International Journal of Financial Engineering (IJFE)

2015 - 2025

Continuation of Journal of Financial Engineering (JFE).

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 12, issue 03, 2025

An empirical analysis of the effect of COVID-19 on the Indian mutual funds industry pp. 1-21

Rupsa Mahapatra, Kishore Kumar Das, Shahnawaz Ali and Pradeepta Banerjee

A lognormal/normal regime-switching commodity pricing model pp. 1-30

Zhushun Yuan and Roy H. Kwon

China commodity price index (CCPI) forecasting via the neural network pp. 1-27

Bingzi Jin and Xiaojie Xu

Application of machine learning with asymptotic expansion to unconstrained optimal portfolio pp. 1-28

Makoto Naito and Kohta Takehara

Commodity futures basis prediction based on the VMD–DBO–BiGRU model pp. 1-24

Yuanmeng Liu, Fuguo Liu, Yufeng Shi, Yuxue Zhang and Yijia Liu

Corporate tax avoidance and cash holdings: The role of institutional investors’ investment horizons pp. 1-24

Afef Slama

A contrastive deep learning framework for measuring central bank monetary policy scores pp. 1-20

Daqing Tian, Zhongjian Feng and Ran Jiang

Bank size and efficiency in Pakistan: Interdependency of market power and economies of scale pp. 1-25

Mariya Ahmad Qureshi and Syed Faizan Iftikhar

Income diversity, ownership concentration and credit risk in commercial banks: Does bank growth matters? pp. 1-25

Haroon Hussain, Malik Waqar Ahmed, Hammad Hassan Mirza, Hira Irshad and Rana Yassir Hussain

Jump-diffusion option pricing with non-IID jumps pp. 1-46

Lin Zou, António Câmara and Weiping Li

Optimal asset allocation using visual programming techniques: A quantitative analysis based on an ESG portfolio pp. 1-34

Pier Giuseppe Giribone, Damiano Verda, Francesco Mantovani, Federico Milanesio and Alessio Tissone

Comparison of numerical solutions of option pricing under two mixed Black–Scholes models pp. 1-26

Hossein Sahebi Fard and Elham Dastranj

A novel hybrid model combining dimensionality reduction techniques and classification algorithms for credit scoring pp. 1-51

Mohammad Khanbabaei and Parastoo Kabi-Nejad

Enhancing the explainability of the default probability model using the logic learning machine: A comparison between native “white boxes†machine learning techniques pp. 1-37

Pier Giuseppe Giribone, Serena Berretta, Michelangelo Fusaro, Marco Muselli, Federico Tropiano and Damiano Verda

Volume 12, issue 02, 2025

Does financial inclusion catalyze trade pp. 1-17

Syeda Zuimah Wasim, Khurram Iftikhar and Syed Zia Abbas Rizvi

Portfolio risk allocation through Shapley value pp. 1-18

Patrick S. Hagan, Andrew Lesniewski, Georgios E. Skoufis and Diana E. Woodward

An examination of impact of gold and oil prices on the stock markets indices during COVID-19 pp. 1-18

Samreen Fatima, Fouzia Sohail and Yumna Sajid

Prediction of default probability of family farm based on TOPSIS-Logistic model pp. 1-22

Wenluhan Fu and Zhanjiang Li

Assessing the risk impact of COVID-19 on China’s FinTech industry: A multi-dimensional analysis pp. 1-42

Li Zeng and Wee Yeap Lau

Unveiling market dynamics: Assessing the impact of derivatives contract redesign on market quality pp. 1-28

Rahul Kumar and Prasenjit Chakrabarti

Predictable forward utility processes under ambiguity pp. 1-16

Jiale Du, Shuo Li, Fuguo Liu and Yufeng Shi

Tax avoidance and earnings management: Evidence from French firms pp. 1-20

Khawla Hlel

Methodological framework to define and measure “digital†financial inclusion pp. 1-23

N. P. Abdul Azeez, Mohammad Imdadul Haque, S. M. Jawed Akhtar and M. Nasira Banu

Interest rate options in one-factor mixed modified fractional Vasicek model pp. 1-39

Eric Djeutcha, Jules Sadefo Kamdem and Louis Aimé Fono

Optimal strategy in CIR model and modified constant elasticity of variance pp. 1-26

Arezou Karimi, Farshid Mehrdoust and Maziar Salahi

Volume 12, issue 01, 2025

Derivation of discrete analog of Breeden–Litzenberger relation for risk-neutral density pp. 1-8

Abhimanyu Kumar

Information transparency and stock sentiment beta: Evidence from China pp. 1-38

Jian Wang, Jiatuo Xu, Xiaoting Wang, Ting Liu and Jun Yang

Predicting crude oil prices using SARIMA-X method: An empirical study pp. 1-12

Anshul Agrawal, Sanjeev Kadam, Pooja A. Kapoor and Mohammed Rashid

Cross-industry contagion of systemic financial risks from the perspective of dynamic tail risk network: Evidence from China pp. 1-33

Dongfeng Chang, Tong Fu and Weiping Zhang

Decoding financial choices: Investigating factors influencing the investment dynamics of the working women pp. 1-25

K. Sushmitha and A. Jayabal

Does the COVID-19 outbreak affect dynamic co-movement among the stock markets of China, Japan, and the USA? pp. 1-18

Haoyu Li

Dynamic optimal hedging with futures in portfolio context pp. 1-18

Moustapha Pemy and Jules Sadefo Kamdem

Option pricing for Barndorff–Nielsen and Shephard model by supervised deep learning pp. 1-16

Takuji Arai and Yuto Imai

Regression analysis of factors impacting interest rates pp. 1-20

Guizhou Wang and Kjell Hausken

Research on dynamic behavior hedging of corn price risk based on the LA-DCC-GARCH model under COVID-19 pp. 1-20

Sijie Li, Wenjing Guo and Min Zhu

Volume 11, issue 04, 2024

Analysis of public sector banks on the basis of equity research, determinants of banks profitability and nonperforming assets pp. 1-23

Radhika Garg

Interaction between price discovery, market liquidity and arbitrage activity: International evidence pp. 1-38

Hayfa Gabsi, Houssam Bouzgarrou and Imen Ghadhab

Self-service technologies: A bibliometric analysis pp. 1-20

Shruti Thakral and Vishal Kamra

A comprehensive analysis of LSTM techniques for predicting financial market pp. 1-13

Harish Kumar, Anuradha Taluja and Parsanjeet Kumar

Future trends of cryptocurrency in India: A perception study pp. 1-16

Kishore Kumar Das and Tania Guharay

Navigating the labyrinth of smart contract financial derivatives: Unraveling technical detail and application pp. 1-16

Ekansh Agarwal, Manav Singh, Naman Chawre, Aum Sampat and Aparna Sharma

Payment banks — A new milestone for banking penetration in India pp. 1-15

C. Paramasivan and G. Ravichandiran

Bitcoin return volatility forecasting using nonparametric GARCH models pp. 1-15

Sami Mestiri

Digital literacy and financial inclusion in virtual economies: Analyzing the role of education in shaping attitudes toward cryptocurrencies pp. 1-12

Pooja Sharma and Sangeet Vashishtha

Research on the impact of colleges’ English education on regional economic development: A case study of Shanghai and Jiangsu province pp. 1-12

Nidhi Agarwal, Wenjing Chen, Wei Li and Chandra Mohan

Public debt stabilization via a stochastic differential game paradigm pp. 1-33

Ryle S. Perera

Preface: Special Issue on “Metaverse and the Future of Finance†pp. 1-2

Ruchika Gupta, Puneet Kumar and Neeraj Saxena

Mutual fund investments and the factors determining it pp. 1-7

A. G. Mythili and J. Udhayakumar

Phishing detection tool for financial emails pp. 1-22

Sunil Kumar Chowdhary, Pratikshit Kumar, Rohan Mittal, Ishika Gumber, Vivek Jangra and Priyank Srivastava

Impact of GST implementation: An event study approach based on the Indian stock market pp. 1-19

Taru Maheshwari, Mukta Mani and Ajay Singh

Digital identities in the metaverse: Privacy, security, and user authentication in virtual financial systems pp. 1-18

Kapil Garg

Bibliometric analysis of AI and Fintech: Mapping the intersection of artificial intelligence and financial technologies pp. 1-21

Manish Kumar, Babita Jha, Gaurav Gupta and Shiv Ranjan

Volume 11, issue 03, 2024

Enhancing microfinance efficacy for socio-economic development: A fuzzy logic approach to Pradhan Mantri Mudra Yojana pp. 1-28

Neha Chhabra Roy and Narayani Ramachandran

On the impact of provincial digital economy on high-quality economic development in China from a regional heterogeneity perspective pp. 1-28

Yuping Song, Jiahui Pei, Jiaxin Zhang and Yisha Shi

The impact of leverage on investment and firm value during the COVID-19: Evidence from Chinese listed firms pp. 1-29

Shuyu Xue, Zijing Luo and Yuchen Liu

A simple and consistent credit risk model for Basel II/III, IFRS 9 and stress testing when loan data history is short pp. 1-29

Bernd Engelmann

The role of automated controls and streamlined compliance in managing risks in digital finance pp. 1-29

T. K. Shibahathulla, Mohammed Ashraf Ali, Osama Gayyor and Abu Zar Ghaffari

Fast and stable second-order credit sensitivities of credit valuation adjustment pp. 1-36

Roberto Daluiso

Corporate bond default prediction using bilateral topic information of credit rating reports pp. 1-34

Wang Lu, Bo Chen, Cuiqing Jiang, Zhao Wang and Yong Ding

Optimization for stochastic model arisen from investment problem associated with default risk pp. 1-23

Nian Yao, Mingqing Xiao and Songbin Wu

Characterizing delinquency and understanding repayment patterns in Philippine microfinance loans pp. 1-35

Maria Teresa Alexandra A. Bambico and John Paul C. Vergara

Editorial: Special issue on “Smart Credit†and “Microfinance, Credit Risk and Fintech†pp. 1-2

Zhiyong Li, Baofeng Shi, Zhipeng Zhang, Yizhe Dong, Bart Baesens and Anthony Bellotti

Relationship between COVID-19 waves and stock market: An event study analysis pp. 1-16

Dhanraj Sharma, Ruchita Verma, Shiney Sam and Prince Godara

Tail dependence, risk contagion and industry systemic risk: Based on method of Lasso-Expectile pp. 1-22

Qianqian Zhang, Yue Zhang, Wenhua Yang and Shu Wang

A state-dependent dual risk model pp. 1-21

Lingjiong Zhu

Volume 11, issue 02, 2024

Impact of goods and services tax (GST) on Indian economy pp. 1-10

Ramita Bansal, Preeti Shrivastava and Amar Kumar

Impact of social networking sites (SNSs) on stock market: Review, synthesis and direction for future research pp. 1-34

Md. Ziaul Haque, Md. Shamim Hossain and Suraiea Akter Lucky

Does the COVID-19 pandemic strengthen the volatility spillovers across global stock markets? pp. 1-24

Yuqin Zhou, Shan Wu and Zhenhua Liu

Sustainability reporting and bank performance in a developing country pp. 1-25

Md. Abdul Halim, Reshma Pervin Lima and Md. Nazmul Islam

Evaluating performance of SMEs using structure equation modeling pp. 1-15

Sunil Kumar Das Bendi

A fundamental approach to corporate bond options pp. 1-30

Saied Simozar

Are VaR models effective in capturing downside risk in alternative investment funds? Insights from a cross-country study pp. 1-19

Amrit Panda and Soumya Guha Deb

Optimal investment–consumption–insurance strategy with inflation risk and stochastic income in an Itô–Lévy setting pp. 1-19

Gaoganwe S. Moagi and Obonye Doctor

Does foreign direct investment cause economic growth in India? An econometric analysis pp. 1-9

Ranjeet Kumar

Volume 11, issue 01, 2024

A dimension reduction approach for loss valuation in credit risk modeling pp. 1-48

Jian He, Asma Khedher and Peter Spreij

Accounting quality and countries institutional characteristics: Evidence from multinational firms pp. 1-25

Nizar Berrim, Imen Ghadhab and Hamza Nizar

Explicit caplet implied volatilities for quadratic term-structure models pp. 1-28

Matthew Lorig and Natchanon Suaysom

Analytical and numerical solutions for a special nonlinear equation pp. 1-24

Hossein Sahebi Fard, Elham Dastranj, Reza Hejazi and Amin Jajarmi

Carbon trading price forecasting based on parameter optimization VMD and deep network CNN–LSTM model pp. 1-39

Meijun Ling and Cao Guangxi

Asymmetric link between energy market and crypto market pp. 1-20

Anshul Agrawal

Hedging rainfall risk: An illustrative analysis of rainfall index-based futures contracts pp. 1-22

N. Dileep and G. Kotreshwar

Lie symmetry, exact solutions and conservation laws of bi-fractional Black–Scholes equation derived by the fractional G-Brownian motion pp. 1-15

Jicheng Yu, Yuqiang Feng and Xianjia Wang

Exploring factors influencing investment satisfaction: A study of women investors in Chennai city pp. 1-18

K. Sushmitha and A. Jayabal

The interdependence and risk transmission between southward, northward capital and China’s stock, foreign exchange market pp. 1-21

Cao Guangxi and Wenhao Xie