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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DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS pp. 1-14: Sühan Altay, Stefan Gerhold, Rainer Haidinger and Karin Hirhager
LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS pp. 1-35: Stefano Pagliarani and Andrea Pascucci
NUMERICAL PROCEDURES FOR A WRONG WAY RISK MODEL WITH LOGNORMAL HAZARD RATES AND GAUSSIAN INTEREST RATES pp. 1-33: Leslie Ng
AUTOMATED OPTION PRICING: NUMERICAL METHODS pp. 1-27: Pierre Henry-Labordère
THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS pp. 1-20: Martin Forde and Andrey Pogudin
A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS pp. 1-29: Henrik Hult, Filip Lindskog and Johan Nykvist
SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES pp. 1-15: Paolo Baldi and Camilla Pisani
NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS pp. 1-25: Ionut Florescu, Ruihua Liu, Maria Cristina Mariani and Granville Sewell

OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH pp. 1-45: Mohamed Mnif
BILATERAL COUNTERPARTY RISK VALUATION OF CDS CONTRACTS WITH SIMULTANEOUS DEFAULTS pp. 1-20: Long Teng, Matthias Ehrhardt and Michael Günther
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE pp. 1-20: Christian Gourieroux and Alain Monfort
CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK pp. 1-40: Cyril Durand and Marek Rutkowski
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING pp. 1-17: Igor Halperin and Andrey Itkin
EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS pp. 1-30: Michael Ludkovski and Qunying Shen

A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES pp. 1-7: Ralf Korn and Frank Thomas Seifried
VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS pp. 1-29: Sebastian Jaimungal and Vladimir Surkov
ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES pp. 1-17: Yukihiro Tsuzuki
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW pp. 1-30: Janis Back and Marcel Prokopczuk
RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY pp. 1-27: Alexandre Roch and H. Mete Soner

AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES pp. 1-24: Cristin Buescu, Michael Taksar and Fatoumata J. Koné
IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS pp. 1-51: Joanne E. Kennedy and Duy Pham
REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK pp. 1-30: Edward Driffill, Turalay Kenc and Martin Sola
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS pp. 1-38: Sergio Ortobelli Lozza, Haim Shalit and Frank Fabozzi
PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS pp. 1-36: G. Campolieti, R. Makarov and K. Wouterloot
A MATHEMATICAL APPROACH TO ORDER BOOK MODELING pp. 1-40: Frédéric Abergel and Aymen Jedidi
NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME pp. 1-23: Akihiko Takahashi and Masashi Toda

THE INTERSECTION BETWEEN EUROPEAN PUT PRICE AND ITS PAYOFF FUNCTION pp. 1-14: Jin E. Zhang, Shoujun Huang and Tiecheng Li
CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS pp. 1-28: Carl Chiarella, Samuel Chege Maina and Christina Nikitopoulos-Sklibosios
LIBOR MARKET MODEL UNDER THE REAL-WORLD MEASURE pp. 1-18: Takashi Yasuoka
CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK pp. 1-26: Martin Hellmich, Stefan Kassberger and Wolfgang M. Schmidt
FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? pp. 1-20: Sergio M. Focardi and Frank Fabozzi
PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL pp. 1-43: Tamal Banerjee, Mrinal K. Ghosh and Srikanth K. Iyer
EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL pp. 1-23: Dan Pirjol

PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS pp. 1-35: Conall O'Sullivan and Stephen O'Sullivan
A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY pp. 1-14: Hui Li
CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL pp. 1-38: Simon J. A. Malham and Anke Wiese
ON VALUATION WITH STOCHASTIC PROPORTIONAL HAZARD MODELS IN FINANCE pp. 1-34: Akira Yamazaki
MONOTONICITY OF PRICES IN HESTON MODEL pp. 1-23: S. M. Ould Aly
LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL pp. 1-15: Guillaume Coqueret
EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS pp. 1-40: Svetlana Boyarchenko and Sergei Levendorskiĭ

PREFACE pp. 1-9: Stéphane Crépey
COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA pp. 1-31: Stéphane Crépey, Rémi Gerboud, Zorana Grbac and Nathalie Ngor
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK pp. 1-16: Damiano Brigo, Agostino Capponi, Andrea Pallavicini and Vasileios Papatheodorou
INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA pp. 1-29: S. Crépey, M. Jeanblanc and D. Wu
RESTRUCTURING COUNTERPARTY CREDIT RISK pp. 1-29: Claudio Albanese, Damiano Brigo and Frank Oertel
COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS pp. 1-32: Tomasz R. Bielecki, Igor Cialenco and Ismail Iyigunler

ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS pp. 1-98: Leif Andersen and Alexander Lipton
DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES pp. 1-36: Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler and Rodrigo Rodriguez
PRIORITY OPTION: THE VALUE OF BEING A LEADER pp. 1-37: M. R. Grasselli, V. Leclère and M. Ludkovski
CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY pp. 1-23: Nikolai Dokuchaev
PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS pp. 1-18: Lorenzo Torricelli