
CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS pp. 1-41: Masaaki Kijima and Chi Chung Siu
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
BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE pp. 1-24: Francesca Biagini and Maximilian Härtel
A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS pp. 1-14: Brendan O'Donoghue, Matthew Peacock, Jacky Lee and Luca Capriotti

EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION pp. 1-32: Emmanuel Gobet and Julien Hok
AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS pp. 1-33: Andreas Löhne and Birgit Rudloff
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
VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS pp. 1-35: Chuan-Hsiang Han, Wei-Han Liu and Tzu-Ying Chen
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

ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE? pp. 1-33: Raimund Kovacevic and Georg Ch Pflug
THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM pp. 1-47: Christopher Beveridge and Mark Joshi
VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES pp. 1-26: Eva Lütkebohmert and Lydienne Matchie
TWO PROCESSES FOR TWO PRICES pp. 1-19: Dilip B. Madan and Wim Schoutens
LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS pp. 1-15: Guoping Xu and Harry Zheng
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