International Journal of Theoretical and Applied Finance

Title Publication Date Language Citations
MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE2010/12/01English7
ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS2013/02/01English6
FORWARD AND FUTURE IMPLIED VOLATILITY2011/05/01English6
AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES2004/12/01English6
WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS2001/02/01English6
MEASURING SHOCK IN FINANCIAL MARKETS2000/07/01English6
FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES2001/08/01English6
FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS2000/01/01English6
A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS2000/01/01English6
ALGORITHMIC TRADING WITH LEARNING2016/05/25English6
EXPERTS' EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION2005/11/01English6
HEAT KERNEL MODELS FOR ASSET PRICING2014/11/01English6
A STOCHASTIC CASCADE MODEL FOR FX DYNAMICS2000/07/01English6
APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING2010/02/01English6
A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS2002/08/01English6
BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS2016/02/01English6
CONIC FINANCE AND THE CORPORATE BALANCE SHEET2011/08/01English6
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION2009/12/01English6
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS2012/08/01English6
CONIC PORTFOLIO THEORY2016/04/21English6
MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS2016/11/01English6
LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING2001/02/01English6
THE ENTROPY THEORY OF STOCK OPTION PRICING1999/07/01English6
NEURAL NETWORKS FOR TECHNICAL ANALYSIS: A STUDY ON KLCI1999/04/01English6
ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING2007/11/01English6
OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET2005/05/01English6
A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH2006/06/01English5
PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES2006/09/01English5
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS2007/12/01English5
THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL2006/12/01English5