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World Scientific Publishing Co. Pte. Ltd.

International Journal of Theoretical and Applied Finance (IJTAF)

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2012, Volume 15, Issue 01

1250010-1-1250010-21 Pricing Of Perpetual American Options In A Model With Partial Information
by Pavel V. Gapeev
1250009-1-1250009-18 Portfolio Optimization Under Partial Information With Expert Opinions
by Rüdiger Frey & Abdelali Gabih & Ralf Wunderlich
1250008-1-1250008-19 Cdo Term Structure Modelling With Lévy Processes And The Relation To Market Models
by Thorsten Schmidt & Jerzy Zabczyk
1250007-1-1250007-15 Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes
by Jirô Akahori & Andrea Macrina
1250006-1-1250006-20 Stress Testing The Resilience Of Financial Networks
by Hamed Amini & Rama Cont & Andreea Minca
1250005-1-1250005-17 Target Volatility Option Pricing
by Giuseppe Di Graziano & Lorenzo Torricelli
1250004-1-1250004-39 Valuation And Hedging Of Cds Counterparty Exposure In A Markov Copula Model
by T. R. Bielecki & S. Crépey & M. Jeanblanc & B. Zargari
1250003-1-1250003-34 Performance Of Robust Hedges For Digital Double Barrier Options
by Jan Obłój & Frédérik Ulmer
1250002-1-1250002-24 Conditional Density Models For Asset Pricing
by Damir Filipović & Lane P. Hughston & Andrea Macrina
1250001-1-1250001-18 The Heat-Kernel Most-Likely-Path Approximation
by Jim Gatheral & Tai-Ho Wang
1202001-1-1202001-3 PREFACE – Special Issue on Financial Derivatives and Risk Management
by Matheus Grasselli & Lane P. Hughston

2011, Volume 14, Issue 08

1195-1230 Maximum Drawdown Insurance
by Peter Carr & Hongzhong Zhang & Olympia Hadjiliadis
1231-1246 Statistical Causes For The Epps Effect In Microstructure Noise
by Michael C. Münnix & Rudi Schäfer & Thomas Guhr
1247-1277 Fixed-Mix Rules In An Evolutionary Market Using A Factor Model For Dividends
by Konstantinos Mavroudis & Craig A. Nolder
1279-1297 Should An American Option Be Exercised Earlier Or Later If Volatility Is Not Assumed To Be A Constant?
by Song-Ping Zhu & Wen-Ting Chen
1299-1333 A Parsimonious Multi-Asset Heston Model: Calibration And Derivative Pricing
by Georgi Dimitroff & Stefan Lorenz & Alexander Szimayer
1335-1353 Counterparty Risk For Credit Default Swap With States Related Default Intensity Processes
by Dan Tang & Yongjin Wang & Yuzhen Zhou
1355-1383 Time-Changed Fast Mean-Reverting Stochastic Volatility Models
by Matthew Lorig

2011, Volume 14, Issue 07

979-1004 Kernel Convergence Estimates For Diffusions With Continuous Coefficients
by Claudio Albanese
1005-1043 Double Barrier Options In Regime-Switching Hyper-Exponential Jump-Diffusion Models
by Mitya Boyarchenko & Svetlana Boyarchenko
1045-1090 Prices Of Barrier And First-Touch Digital Options In Lévy-Driven Models, Near Barrier
by Mitya Boyarchenko & Marco De Innocentis & Sergei Levendorskiĭ
1091-1111 Semi-Static Hedging Of Barrier Options Under Poisson Jumps
by Peter Carr
1113-1137 Wavelet Optimized Valuation Of Financial Derivatives
by B. Carton De Wiart & M. A. H. Dempster
1139-1158 Method Of Moments Approach To Pricing Double Barrier Contracts In Polynomial Jump-Diffusion Models
by Bjorn Eriksson & Martijn Pistorius
1159-1193 Volatility Derivatives In Market Models With Jumps
by Harry Lo & Aleksandar Mijatović
v-vii PREFACE — Spectral and Cubature Methods in Finance and Econometrics
by Sergei Levendorskiĭ & Aleksandar Mijatovic & Martijn Pistorius

2011, Volume 14, Issue 06

773-802 Arbitrage-Free Valuation Of Bilateral Counterparty Risk For Interest-Rate Products: Impact Of Volatilities And Correlations
by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou
803-837 Tracking Errors From Discrete Hedging In Exponential Lévy Models
by Mats Brodén & Peter Tankov
839-865 Dangerous Knowledge: Credit Value Adjustment With Credit Triggers
by Chuang Yi
867-897 Convenient Multiple Directions Of Stratification
by Benjamin Jourdain & Bernard Lapeyre & Piergiacomo Sabino
899-943 Hedging (Co)Variance Risk With Variance Swaps
by José Da Fonseca & Martino Grasselli & Florian Ielpo
945-956 Derivative Pricing Based On The Exchange Rate In A Target Zone With Realignment
by Lijun Bo & Yongjin Wang & Xuewei Yang
957-977 Dynamic Portfolio Selection Under Capital-At-Risk With No Short-Selling Constraints
by Gordana Dmitrašinović-Vidović & Ali Lari-Lavassani & Xun Li & Antony Ware

2011, Volume 14, Issue 05

587-610 Conic Finance And The Corporate Balance Sheet
by Dilip B. Madan & Wim Schoutens
611-633 Information Asymmetry In Pricing Of Credit Derivatives
by Caroline Hillairet & Ying Jiao
635-667 SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION
by Peter Imkeller & Anthony Réveillac & Jianing Zhang
669-708 A Comparison Of Pricing Kernels For Garch Option Pricing With Generalized Hyperbolic Distributions
by Alexandru Badescu & Robert J. Elliott & Reg Kulperger & Jarkko Miettinen & Tak Kuen Siu
709-722 Pricing Digital Outperformance Options With Uncertain Correlation
by Jacinto Marabel
723-755 The Compatible Bond-Stock Market With Jumps
by Dewen Xiong & Michael Kohlmann
757-771 Insider Trading Under Discreteness
by Massimo Scotti

2011, Volume 14, Issue 04

433-463 Model-Free Implied Volatility: From Surface To Index
by M. Fukasawa & I. Ishida & N. Maghrebi & K. Oya & M. Ubukata & K. Yamazaki
465-484 Do Institutional Investors Care About The Ambiguity Of Their Assets? Evidence From Portfolio Holdings In Alternative Investments
by Christian Koziol & Juliane Proelss & Denis Schweizer
485-505 Hedging European Derivatives With The Polynomial Variance Swap Under Uncertain Volatility Environments
by Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki
507-524 Option Pricing Via Maximization Over Uncertainty And Correction Of Volatility Smile
by Nikolai Dokuchaev
525-557 The Term Structure Of Currency Hedge Ratios
by Olaf Korn & Philipp Koziol
559-578 Exact Pricing And Large-Time Asymptotics For The Modified Sabr Model And The Brownian Exponential Functional
by Martin Forde
579-586 Brownian Semistationary Processes And Conditional Full Support
by Mikko S. Pakkanen

2011, Volume 14, Issue 03

335-351 Absolutely Continuous Compensators
by Svante Janson & Sokhna M'Baye & Philip Protter
353-368 Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework
by Jim Gatheral & Alexander Schied
369-406 Managing Corporate Liquidity: Strategies And Pricing Implications
by Attakrit Asvanunt & Mark Broadie & Suresh Sundaresan
407-432 Forward And Future Implied Volatility
by Paul Glasserman & Qi Wu

2011, Volume 14, Issue 02

187-196 A Model For The Long-Term Optimal Capacity Level Of An Investment Project
by Arne Løkka & Mihail Zervos
197-219 Perturbation Stable Conditional Analytic Monte-Carlo Pricing Scheme For Auto-Callable Products
by Christian P. Fries & Mark S. Joshi
221-238 A Non-Homogeneous Semi-Markov Reward Model For The Credit Spread Computation
by Guglielmo D'Amico & Jacques Janssen & Raimondo Manca
239-264 Static Hedging Of Defaultable Contingent Claims: A Simple Hedging Scheme Across Equity And Credit Markets
by Shuichi Ohsaki & Akira Yamazaki
265-294 Regime Switching Term Structure Model Under Partial Information
by Hidenori Futami
295-312 Hedging Swing Options
by Jesús F. Rodríguez
313-333 Pricing Asian Options In Affine Garch Models
by Mercuri Lorenzo

2011, Volume 14, Issue 01

1-15 Monetary Valuation Of Cash Flows Under Knightian Uncertainty
by Hans Föllmer & Irina Penner
17-40 Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets
by Paul Gassiat & Huyên Pham & Mihai Sîrbu
41-59 Conditional Certainty Equivalent
by Marco Frittelli & Marco Maggis
61-81 Initial Investment Choice And Optimal Future Allocations Under Time-Monotone Performance Criteria
by M. Musiela & T. Zariphopoulou
83-106 Optimal Exercise Of An Executive Stock Option By An Insider
by Michael Monoyios & Andrew Ng
107-135 Tangent Models As A Mathematical Framework For Dynamic Calibration
by René Carmona & Sergey Nadtochiy
137-162 Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time
by Patrick Cheridito & Michael Kupper
163-185 On The Penalty Function And On Continuity Properties Of Risk Measures
by Marco Frittelli & Emanuela Rosazza Gianin

2010, Volume 13, Issue 08

1149-1177 Markets As A Counterparty: An Introduction To Conic Finance
by Dilip B. Madan & Alexander Cherny
1179-1221 A Hybrid Asymptotic Expansion Scheme: An Application To Long-Term Currency Options
by Akihiko Takahashi & Kohta Takehara
1223-1240 A Nonparametric Urn-Based Approach To Interacting Failing Systems With An Application To Credit Risk Modeling
by Pasquale Cirillo & Jürg Hüsler & Pietro Muliere
1241-1263 A Finite-Dimensional Hjm Model: How Important Is Arbitrage-Free Evolution?
by Siobhán Devin & Bernard Hanzon & Thomas Ribarits
1265-1277 Solving The Asian Option Pde Using Lie Symmetry Methods
by Nicolette C. Caister & John G. O'Hara & Keshlan S. Govinder
1279-1291 Better Confidence Intervals For Importance Sampling
by Halis Sak & Wolfgang Hörmann & Josef Leydold
1293-1324 Vanna-Volga Methods Applied To Fx Derivatives: From Theory To Market Practice
by Frédéric Bossens & Grégory Rayée & Nikos S. Skantzos & Griselda Deelstra

2010, Volume 13, Issue 07

1001-1017 Pricing And Filtering In A Two-Dimensional Dividend Switching Model
by Pavel V. Gapeev & Monique Jeanblanc
1019-1046 Analytical Approximation To Constant Maturity Swap Convexity Corrections In A Multi-Factor Sabr Model
by Bin Chen & Cornelis W. Oosterlee & Sacha Van Weeren
1047-1063 Option Pricing Under Ornstein-Uhlenbeck Stochastic Volatility: A Linear Model
by Giacomo Bormetti & Valentina Cazzola & Danilo Delpini
1065-1073 On The Unbiased Estimator Of The Efficient Frontier
by Olha Bodnar & Taras Bodnar
1075-1101 Robust Exponential Hedging And Indifference Valuation
by Keita Owari
1103-1129 CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
by Stefan Ankirchner & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel
1131-1147 Asymptotic Analysis For Foreign Exchange Derivatives With Stochastic Volatility
by Charles Cuthbertson & Grigorios Pavliotis & Avraam Rafailidis & Petter Wiberg

2010, Volume 13, Issue 06

821-838 An Analysis Of The Supply Curve For Liquidity Risk Through Book Data
by Marcel Blais & Philip Protter
839-865 Fast And Accurate Pricing And Hedging Of Long-Dated Cms Spread Options
by Mark Joshi & Chao Yang
867-899 When Are Swing Options Bang-Bang?
by Olivier Bardou & Sandrine Bouthemy & Gilles Pagès
901-929 Exact Pricing With Stochastic Volatility And Jumps
by Fernanda D'Ippoliti & Enrico Moretto & Sara Pasquali & Barbara Trivellato
931-957 On The Consumption/Distribution Theorem Under The Long-Run Growth Criterion Subject To A Drawdown Constraint
by Michael J. Klass & Krzysztof Nowicki
959-978 On The Impact Of Hidden Trends For A Compound Poisson Model With Pareto-Type Claims
by Peter Grandits & Reinhold Kainhofer & Grigory Temnov
979-1000 NOTES ON EXACT AND SEMI-EXACT LÉVY MODELS FOR THE VALUATION OF CDOs
by A. Eichler & G. Leobacher & H. Zellinger

2010, Volume 13, Issue 05

635-656 Completeness Of Bond Market Driven By Lévy Process
by Michał Barski & Jerzy Zabczyk
657-681 Pricing And Hedging Barrier Options In A Hyper-Exponential Additive Model
by Marc Jeannin & Martijn Pistorius
683-715 Credit Risk And Incomplete Information: Filtering And Em Parameter Estimation
by Claudio Fontana & Wolfgang J. Runggaldier
717-750 Pricing And Deltas Of Discretely-Monitored Barrier Options Using Stratified Sampling On The Hitting-Times To The Barrier
by Mark Joshi & Robert Tang
751-765 Valuing Callable And Putable Revenue-Performance-Linked Project Backed Securities
by Feng Dong & Nicola Chiara & Jan Vecer
767-787 Computation Of Volatility In Stochastic Volatility Models With High Frequency Data
by Emilio Barucci & Maria Elvira Mancino
789-820 Mean Variance Hedging In A General Jump Market
by Dewen Xiong & Michael Kohlmann

2010, Volume 13, Issue 04

503-506 The Var At Risk
by Alfred Galichon
507-515 A Remark Concerning Value-At-Risk
by S. Y. Novak
517-535 Long-Term Risk Management For Utility Companies: The Next Challenges
by René Aïd
537-576 Corporate Liquidity, Dividend Policy And Default Risk: Optimal Financial Policy And Agency Costs
by Yann Braouezec & Charles-Albert Lehalle
577-602 Particle Methods For The Estimation Of Credit Portfolio Loss Distributions
by René Carmona & Stéphane Crépey
603-634 Expansion Formulas For European Options In A Local Volatility Model
by E. Benhamou & E. Gobet & M. Miri

2010, Volume 13, Issue 03

355-366 A Maximal Predictability Portfolio Using Dynamic Factor Selection Strategy
by Hiroshi Konno & Yoshihiro Takaya & Rei Yamamoto
367-401 Exact Pricing Asymptotics Of Investment-Grade Tranches Of Synthetic Cdo'S: A Large Homogeneous Pool
by Richard B. Sowers
403-414 A Multilevel Approach To Solving The Black–Scholes Equation
by Hedley Morris & Alfonso Limon
415-440 A Generalized Normal Mean-Variance Mixture For Return Processes In Finance
by Elisa Luciano & Patrizia Semeraro
441-458 Valuation Of Compound Option When The Underlying Asset Is Non-Tradable
by Yu-Hong Liu
459-477 Utility Maximization In Affine Stochastic Volatility Models
by Jan Kallsen & Johannes Muhle-Karbe
479-499 Regime-Switching Recombining Tree For Option Pricing
by R. H. Liu

2010, Volume 13, Issue 02

195-209 Fast Valuation Of Forward-Starting Basket Default Swaps
by Ken Jackson & Alex Kreinin & Wanhe Zhang
211-240 A Regularized Fourier Transform Approach For Valuing Options Under Stochastic Dividend Yields
by Baye M. Dia
241-258 Local Estimation Of Dynamic Copula Models
by Beatriz V. M. Mendes & Eduardo F. L. De Melo
259-283 Identification Of Affine Term Structures From Yield Curve Data
by Shin Ichi Aihara & Arunabha Bagchi
285-299 Electricity Prices: A Nonparametric Approach
by Davide Pirino & Roberto Renò
301-333 Recursive Bayesian Estimation In Forward Price Models Implied By Fair Pricing
by Yassine El Qalli
335-354 Probability Distribution And Option Pricing For Drawdown In A Stochastic Volatility Environment
by Kyo Yamamoto & Seisho Sato & Akihiko Takahashi

2010, Volume 13, Issue 01

1-43 Efficient, Almost Exact Simulation Of The Heston Stochastic Volatility Model
by Alexander Van Haastrecht & Antoon Pelsser
45-62 Pricing Cms Spread Options In A Libor Market Model
by Denis Belomestny & Anastasia Kolodko & John Schoenmakers
63-91 Approximating Lévy Processes With A View To Option Pricing
by John Crosby & Nolwenn Le Saux & Aleksandar Mijatović
93-112 Implication Of The Kelly Criterion For Multi-Dimensional Processes
by Yingdong Lv & Bernhard K. Meister
113-137 Modern Libor Market Models: Using Different Curves For Projecting Rates And For Discounting
by Fabio Mercurio
139-161 It'S Your Choice: A Unified Approach To Chooser Options
by Klaus Sandmann & Manuel Wittke
163-193 Estimating Univariate Distributions Via Relative Entropy Minimization: Case Studies On Financial And Economic Data
by Craig Friedman & Yangyong Zhang & Jinggang Huang

2009, Volume 12, Issue 08

1075-1090 Put Option Prices As Joint Distribution Functions In Strike And Maturity: The Black–Scholes Case
by D. Madan & B. Roynette & M. Yor
1091-1104 Pricing Of Contingent Claims In A Two-Dimensional Model With Random Dividends
by Pavel V. Gapeev & Monique Jeanblanc
1105-1123 The Mirage Of Triangular Arbitrage In The Spot Foreign Exchange Market
by Daniel J. Fenn & Sam D. Howison & Mark Mcdonald & Stacy Williams & Neil F. Johnson
1125-1170 Prices And Sensitivities Of Barrier And First-Touch Digital Options In Lévy-Driven Models
by Mitya Boyarchenko & Sergei Levendorskiĭ
1171-1196 Does Curvature Enhance Forecasting?
by Caio Almeida & Romeu Gomes & André Leite & Axel Simonsen & José Vicente
1197-1212 A Novel Reduction Of The Simple Asian Option And Lie-Group Invariant Solutions
by Stephen Taylor & Scott Glasgow
1213-1230 Credit Risk Modeling Using Time-Changed Brownian Motion
by T. R. Hurd

2009, Volume 12, Issue 07

901-924 Forward And Futures Prices With Bubbles
by Robert A. Jarrow & Philip Protter
925-947 A Structural Risk-Neutral Model Of Electricity Prices
by René Aïd & Luciano Campi & Adrien Nguyen Huu & Nizar Touzi
949-967 Pricing And Hedging In Carbon Emissions Markets
by Umut Çetin & Michel Verschuere
969-1005 Arbitrage-Free Interpolation Of The Swap Curve
by Mark H. A. Davis & Vicente Mataix-Pastor
1007-1026 Counterparty Risk For Credit Default Swaps: Impact Of Spread Volatility And Default Correlation
by Damiano Brigo & Kyriakos Chourdakis
1027-1053 Valuation Of Credit Default Swaptions And Credit Default Index Swaptions
by Marek Rutkowski & Anthony Armstrong
1055-1073 Barrier Option Pricing By Branching Processes
by Georgi K. Mitov & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi

2009, Volume 12, Issue 06

745-765 Implied And Realized Volatility In The Cross-Section Of Equity Options
by Manuel Ammann & David Skovmand & Michael Verhofen
767-796 Optimal Portfolios With Stochastic Short Rate: Pitfalls When The Short Rate Is Non-Gaussian Or The Market Price Of Risk Is Unbounded
by Holger Kraft
797-810 Sequential Surveillance Of The Tangency Portfolio Weights
by Olha Bodnar
811-832 Accurate Of Var Calculated Using Empirical Models Of The Term Structure
by Pilar Abad & Sonia Benito
833-860 The Best Hedging Strategy In The Presence Of Transaction Costs
by Valeri Zakamouline
861-876 Small-Time Asymptotics For Implied Volatility Under The Heston Model
by Martin Forde & Antoine Jacquier
877-899 A Stochastic Volatility Model For Risk-Reversals In Foreign Exchange
by Claudio Albanese & Aleksandar Mijatović

2009, Volume 12, Issue 05

577-588 Arbitrage Smoothing In Fitting A Sequence Of Yield Curves
by Paul A. Bekker & Kees E. Bouwman
589-603 Correlations Among Forward Returns In The Nordic Electricity Market
by Dennis Frestad
605-631 Share Repurchases And Firm Behavior
by Adri De Ridder
633-662 Simultaneous Calibration To A Range Of Portfolio Credit Derivatives With A Dynamic Discrete-Time Multi-Step Markov Loss Model
by Michael B. Walker
663-685 Pricing And Hedging Of Cdo-Squared Tranches By Using A One Factor Lévy Model
by Florence Guillaume & Philippe Jacobs & Wim Schoutens
687-707 Pricing Of Traffic Light Options And Other Hybrid Products
by Thomas Kokholm
709-743 The Variance Swap Contract Under The Cev Process
by Richard Jordan & Charles Tier

2009, Volume 12, Issue 04

427-441 On The Relationship Between The Call Price Surface And The Implied Volatility Surface Close To Expiry
by Michael Roper & Marek Rutkowski
443-463 Investment Timing Under Regime Switching
by Robert J. Elliott & Hong Miao & Jin Yu

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