International Journal of Theoretical and Applied Finance (IJTAF)

Order information:
Email:

Pricing information: Subscription price is available upon request
Download restrictions: Access to full text is restricted to subscribers.
Editor:
For technical questions regarding this series, please contact (Tai Tone Lim)
Series handle: repec:wsi:ijtafx

More pages of listings: 0|1

2006, Volume 09, Issue 02

• 185-197 Pricing Derivatives On Two-Dimensional Lã‰Vy Processes
  by Jos㉠Fajardo & Ernesto Mordecki [Downloadable! (restricted)]
• 199-215 Would There Ever Be Consensus Value And Source Of The Equity Risk Premium? A Review Of The Extant Literature
  by Oluwatobi Oyefeso [Downloadable! (restricted)]
• 217-226 Does The Application Of Innovative Internal Models Diminish Regulatory Capital?
  by Lampros Kalyvas & Athanasios Sfetsos [Downloadable! (restricted)]
• 227-244 Technical Analysis Based On Price-Volume Signals And The Power Of Trading Breaks
  by Frank H. Westerhoff [Downloadable! (restricted)]
• 245-268 Empirical Exercise Behavior Of Warrant Holders And Its Consequences For Warrant Values
  by Christian Koziol [Downloadable! (restricted)]

• 1-22 Exploring The Impact Of Calendar Effects On The Dynamic Structure And Forecasts Of Financial Time Series
  by Catherine Kyrtsou & Alexandros Leontitsis & Costas Siriopoulos [Downloadable! (restricted)]
• 23-42 The Determinants Of Credit Default Swap Rates: An Explanatory Study
  by Fathi Abid & Nader Naifar [Downloadable! (restricted)]
• 43-68 An Infinite Factor Model For Credit Risk
  by Thorsten Schmidt [Downloadable! (restricted)]
• 69-89 A Numerical Analysis Of The Extended Black–Scholes Model
  by Sergio Albeverio & Alex Popovici & Victoria Steblovskaya [Downloadable! (restricted)]
• 91-111 The Opinion Game: Stock Price Evolution From Microscopic Market Modeling
  by Anton Bovier & Jiå˜Ã ČErn㝠& Ostap Hryniv [Downloadable! (restricted)]
• 113-132 Cluster Analysis For Non-Gaussian Locally Stationary Processes
  by Junichi Hirukawa [Downloadable! (restricted)]
• 133-150 Prediction Of Financial Distress By Multivariate Statistical Analysis: The Case Of Firms Taken Into The Surveillance Market In The Istanbul Stock Exchange
  by Serpil Canbaåž & Yildirim B. ÖNal & Hatice G. DãœZakin & SãœLeyman B. Kili㇠[Downloadable! (restricted)]

• 999-1018 A Common Market Measure For Libor And Pricing Caps, Floors And Swaps In A Field Theory Of Forward Interest Rates
  by Belal E. Baaquie [Downloadable! (restricted)]
• 1019-1057 Analytic Backward Induction Of Option Cash Flows: A New Application Paradigm For The Markovian Interest Rate Models
  by Junwu Gan [Downloadable! (restricted)]
• 1059-1083 Closed Form Solutions For Quadratic And Inverse Quadratic Term Structure Models
  by Peter Laurence & Tai-Ho Wang [Downloadable! (restricted)]
• 1085-1106 Implied Volatility Trees And Pricing Performance: Evidence From The S&P 100 Options
  by Charilaos E. Linaras & George Skiadopoulos [Downloadable! (restricted)]
• 1107-1133 The Proper Use Of Risk Measures In Portfolio Theory
  by Sergio Ortobelli & Svetlozar T. Rachev & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova [Downloadable! (restricted)]
• 1135-1155 The Impact Of Stock Returns Volatility On Credit Default Swap Rates: A Copula Study
  by Fathi Abid & Nader Naifar [Downloadable! (restricted)]
• 1157-1177 Currency Derivatives Under A Minimal Market Model With Random Scaling
  by David Heath & Eckhard Platen [Downloadable! (restricted)]

• 839-869 A General Equilibrium Model Of The Term Structure Of Interest Rates Under Regime-Switching Risk
  by Shu Wu & Yong Zeng [Downloadable! (restricted)]
• 871-913 Optimal Investment Decisions For A Portfolio With A Rolling Horizon Bond And A Discount Bond
  by Tomasz R. Bielecki & Stanley Pliska & Jiongmin Yong [Downloadable! (restricted)]
• 915-932 Equilibrium Conditions Of Forward Exchange Market Expressed In A Simple Geometric Structure
  by Jianguo Chen & Lloyd P. Blenman [Downloadable! (restricted)]
• 933-946 Experts' Earning Forecasts: Bias, Herding And Gossamer Information
  by Olivier Guedj & Jean-Philippe Bouchaud [Downloadable! (restricted)]
• 947-958 Short- And Long-Term Effects Of The 9/11 Event: The International Evidence
  by Vincent Richman & Michael R. Santos & John T. Barkoulas [Downloadable! (restricted)]
• 959-988 Pricing Precipitation Based Derivatives
  by Ren㉠Carmona & Pavel Diko [Downloadable! (restricted)]
• 989-998 A Constrained Least Square Method For Estimating A Smooth, Nonnegative Forward Rate Sequence
  by Hiroshi Konno & Sumito Ito [Downloadable! (restricted)]

• 675-691 Measuring The Memory Parameter On Several Transformations Of Asset Returns
  by L. A. Gil-Alana [Downloadable! (restricted)]
• 693-716 Financial Market Model With Influential Informed Investors
  by Axel Grorud & Monique Pontier [Downloadable! (restricted)]
• 717-735 An Alternative Interest Rate Term Structure Model
  by Eckhard Platen [Downloadable! (restricted)]
• 737-761 A Merton-Model Approach To Assessing The Default Risk Of Uk Public Companies
  by M. Tudela & G. Young [Downloadable! (restricted)]
• 763-789 Maximizing The Probability Of A Perfect Hedge Using An Imperfectly Correlated Instrument
  by David Hobson & Jeremy Penn [Downloadable! (restricted)]
• 791-806 Parameter Estimation For A Regime-Switching Mean-Reverting Model With Jumps
  by Ping Wu & Robert J. Elliott [Downloadable! (restricted)]
• 807-838 Partial Information And Hazard Process
  by Monique Jeanblanc & Stoyan Valchev [Downloadable! (restricted)]

• 537-551 Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors
  by Jules Sadefo Kamdem [Downloadable! (restricted)]
• 553-574 Localized Monte Carlo Algorithm To Compute Prices Of Path Dependent Options On Trees
  by Sebastian E. Ferrando & Ariel J. Bernal [Downloadable! (restricted)]
• 575-601 Implied Kernel Models
  by Peter Weigel [Downloadable! (restricted)]
• 603-622 Interrelationships Among International Stock Market Indices: Europe, Asia And The Americas
  by Adel Sharkasi & Heather J. Ruskin & Martin Crane [Downloadable! (restricted)]
• 623-633 An Infinitesimal Analysis Of The Stop-Loss-Start-Gain Strategy
  by Siu-Ah Ng [Downloadable! (restricted)]
• 635-658 A Forward Looking, Singular Perturbation Approach To Pricing Options Under Market Uncertainty And Trading Noise
  by Jorge R. Sobehart [Downloadable! (restricted)]
• 659-674 Valuation Of Employee Reload Options Using Utility Maximization Approach
  by Ka Wo Lau & Yue Kuen Kwok [Downloadable! (restricted)]

• 409-423 A Mean-Variance-Skewness Model: Algorithm And Applications
  by Hiroshi Konno & Rei Yamamoto [Downloadable! (restricted)]
• 425-443 Some Remarks On Mean-Variance Hedging For Discontinuous Asset Price Processes
  by Takuji Arai [Downloadable! (restricted)]
• 445-462 First Passage Times For Risk-Tracking Proxies
  by Victor Vaugirard [Downloadable! (restricted)]
• 463-482 Optimal Contingent Claims And Consumption
  by Daheng Peng & Maoan Han [Downloadable! (restricted)]
• 483-508 Partial Equilibrium And Market Completion
  by Ying Hu & Peter Imkeller & Matthias MãœLler [Downloadable! (restricted)]
• 509-521 Could Short Selling Make Financial Markets Tumble?
  by Jã˜Rgen Vitting Andersen [Downloadable! (restricted)]
• 523-536 A Note On Asset Bubbles In Continuous-Time
  by Gianluca Cassese [Downloadable! (restricted)]

• 283-300 Arbitrage In Fractal Modulated Black–Scholes Models When The Volatility Is Stochastic
  by Erhan Bayraktar & H. Vincent Poor [Downloadable! (restricted)]
• 301-319 Optimal Logarithmic Utility And Optimal Portfolios For An Insider In A Stochastic Volatility Market
  by Christian-Oliver Ewald [Downloadable! (restricted)]
• 321-338 Pricing Credit Risk Of Asset-Backed Securitization Bonds In Singapore
  by Tien Foo Sing & Seow Eng Ong & Gang-Zhi Fan & Kian Guan Lim [Downloadable! (restricted)]
• 339-355 Inflation Regimes And Price-Setting Interactions
  by Edoardo Gaffeo [Downloadable! (restricted)]
• 357-380 Modeling Term Structure Dynamics: An Infinite Dimensional Approach
  by Rama Cont [Downloadable! (restricted)]
• 381-392 Long Memory Stochastic Volatility In Option Pricing
  by Sergei Fedotov & Abby Tan [Downloadable! (restricted)]
• 393-407 Hedging Double Barriers With Singles
  by Alessandro Sbuelz [Downloadable! (restricted)]

• 141-159 Calibrated Option Bounds
  by Alan J. King & Matti Koivu & Teemu Pennanen [Downloadable! (restricted)]
• 161-184 Affine Processes, Arbitrage-Free Term Structures Of Legendre Polynomials, And Option Pricing
  by Caio Ibsen Rodrigues De Almeida [Downloadable! (restricted)]
• 185-206 Optimal Investment Strategy Via Interval Arithmetic
  by Benito Stradi & Emmanuel Haven [Downloadable! (restricted)]
• 207-221 Computation Of Local Volatilities From Regularized Dupire Equations
  by Martin Hanke & Elisabeth Rã–Sler [Downloadable! (restricted)]
• 223-238 Affine Lattice Models
  by Claudio Albanese & Alexey Kuznetsov [Downloadable! (restricted)]
• 239-253 The Forward Pde For European Options On Stocks With Fixed Fractional Jumps
  by Peter Carr & Alireza Javaheri [Downloadable! (restricted)]
• 255-281 Pathwise Identification Of The Memory Function Of Multifractional Brownian Motion With Application To Finance
  by Sergio Bianchi [Downloadable! (restricted)]

• 1-12 Bayesian Inference, Prior Information On Volatility, And Option Pricing: A Maximum Entropy Approach
  by Francisco Venegas-MartãNez [Downloadable! (restricted)]
• 13-58 Drawdown Measure In Portfolio Optimization
  by Alexei Chekhlov & Stanislav Uryasev & Michael Zabarankin [Downloadable! (restricted)]
• 59-74 Profit-Sharing In Transactions Governed By A Subadditive Capitalization Function
  by Salvador Cruz Rambaud & MarãA Del Carmen Valls MartãNez [Downloadable! (restricted)]
• 75-95 Modeling The Risk And Return Relation Conditional On Market Volatility And Market Conditions
  by Don U. A. Galagedera & Robert Faff [Downloadable! (restricted)]
• 97-121 Bayesian Model Selection Via Filtering For A Class Of Micro-Movement Models Of Asset Price
  by Michael A. Kouritzin & Yong Zeng [Downloadable! (restricted)]
• 123-139 The Swing Option On The Stock Market
  by Martin Dahlgren & Ralf Korn [Downloadable! (restricted)]

Access and download statistics

Did you know? Data contributors to RePEc receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-12-9.