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 16, issue 08, 2013
- AUTOMATED OPTION PRICING: NUMERICAL METHODS pp. 1-27

- Pierre Henry-Labordère
- NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS pp. 1-25

- Ionut Florescu, Ruihua Liu, Maria Cristina Mariani and Granville Sewell
- NUMERICAL PROCEDURES FOR A WRONG WAY RISK MODEL WITH LOGNORMAL HAZARD RATES AND GAUSSIAN INTEREST RATES pp. 1-33

- Leslie Ng
- LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS pp. 1-35

- Stefano Pagliarani and Andrea Pascucci
- THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS pp. 1-20

- Martin Forde and Andrey Pogudin
- DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS pp. 1-14

- Sühan Altay, Stefan Gerhold, Rainer Haidinger and Karin Hirhager
- 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
Volume 16, issue 07, 2013
- 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
- EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS pp. 1-30

- Michael Ludkovski and Qunying Shen
- PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING pp. 1-17

- Igor Halperin and Andrey Itkin
Volume 16, issue 06, 2013
- VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS pp. 1-29

- Sebastian Jaimungal and Vladimir Surkov
- COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW pp. 1-30

- Janis Back and Marcel Prokopczuk
- ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES pp. 1-17

- Yukihiro Tsuzuki
- RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY pp. 1-27

- Alexandre Roch and H. Mete Soner
- A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES pp. 1-7

- Ralf Korn and Frank Thomas Seifried
Volume 16, issue 05, 2013
- 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
- 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
- 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
- NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME pp. 1-23

- Akihiko Takahashi and Masashi Toda
- PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS pp. 1-38

- Sergio Ortobelli Lozza, Haim Shalit and Frank Fabozzi
Volume 16, issue 04, 2013
- 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
- THE INTERSECTION BETWEEN EUROPEAN PUT PRICE AND ITS PAYOFF FUNCTION pp. 1-14

- Jin E. Zhang, Shoujun Huang and Tiecheng Li
- FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? pp. 1-20

- Sergio M. Focardi and Frank Fabozzi
- 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
- CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS pp. 1-28

- Carl Chiarella, Samuel Chege Maina and Christina Nikitopoulos-Sklibosios
Volume 16, issue 03, 2013
- A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY pp. 1-14

- Hui Li
- 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
- ON VALUATION WITH STOCHASTIC PROPORTIONAL HAZARD MODELS IN FINANCE pp. 1-34

- Akira Yamazaki
- 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
Volume 16, issue 02, 2013
- 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
- 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
- COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS pp. 1-32

- Tomasz R. Bielecki, Igor Cialenco and Ismail Iyigunler
- COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA pp. 1-31

- Stéphane Crépey, Rémi Gerboud, Zorana Grbac and Nathalie Ngor
Volume 16, issue 01, 2013
- 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
- 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
- ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS pp. 1-98

- Leif Andersen and Alexander Lipton
- PRIORITY OPTION: THE VALUE OF BEING A LEADER pp. 1-37

- M. R. Grasselli, V. Leclère and M. Ludkovski