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.

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

EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS pp. 1-30: Michael Ludkovski and Qunying Shen
OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH pp. 1-45: Mohamed Mnif
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING pp. 1-17: Igor Halperin and Andrey Itkin
CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK pp. 1-40: Cyril Durand and Marek Rutkowski
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

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
A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES pp. 1-7: Ralf Korn and Frank Thomas Seifried
RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY pp. 1-27: Alexandre Roch and H. Mete Soner
VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS pp. 1-29: Sebastian Jaimungal and Vladimir Surkov

A MATHEMATICAL APPROACH TO ORDER BOOK MODELING pp. 1-40: Frédéric Abergel and Aymen Jedidi
IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS pp. 1-51: Joanne E. Kennedy and Duy Pham
PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS pp. 1-36: G. Campolieti, R. Makarov and K. Wouterloot
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS pp. 1-38: Sergio Ortobelli Lozza, Haim Shalit and Frank Fabozzi
NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME pp. 1-23: Akihiko Takahashi and Masashi Toda
REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK pp. 1-30: Edward Driffill, Turalay Kenc and Martin Sola
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

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

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

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
COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS pp. 1-32: Tomasz R. Bielecki, Igor Cialenco and Ismail Iyigunler
PREFACE pp. 1-9: Stéphane Crépey
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

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
ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS pp. 1-98: Leif Andersen and Alexander Lipton
PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS pp. 1-18: Lorenzo Torricelli
CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY pp. 1-23: Nikolai Dokuchaev
PRIORITY OPTION: THE VALUE OF BEING A LEADER pp. 1-37: M. R. Grasselli, V. Leclère and M. Ludkovski