# International Journal of Financial Engineering (IJFE)

2015 - 2017

Continuation of Journal of Financial Engineering (JFE).

Current editor(s): *George Yuan*

From World Scientific Publishing Co. Pte. Ltd.

Series data maintained by Tai Tone Lim ().

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**Volume 04, issue 02n03, 2017**

- A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison) pp. 1-22
*Yedidya Rabinovitz*
- 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*
- Security issuance and price impact under loss aversion pp. 1-9
*Weining Niu* and *Qingduo Zeng*
- 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*
- 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*
- Pricing spread options by generalized bivariate edgeworth expansion pp. 1-30
*Edward P. C. Kao* and *Weiwei Xie*
- 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 comparison of option pricing models pp. 1-11
*Elham Dastranj* and *Roghaye Latifi*
- Approximate pricing of European and Barrier claims in a local-stochastic volatility setting pp. 1-31
*Weston Barger* and *Matthew Lorig*
- 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*
- 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*
- 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*
- Implied prepayment in agency passing-through mortgage backed securities pp. 1-16
*Haimei Shao* and *Jiongmin Yong*
- Revenue-based lending for SMEs pp. 1-20
*Hassan Mazengera*

**Volume 04, issue 01, 2017**

- Sensitivities under G2++ model of the yield curve pp. 1-38
*H. Jaffal*, *Y. Rakotondratsimba* and *A. Yassine*
- Rebalancing static super-replications pp. 1-23
*Akihiko Takahashi* and *Yukihiro Tsuzuki*
- 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*
- A weak approximation with Malliavin weights for local stochastic volatility model pp. 1-17
*Toshihiro Yamada*
- Pricing currency options in the Heston/CIR double exponential jump-diffusion model pp. 1-30
*Rehez Ahlip*, *Laurence A. F. Park* and *Ante Prodan*
- 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*
- Co-movement of precious metals and forecasting using scale by scale wavelet transform pp. 1-21
*Emrah Oral* and *Gazanfer Unal*
- 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*
- 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*

**Volume 03, issue 04, 2016**

- 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*
- Co-movement analysis of Asian stock markets against FTSE100 and S&P 500: Wavelet-based approach pp. 1-19
*Adil Yilmaz* and *Gazanfer Unal*
- Modeling liquidation risk with occupation times pp. 1-11
*Roman N. Makarov*
- Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets pp. 1-35
*Semere Habtemicael* and *Indranil SenGupta*
- 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*
- A family of positivity preserving schemes for numerical solution of Black–Scholes equation pp. 1-8
*M. Mehdizadeh Khalsaraei* and *R. Shokri Jahandizi*

**Volume 03, issue 03, 2016**

- Theory of long-term interest rates pp. 1-18
*Sebastian Rey*
- 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*
- A note on transforming a weak solution to PDE to a smooth solution pp. 1-4
*Moawia Alghalith*
- Trading VIX futures under mean reversion with regime switching pp. 1-20
*Jiao Li*
- Optimal pairs trading with time-varying volatility pp. 1-29
*Thomas Nanfeng Li* and *Agnès Tourin*
- A general framework for the benchmark pricing in a fully collateralized market pp. 1-30
*Masaaki Fujii* and *Akihiko Takahashi*
- Pricing corporate bonds with interest rates following double square-root process pp. 1-31
*Chi-Fai Lo* and *Cho-Hoi Hui*

**Volume 03, issue 02, 2016**

- A note on CVA and wrong way risk pp. 1-14
*Roberto Baviera*, *Gaetano La Bua* and *Paolo Pellicioli*
- Inverse problem and concentration method of a continuous-in-time financial model pp. 1-20
*Tarik Chakkour* and *Emmanuel Frénod*
- 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*
- CAPM estimates: Can data frequency and time period lend a hand? pp. 1-12
*Syed Jawad Hussain Shahzad*, *Saniya Khalid* and *Saba Ameer*
- Efficient and exact simulation of the Gaussian affine interest rate models pp. 1-11
*Vladimir Ostrovski*
- Feedback control of the multi-asset Black–Scholes PDE using differential flatness theory pp. 1-15
*G. Rigatos* and *P. Siano*
- 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**

- Price impacts of imperfect collateralization pp. 1-31
*Kenichiro Shiraya* and *Akihiko Takahashi*
- Reverse convertible debt under credit risk pp. 1-13
*Rossella Agliardi*
- A sharp approximation for ATM-forward option prices and implied volatilites pp. 1-24
*Dan Stefanica* and *Radoš Radoičić*
- Valuation of CMS range notes in a multifactor LIBOR market model pp. 1-19
*Ping Wu* and *Robert J. Elliott*
- 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*
- 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*