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Author Index Volume 23 (2020)

JOURNAL ARTICLE published December 2020 in International Journal of Theoretical and Applied Finance

https://doi.org/10.1142/s0219024920990010 Actions

FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES

JOURNAL ARTICLE published July 2000 in International Journal of Theoretical and Applied Finance

Authors: ERIK AURELL | PAOLO MURATORE-GINANNESCHI

https://doi.org/10.1142/s0219024900000486 Actions

A SCENARIO ANALYSIS OF THE RISK PREMIUM IN G7 COUNTRIES

JOURNAL ARTICLE published November 2008 in International Journal of Theoretical and Applied Finance

Authors: MOHAMMED OMRAN | JOHN POINTON

https://doi.org/10.1142/s0219024908004981 Actions

GUEST EDITOR'S INTRODUCTION

JOURNAL ARTICLE published April 2001 in International Journal of Theoretical and Applied Finance

https://doi.org/10.1142/s0219024901001115 Actions

PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL

JOURNAL ARTICLE published June 2013 in International Journal of Theoretical and Applied Finance

Authors: TAMAL BANERJEE | MRINAL K. GHOSH | SRIKANTH K. IYER

https://doi.org/10.1142/s0219024913500180 Actions

SOME FURTHER ANALYTICAL PROPERTIES OF THE CONSTANT CORRELATION MODEL FOR PORTFOLIO SELECTION

JOURNAL ARTICLE published November 2006 in International Journal of Theoretical and Applied Finance

Authors: CLARENCE C. Y. KWAN

https://doi.org/10.1142/s0219024906003895 Actions

VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH

JOURNAL ARTICLE published August 2005 in International Journal of Theoretical and Applied Finance

Authors: KA WO LAU | YUE KUEN KWOK

https://doi.org/10.1142/s0219024905003189 Actions

THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK

JOURNAL ARTICLE published June 2021 in International Journal of Theoretical and Applied Finance

Authors: VICKY HENDERSON | JIA SUN | A. ELIZABETH WHALLEY

https://doi.org/10.1142/s0219024921500230 Actions

DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION

JOURNAL ARTICLE published June 2019 in International Journal of Theoretical and Applied Finance

Authors: PAVEL V. GAPEEV | MONIQUE JEANBLANC

https://doi.org/10.1142/s0219024919500067 Actions

RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES

JOURNAL ARTICLE published December 2012 in International Journal of Theoretical and Applied Finance

Authors: TIM LEUNG | PENG LIU

https://doi.org/10.1142/s0219024912500598 Actions

A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS

JOURNAL ARTICLE published December 2013 in International Journal of Theoretical and Applied Finance

Authors: HENRIK HULT | FILIP LINDSKOG | JOHAN NYKVIST

https://doi.org/10.1142/s0219024913500489 Actions

DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS

JOURNAL ARTICLE published December 2018 in International Journal of Theoretical and Applied Finance

Authors: R. MERINO | J. POSPÍŠIL | T. SOBOTKA | J. VIVES

https://doi.org/10.1142/s0219024918500528 Actions

COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

JOURNAL ARTICLE published September 2013 in International Journal of Theoretical and Applied Finance

Authors: JANIS BACK | MARCEL PROKOPCZUK

https://doi.org/10.1142/s0219024913500325 Actions

AN ANALYTICAL FRAMEWORK FOR EXPLAINING RELATIVE PERFORMANCE OF CAPM BETA AND DOWNSIDE BETA

JOURNAL ARTICLE published May 2009 in International Journal of Theoretical and Applied Finance

Authors: DON U. A. GALAGEDERA

https://doi.org/10.1142/s0219024909005257 Actions

OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS

JOURNAL ARTICLE published December 2015 in International Journal of Theoretical and Applied Finance

Authors: PATRICK ASSONKEN | G. S. LADDE

https://doi.org/10.1142/s0219024915500521 Actions

VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS

JOURNAL ARTICLE published May 2019 in International Journal of Theoretical and Applied Finance

Authors: OLIVER PFANTE | NILS BERTSCHINGER

https://doi.org/10.1142/s0219024919500134 Actions

CONIC TRADING IN A MARKOVIAN STEADY STATE

JOURNAL ARTICLE published March 2017 in International Journal of Theoretical and Applied Finance

Authors: DILIP B. MADAN | MARTIJN PISTORIUS | WIM SCHOUTENS

https://doi.org/10.1142/s0219024917500108 Actions

ON THE OCCURENCE OF FINANCIAL CRASHES

JOURNAL ARTICLE published July 2000 in International Journal of Theoretical and Applied Finance

Authors: F. BRISBOIS | Ph. BOVEROUX | M. AUSLOOS | N. VANDEWALLE

https://doi.org/10.1142/s0219024900000334 Actions

OPTIMAL STRATEGIES FOR THE ISSUANCES OF PUBLIC DEBT SECURITIES

JOURNAL ARTICLE published November 2004 in International Journal of Theoretical and Applied Finance

Authors: MASSIMILIANO ADAMO | ANNA LISA AMADORI | MASSIMO BERNASCHI | CLAUDIA LA CHIOMA | ALESSIA MARIGO | BENEDETTO PICCOLI | SIMONE SBARAGLIA | ADAMO UBOLDI | DAVIDE VERGNI | PAOLA FABBRI | DAVIDE IACOVONI | FRANCESCO NATALE | STEFANO SCALERA | LUCIA SPILOTRO | ANTONELLA VALLETTA

https://doi.org/10.1142/s0219024904002700 Actions

A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL

JOURNAL ARTICLE published May 2018 in International Journal of Theoretical and Applied Finance

Authors: LAKSHITHE WAGALATH | JORGE P. ZUBELLI

https://doi.org/10.1142/s0219024918500103 Actions
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