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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

Asset pricing under general collateralization pp. 1-23 Downloads
Yanhui Mi
Approximate pricing of European and Barrier claims in a local-stochastic volatility setting pp. 1-31 Downloads
Weston Barger and Matthew Lorig
A comparison of option pricing models pp. 1-11 Downloads
Elham Dastranj and Roghaye Latifi
Pricing European options and risk measurement under exponential Lévy models — a practical guide pp. 1-36 Downloads
Khaled Salhi
Banks’ capital regulation and risk: Does bank vary in size? Empirical evidence from Bangladesh pp. 1-27 Downloads
Changjun Zheng and Syed Moudud-Ul-Huq
Do market competition and development indicators matter for banks’ risk, capital, and efficiency relationship? pp. 1-27 Downloads
Changjun Zheng, Anupam Das Gupta and Syed Moudud-Ul-Huq
Negative interest rates effects on option pricing: Back to basics? pp. 1-27 Downloads
Giacomo Burro, Pier Giuseppe Giribone, Simone Ligato, Martina Mulas and Francesca Querci
Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs pp. 1-17 Downloads
Xin Gao, Binlin Wu and Tobias Schäfer
Revenue-based lending for SMEs pp. 1-20 Downloads
Hassan Mazengera
Performance of banking industry in Bangladesh: Insights of CAMEL rating pp. 1-15 Downloads
Syed Moudud-Ul-Huq
Pólya-based approximation for the ATM-forward implied volatility pp. 1-15 Downloads
Ivan Matić, Radoš Radoičić and Dan Stefanica
Game options approach in company radical technological innovation with generalized poisson jump process pp. 1-18 Downloads
A. El Hajaji, A. Serghini, K. Mokhlis, K. Hilal and E. B. Mermri
Dynamic mean variance asset allocation: Tests for robustness pp. 1-37 Downloads
Peter A. Forsyth and Kenneth R. Vetzal
Hedging and pricing illiquid options with market impacts pp. 1-37 Downloads
Taiga Saito
Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change pp. 1-24 Downloads
Zhigang Tong and Allen Liu
A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison) pp. 1-22 Downloads
Yedidya Rabinovitz
Security issuance and price impact under loss aversion pp. 1-9 Downloads
Weining Niu and Qingduo Zeng
Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty pp. 1-29 Downloads
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 Downloads
Zhaoqiang Yang
Style analysis with particle filtering and generalized simulated annealing pp. 1-29 Downloads
Takaya Fukui, Seisho Sato and Akihiko Takahashi
Pricing spread options by generalized bivariate edgeworth expansion pp. 1-30 Downloads
Edward P. C. Kao and Weiwei Xie
Implied prepayment in agency passing-through mortgage backed securities pp. 1-16 Downloads
Haimei Shao and Jiongmin Yong

Volume 04, issue 01, 2017

Pricing derivatives with fractional volatility pp. 1-28 Downloads
Hideharu Funahashi
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 Downloads
Pier Giuseppe Giribone, Simone Ligato and Martina Mulas
A weak approximation with Malliavin weights for local stochastic volatility model pp. 1-17 Downloads
Toshihiro Yamada
Optimal dividends in the dual risk model under a stochastic interest rate pp. 1-16 Downloads
Zailei Cheng
Fractional Black–Scholes equation pp. 1-15 Downloads
A. Aghili
Chapman–Kolmogorov equations for multi-period equity-linked note with conditional coupons pp. 1-15 Downloads
Branislav Radak
Pricing for options in a mixed fractional Hull–White interest rate model pp. 1-15 Downloads
Jian Pan and Xiangying Zhou
Pricing currency options in the Heston/CIR double exponential jump-diffusion model pp. 1-30 Downloads
Rehez Ahlip, Laurence A. F. Park and Ante Prodan
Co-movement of precious metals and forecasting using scale by scale wavelet transform pp. 1-21 Downloads
Emrah Oral and Gazanfer Unal
The impact of skew on the pricing of CoCo bonds pp. 1-19 Downloads
Jan De Spiegeleer, Monika B. Forys, Ine Marquet and Wim Schoutens
Sensitivities under G2++ model of the yield curve pp. 1-38 Downloads
H. Jaffal, Y. Rakotondratsimba and A. Yassine
Contingent conversion convertible bond: New avenue to raise bank capital pp. 1-31 Downloads
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 Downloads
Yulian Fan and Huadong Zhang
Rebalancing static super-replications pp. 1-23 Downloads
Akihiko Takahashi and Yukihiro Tsuzuki

Volume 03, issue 04, 2016

Co-movement analysis of Asian stock markets against FTSE100 and S&P 500: Wavelet-based approach pp. 1-19 Downloads
Adil Yilmaz and Gazanfer Unal
Stochastic cost flow system for stock markets with an application in behavioral finance pp. 1-32 Downloads
Oliver Chan and Alfred Ka Chun Ma
Modeling liquidation risk with occupation times pp. 1-11 Downloads
Roman N. Makarov
A family of positivity preserving schemes for numerical solution of Black–Scholes equation pp. 1-8 Downloads
M. Mehdizadeh Khalsaraei and R. Shokri Jahandizi
Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method pp. 1-20 Downloads
Mengzhe Zhang and Leunglung Chan
Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets pp. 1-35 Downloads
Semere Habtemicael and Indranil SenGupta
Firm, industry and economic determinants of working capital at risk pp. 1-29 Downloads
Tarek Ibrahim Eldomiaty, Mohamed Hashem Rashwan, Mohamed Bahaa El Din and Waleed Tayel
On the impact of a scrip dividend on an equity forward pp. 1-16 Downloads
German Bernhart and Jan-Frederik Mai

Volume 03, issue 03, 2016

A general framework for the benchmark pricing in a fully collateralized market pp. 1-30 Downloads
Masaaki Fujii and Akihiko Takahashi
Optimal pairs trading with time-varying volatility pp. 1-29 Downloads
Thomas Nanfeng Li and Agnès Tourin
Control of price acceptability under the univariate Vasicek model pp. 1-40 Downloads
S. Dang-Nguyen and Y. Rakotondratsimba
Trading VIX futures under mean reversion with regime switching pp. 1-20 Downloads
Jiao Li
RAROC in portfolio optimization pp. 1-14 Downloads
Panagiotis Xidonas, Christos E. Kountzakis, Christis Hassapis and Christos Staikouras
A note on transforming a weak solution to PDE to a smooth solution pp. 1-4 Downloads
Moawia Alghalith
Pricing corporate bonds with interest rates following double square-root process pp. 1-31 Downloads
Chi-Fai Lo and Cho-Hoi Hui
Theory of long-term interest rates pp. 1-18 Downloads
Sebastian Rey

Volume 03, issue 02, 2016

Flexible-forward pricing through Leisen–Reimer trees: Implementation and performance comparison with traditional Markov chains pp. 1-21 Downloads
Pier Giuseppe Giribone and Simone Ligato
Efficient and exact simulation of the Gaussian affine interest rate models pp. 1-11 Downloads
Vladimir Ostrovski
Inverse problem and concentration method of a continuous-in-time financial model pp. 1-20 Downloads
Tarik Chakkour and Emmanuel Frénod
A note on CVA and wrong way risk pp. 1-14 Downloads
Roberto Baviera, Gaetano La Bua and Paolo Pellicioli
Feedback control of the multi-asset Black–Scholes PDE using differential flatness theory pp. 1-15 Downloads
G. Rigatos and P. Siano
A note on the valuation of CDS options and extension risk in a structural model with jumps pp. 1-16 Downloads
Amelie Hüttner and Matthias Scherer
A modified stochastic volatility model based on Gamma Ornstein–Uhlenbeck process and option pricing pp. 1-16 Downloads
Yanhui Mi
CAPM estimates: Can data frequency and time period lend a hand? pp. 1-12 Downloads
Syed Jawad Hussain Shahzad, Saniya Khalid and Saba Ameer

Volume 03, issue 01, 2016

A sharp approximation for ATM-forward option prices and implied volatilites pp. 1-24 Downloads
Dan Stefanica and Radoš Radoičić
Price impacts of imperfect collateralization pp. 1-31 Downloads
Kenichiro Shiraya and Akihiko Takahashi
Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs pp. 1-22 Downloads
Foad Shokrollahi, Adem Kılıçman and Marcin Magdziarz
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model pp. 1-22 Downloads
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 Downloads
Sio Chong U, Jacky So, Deng Ding and Lihong Liu
Valuation of CMS range notes in a multifactor LIBOR market model pp. 1-19 Downloads
Ping Wu and Robert J. Elliott
Reverse convertible debt under credit risk pp. 1-13 Downloads
Rossella Agliardi
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