International Journal of Theoretical and Applied Finance (IJTAF)

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Print ISSN: 0219-0249
Online ISSN: 1793-6322

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HOME > JOURNALS BY SUBJECT > MATHEMATICS/ECONOMICS, FINANCE AND MANAGEMENT > IJTAF

International Journal of Theoretical and Applied Finance (IJTAF)

Accepted Papers | Current Issue | 2011 | 2010 | 2009 | All Volumes (1998-2011)

News

This year, International Journal of Theoretical and Applied Finance (IJTAF) celebrates its 14th year of publication. Our Managing Editors and Editor-in-Chief have been following the recent developments in the financial markets and in particular (a) the increasing demand for effective risk-management tools and (b) the crucial role of advanced mathematical methods in finance. With this in mind, IJTAF hopes that both academics and practitioners in the financial modelling community will take the opportunity to explore and learn more about this well-established journal.

You can now enjoy free access to the selected articles from IJTAF, Volumes 13 (2010) & 14 (2011). Do share this news with your colleagues and students.

Current Issue

Volume: 14, Issue: 8 (December 2011)

MAXIMUM DRAWDOWN INSURANCE PETER CARR, HONGZHONG ZHANG and OLYMPIA HADJILIADIS DOI No: 10.1142/S0219024911006826 Page: 1195-1230 Abstract \| Full Text (PDF, 434KB)
STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE MICHAEL C. MÜNNIX, RUDI SCHÄFER and THOMAS GUHR DOI No: 10.1142/S0219024911006838 Page: 1231-1246 Abstract \| Full Text (PDF, 432KB)
FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS KONSTANTINOS MAVROUDIS and CRAIG A. NOLDER DOI No: 10.1142/S021902491100684X Page: 1247-1277 Abstract \| Full Text (PDF, 726KB)
SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? SONG-PING ZHU and WEN-TING CHEN DOI No: 10.1142/S0219024911006851 Page: 1279-1297 Abstract \| Full Text (PDF, 352KB)
A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING GEORGI DIMITROFF, STEFAN LORENZ and ALEXANDER SZIMAYER DOI No: 10.1142/S021902491100653X Page: 1299-1333 Abstract \| Full Text (PDF, 461KB)
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAP WITH STATES RELATED DEFAULT INTENSITY PROCESSES DAN TANG, YONGJIN WANG and YUZHEN ZHOU DOI No: 10.1142/S0219024911006863 Page: 1335-1353 Abstract \| Full Text (PDF, 303KB)
TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS MATTHEW LORIG DOI No: 10.1142/S0219024911006875 Page: 1355-1383 Abstract \| Full Text (PDF, 415KB)
Author Index Volume 14 (2011) Page: 1385-1387 Abstract \| Full Text - Free Access (PDF, 63KB)

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