Journal of Financial Engineering (JFE)

2014 - 2015

Continued by International Journal of Financial Engineering (IJFE).

Current editor(s): George Yuan

From World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

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Volume 02, issue 01, 2015

Evaluating performance and efficiency of Asian banks pp. 1-16

Lung-Tan Lu

Pricing interest rate derivatives with model risk pp. 1-18

Satoshi Hosokawa and Koichi Matsumoto

Pricing method and applications for the farmer's joint liability based on intensity model and Monte Carlo simulation pp. 1-21

Sulin Pang, Jinwang Xiao and Shuqing Li

Optimal derivative liquidation timing under path-dependent risk penalties pp. 1-32

Tim Leung and Yoshihiro Shirai

The valuation of stochastic insurance liabilities using a structural model approach pp. 1-17

Masayasu Kanno

Design and pricing of derivative contracts in a spectrum market pp. 1-25

Aparna Gupta, Koushik Kar and Praveen K. Muthuswamy

Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty pp. 1-31

Yifan Yang, Frank Fabozzi and Michele Leonardo Bianchi

Comparison of commodity future pricing approaches with cointegration techniques pp. 1-31

Christian Stepanek

Regulatory hypothesis and bank dividend payouts: Empirical evidence from Italian banking sector pp. 1-15

Badar Nadeem Ashraf, Sidra Arshad, Mohammad Morshedur Rahman, Muhammad Kamal and Khalid Khan

Volume 01, issue 04, 2014

Accounting for earnings announcements in the pricing of equity options pp. 1-46

Tim Leung and Marco Santoli

Dynamic CRRA-utility indifference value in generalized Cox process model pp. 1-29

Kun Tian, Dewen Xiong and Zhongxing Ye

Equilibrium analysis of one aggressive investment strategy pp. 1-29

Junya Jiang and Weidong Tian

Editorial pp. 1-2

George Yuan

CDS pricing with long memory via fractional Lévy processes pp. 1-35

Holger Fink and Christian Scherr

Pricing European options in a delay model with jumps pp. 1-13

Zaheer Imdad and Tusheng Zhang

Fast and simple method for pricing exotic options using Gauss–Hermite quadrature on a cubic spline interpolation pp. 1-31

Xiaolin Luo and Pavel V. Shevchenko

Game option models of convertible bonds: Determinants of call policies pp. 1-19

Yue Kuen Kwok

Application of the algorithm based on the PSO and improved SVDD for the personal credit rating pp. 1-19

Sulin Pang, Shuqing Li and Jinwang Xiao

Volume 01, issue 03, 2014

Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code pp. 1-19

Bin Li, Qihe Tang, Lihe Wang and Xiaowen Zhou

Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method pp. 1-31

Hidetoshi Nakagawa and Hideyuki Takada

The changing landscape for derivatives pp. 1-8

John Hull

Mitigating risk incentives by issuing convertible bonds: A refinement to the Black–Scholes evaluation model pp. 1-17

Masatoshi Miyake, Mei Yu and Hiroshi Inoue

The impact of free cash flows and agency costs on firm performance — An empirical analysis of KSE listed companies of Pakistan pp. 1-25

Waqas Bin Khidmat and Mobeen Ur Rehman

The economic default time and the arcsine law pp. 1-18

Xin Guo, Robert Jarrow and Adrien de Larrard

Optimal bank management under capital and liquidity constraints pp. 1-21

Fabian Astic and Agnès Tourin

Dynamic alpha-stable method for CDO pricing pp. 1-16

Hua Li, George Yuan, Weina Chen, Li Guo and Jianbin Zhao

Volume 01, issue 02, 2014

Valuing American options by least-squares randomized quasi-Monte Carlo methods pp. 1-16

Xin-Yu Wu, Hai-Lin Zhou and Shou-Yang Wang

On the optimal wealth process in a log-normal market: Applications to risk management pp. 1-37

Phillip Monin and Thaleia Zariphopoulou

A law of the iterated logarithm under sublinear expectations pp. 1-23

Zengjing Chen and Feng Hu

Intercorporate default contagion from industry failures: Stress testing on creditee linkage networks of China pp. 1-23

Mingmin Yang, Haoyu Gao, Zhigang Cao and Xiaoguang Yang

Optimal trade execution under displaced diffusions dynamics across different risk criteria pp. 1-17

Damiano Brigo and Giuseppe Di Graziano

Equity-credit modeling under affine jump-diffusion models with jump-to-default pp. 1-25

Tsz Kin Chung and Yue Kuen Kwok

Uniqueness of concentration index pp. 1-9

Yimin Yang

Optimal portfolio formulas for some mean-reverting price models pp. 1-19

Srdjan Stojanovic

Volume 01, issue 01, 2014

Editorial pp. 1-3

George Yuan

Pricings and hedgings of the perpetual Russian options pp. 1-22

Weiping Li and Su Chen

Expected shortfall or median shortfall pp. 1-6

Steven Kou and Xianhua Peng

Credit coordinate ratings with corresponding credit rating agencies and regulations pp. 1-31

Weiping Li

An overview of the fundamental review of the trading book and its impact pp. 1-19

Yi Zhan

First-order calculus and option pricing pp. 1-19

Peter Carr

A methodology for allocating allowance for loan and lease losses (ALLL) under new regulatory environment pp. 1-19

Yimin Yang, Fang Du and Weixin Zhou

A note on discounting and funding value adjustments for derivatives pp. 1-34

Meng Han, Yeqi He and Hu Zhang

Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks pp. 1-60

Damiano Brigo and Andrea Pallavicini

Transition probability matrix methodology for incremental risk charge pp. 1-47

Tzahi Yavin, Eugene Wang, Hu Zhang and Michael A. Clayton

The framework of systemic risk related to contagion, recovery rate and capital requirement in an interbank network pp. 1-23

Xuemin Ren, George X. Yuan and Lishang Jiang

Monotone schemes for fully nonlinear parabolic path dependent PDEs pp. 1-23

Jianfeng Zhang and Jia Zhuo

Affine long term yield curves: An application of the Ramsey rule with progressive utility pp. 1-24

Nicole El Karoui, Caroline Hillairet and Mohamed Mrad