International Journal of Theoretical and Applied Finance

Title Publication Date Language Citations
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES2012/12/01English9
AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION2014/11/01English8
BOND MARKET MODEL2006/06/01English8
MAXIMUM DRAWDOWN INSURANCE2011/12/01English8
HEDGE FUND PERFORMANCE: SOURCES AND MEASURES2009/05/01English8
THE ENTROPY THEORY OF BOND OPTION PRICING2002/06/01English8
OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH2002/03/01English8
OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH2003/12/01English8
MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS2004/05/01English8
DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS2011/11/01English8
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS2011/09/01English8
A MATHEMATICAL APPROACH TO ORDER BOOK MODELING2013/07/25English8
PRICING AND HEDGING IN CARBON EMISSIONS MARKETS2009/11/01English8
COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY2007/03/01English7
LARGE PORTFOLIO CREDIT RISK MODELING2007/06/01English7
CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA2007/11/01English7
WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS2015/02/01English7
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION2014/11/01English7
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE2013/11/01English7
A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS2006/11/01English7
VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY2001/06/01English7
PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD1999/01/01English7
THE WISHART SHORT RATE MODEL2012/12/01English7
EXACT SIMULATION OF THE 3/2 MODEL2012/08/01English7
MINIMAL VARIANCE HEDGING FOR INSIDER TRADING2006/12/01English7
CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS2000/10/01English7
A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE2002/11/01English7
CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION1999/01/01English7
Backward Stochastic PDE and Imperfect Hedging2003/11/01English7
EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS2008/05/01English7