International Journal of Financial Engineering (IJFE)

2015 - 2018

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 05, issue 01, 2018

Finite element based Monte Carlo simulation of options on Lévy driven assets pp. 1-23

Patrik Karlsson

Optimal investment risks management strategies of an economy in a financial crisis pp. 1-24

Charles I. Nkeki

An analytical solution for the HJB equation arising from the Merton problem pp. 1-26

Song-Ping Zhu and Guiyuan Ma

Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change pp. 1-21

Zhigang Tong and Allen Liu

Covariance estimation using random permutations pp. 1-21

Lakshmi Padmakumari and S. Maheswaran

Stochastic volatility for utility maximizers — A martingale approach pp. 1-39

Simon Ellersgaard and Martin Tegnér

Does earnings management mediate the impact of financial policies on market value of firms? A comparative study of China and Pakistan pp. 1-22

Muhammad Rizwan Kamran, Zheng Zhao, Haji Suleman Ali and Fiza Sabir

Implied volatility surfaces during the period of global financial crisis pp. 1-50

Tony S. Wirjanto and Anyi Zhu

Electricity price forecasting using multiple wavelet coherence method: Comparison of ARMA versus VARMA pp. 1-20

Mustafa Gülerce and Gazanfer Ünal

Volume 04, issue 02n03, 2017

Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change pp. 1-24

Zhigang Tong and Allen Liu

Pricing European options and risk measurement under exponential Lévy models — a practical guide pp. 1-36

Khaled Salhi

A comparison of option pricing models pp. 1-11

Elham Dastranj and Roghaye Latifi

Dynamic mean variance asset allocation: Tests for robustness pp. 1-37

Peter A. Forsyth and Kenneth R. Vetzal

Hedging and pricing illiquid options with market impacts pp. 1-37

Taiga Saito

Asset pricing under general collateralization pp. 1-23

Yanhui Mi

Performance of banking industry in Bangladesh: Insights of CAMEL rating pp. 1-15

Syed Moudud-Ul-Huq

Pólya-based approximation for the ATM-forward implied volatility pp. 1-15

Ivan Matić, Radoš Radoičić and Dan Stefanica

Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty pp. 1-29

Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward

Efficient valuation and exercise boundary of American fractional lookback option in a mixed jump-diffusion model pp. 1-29

Zhaoqiang Yang

Style analysis with particle filtering and generalized simulated annealing pp. 1-29

Takaya Fukui, Seisho Sato and Akihiko Takahashi

Revenue-based lending for SMEs pp. 1-20

Hassan Mazengera

Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs pp. 1-17

Xin Gao, Binlin Wu and Tobias Schäfer

A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison) pp. 1-22

Yedidya Rabinovitz

Approximate pricing of European and Barrier claims in a local-stochastic volatility setting pp. 1-31

Weston Barger and Matthew Lorig

Game options approach in company radical technological innovation with generalized poisson jump process pp. 1-18

A. El Hajaji, A. Serghini, K. Mokhlis, K. Hilal and E. B. Mermri

Security issuance and price impact under loss aversion pp. 1-9

Weining Niu and Qingduo Zeng

Implied prepayment in agency passing-through mortgage backed securities pp. 1-16

Haimei Shao and Jiongmin Yong

Banks’ capital regulation and risk: Does bank vary in size? Empirical evidence from Bangladesh pp. 1-27

Changjun Zheng and Syed Moudud-Ul-Huq

Do market competition and development indicators matter for banks’ risk, capital, and efficiency relationship? pp. 1-27

Changjun Zheng, Anupam Das Gupta and Syed Moudud-Ul-Huq

Negative interest rates effects on option pricing: Back to basics? pp. 1-27

Giacomo Burro, Pier Giuseppe Giribone, Simone Ligato, Martina Mulas and Francesca Querci

Pricing spread options by generalized bivariate edgeworth expansion pp. 1-30

Edward P. C. Kao and Weiwei Xie

Volume 04, issue 01, 2017

Pricing currency options in the Heston/CIR double exponential jump-diffusion model pp. 1-30

Rehez Ahlip, Laurence A. F. Park and Ante Prodan

Pricing derivatives with fractional volatility pp. 1-28

Hideharu Funahashi

Optimal dividends in the dual risk model under a stochastic interest rate pp. 1-16

Zailei Cheng

A weak approximation with Malliavin weights for local stochastic volatility model pp. 1-17

Toshihiro Yamada

Fractional Black–Scholes equation pp. 1-15

A. Aghili

Chapman–Kolmogorov equations for multi-period equity-linked note with conditional coupons pp. 1-15

Branislav Radak

Pricing for options in a mixed fractional Hull–White interest rate model pp. 1-15

Jian Pan and Xiangying Zhou

The effects of negative interest rates on the estimation of option sensitivities: The impact of switching from a log-normal to a normal model pp. 1-42

Pier Giuseppe Giribone, Simone Ligato and Martina Mulas

The impact of skew on the pricing of CoCo bonds pp. 1-19

Jan De Spiegeleer, Monika B. Forys, Ine Marquet and Wim Schoutens

Rebalancing static super-replications pp. 1-23

Akihiko Takahashi and Yukihiro Tsuzuki

Co-movement of precious metals and forecasting using scale by scale wavelet transform pp. 1-21

Emrah Oral and Gazanfer Unal

Sensitivities under G2++ model of the yield curve pp. 1-38

H. Jaffal, Y. Rakotondratsimba and A. Yassine

Contingent conversion convertible bond: New avenue to raise bank capital pp. 1-31

Francesca Erica Di Girolamo, Francesca Campolongo, Jan De Spiegeleer and Wim Schoutens

The pricing of average options with jump diffusion processes in the uncertain volatility model pp. 1-31

Yulian Fan and Huadong Zhang

Volume 03, issue 04, 2016

Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets pp. 1-35

Semere Habtemicael and Indranil SenGupta

Stochastic cost flow system for stock markets with an application in behavioral finance pp. 1-32

Oliver Chan and Alfred Ka Chun Ma

On the impact of a scrip dividend on an equity forward pp. 1-16

German Bernhart and Jan-Frederik Mai

Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method pp. 1-20

Mengzhe Zhang and Leunglung Chan

Firm, industry and economic determinants of working capital at risk pp. 1-29

Tarek Ibrahim Eldomiaty, Mohamed Hashem Rashwan, Mohamed Bahaa El Din and Waleed Tayel

Co-movement analysis of Asian stock markets against FTSE100 and S&P 500: Wavelet-based approach pp. 1-19

Adil Yilmaz and Gazanfer Unal

A family of positivity preserving schemes for numerical solution of Black–Scholes equation pp. 1-8

M. Mehdizadeh Khalsaraei and R. Shokri Jahandizi

Modeling liquidation risk with occupation times pp. 1-11

Roman N. Makarov

Volume 03, issue 03, 2016

Theory of long-term interest rates pp. 1-18

Sebastian Rey

Pricing corporate bonds with interest rates following double square-root process pp. 1-31

Chi-Fai Lo and Cho-Hoi Hui

RAROC in portfolio optimization pp. 1-14

Panagiotis Xidonas, Christos E. Kountzakis, Christis Hassapis and Christos Staikouras

Control of price acceptability under the univariate Vasicek model pp. 1-40

S. Dang-Nguyen and Y. Rakotondratsimba

Optimal pairs trading with time-varying volatility pp. 1-29

Thomas Nanfeng Li and Agnès Tourin

Trading VIX futures under mean reversion with regime switching pp. 1-20

Jiao Li

A general framework for the benchmark pricing in a fully collateralized market pp. 1-30

Masaaki Fujii and Akihiko Takahashi

A note on transforming a weak solution to PDE to a smooth solution pp. 1-4

Moawia Alghalith

Volume 03, issue 02, 2016

A note on the valuation of CDS options and extension risk in a structural model with jumps pp. 1-16

Amelie Hüttner and Matthias Scherer

A modified stochastic volatility model based on Gamma Ornstein–Uhlenbeck process and option pricing pp. 1-16

Yanhui Mi

Inverse problem and concentration method of a continuous-in-time financial model pp. 1-20

Tarik Chakkour and Emmanuel Frénod

CAPM estimates: Can data frequency and time period lend a hand? pp. 1-12

Syed Jawad Hussain Shahzad, Saniya Khalid and Saba Ameer

A note on CVA and wrong way risk pp. 1-14

Roberto Baviera, Gaetano La Bua and Paolo Pellicioli

Feedback control of the multi-asset Black–Scholes PDE using differential flatness theory pp. 1-15

G. Rigatos and P. Siano

Efficient and exact simulation of the Gaussian affine interest rate models pp. 1-11

Vladimir Ostrovski

Flexible-forward pricing through Leisen–Reimer trees: Implementation and performance comparison with traditional Markov chains pp. 1-21

Pier Giuseppe Giribone and Simone Ligato

Volume 03, issue 01, 2016

Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs pp. 1-22

Foad Shokrollahi, Adem Kılıçman and Marcin Magdziarz

Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model pp. 1-22

Patrik Karlsson, Shashi Jain and Cornelis W. Oosterlee

Reverse convertible debt under credit risk pp. 1-13

Rossella Agliardi

Valuation of CMS range notes in a multifactor LIBOR market model pp. 1-19

Ping Wu and Robert J. Elliott

An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks pp. 1-27

Sio Chong U, Jacky So, Deng Ding and Lihong Liu

A sharp approximation for ATM-forward option prices and implied volatilites pp. 1-24

Dan Stefanica and Radoš Radoičić

Price impacts of imperfect collateralization pp. 1-31

Kenichiro Shiraya and Akihiko Takahashi