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International Journal of Financial Engineering (IJFE)

2015 - 2018

Contiuation 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 03, 2018

Who would invest only in the risk-free asset? pp. 1-14 Downloads
N. Azevedo, D. Pinheiro, S. Z. Xanthopoulos and A. N. Yannacopoulos
The source of error behavior for the solution of Black–Scholes PDE by finite difference and finite element methods pp. 1-22 Downloads
H. Ünsal Özer and Ahmet Duran
Optimal asset allocation for a bank under risk control pp. 1-27 Downloads
Ryle S. Perera and Kimitoshi Sato
Do competition and development indicators heterogeneously affect risk and capital? Evidence from Asian banks pp. 1-18 Downloads
Afsana Yesmin
Weighted average price management of manufacturer sales on commodity exchanges pp. 1-17 Downloads
Sergey A. Vavilov and Konstantin S. Kuznetsov
An exact and explicit implied volatility inversion formula pp. 1-29 Downloads
Yuxuan Xia and Zhenyu Cui
Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis pp. 1-31 Downloads
Yangfan Zhong and Yanhui Mi
Corporate governance, earnings management and the value-relevance of accounting information: Evidence from Pakistan pp. 1-31 Downloads
Waqas Bin Khidmat, Man Wang and Sadia Awan
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model pp. 1-23 Downloads
Tim Leung and Raphael Yan
A hybrid computational approach for option pricing pp. 1-16 Downloads
Song-Ping Zhu and Xin-Jiang He
Pricing multi-asset American option under Heston stochastic volatility model pp. 1-16 Downloads
Oldouz Samimi and Farshid Mehrdoust

Volume 05, issue 02, 2018

Shortfall risk through Fenchel duality pp. 1-14 Downloads
Zhenyu Cui and Jun Deng
Probabilistic approach to measuring early-warning signals of systemic contagion risk pp. 1-25 Downloads
Cho-Hoi Hui, Chi-Fai Lo, Xiao-Fen Zheng and Tom Fong
VIX derivatives valuation and estimation based on closed-form series expansions pp. 1-18 Downloads
Zhe Zhao, Zhenyu Cui and Ionuţ Florescu
Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target: Probability estimates of large deviations pp. 1-37 Downloads
Nian Yao
Financial management and forecasting using business intelligence and big data analytic tools pp. 1-16 Downloads
Shrutika Mishra
Exact solutions for time-fractional Fokker–Planck–Kolmogorov equation of Geometric Brownian motion via Lie point symmetries pp. 1-15 Downloads
Azadeh Naderifard, Elham Dastranj and S. Reza Hejazi
Alternative characterization of volatility of short-term interest rate pp. 1-15 Downloads
Ramaprasad Bhar and Damien Lee
Numerical pricing of European options with arbitrary payoffs pp. 1-31 Downloads
Ricardo Pachón
LIBOR market model with multiplicative basis pp. 1-38 Downloads
Yangfan Zhong
Effect of explicit deposit insurance premium on the moral hazard of banks’ risk-taking: Around the globe pp. 1-24 Downloads
Raheel Mumtaz and Imran Abbas Jadoon

Volume 05, issue 01, 2018

Optimal investment risks management strategies of an economy in a financial crisis pp. 1-24 Downloads
Charles I. Nkeki
Electricity price forecasting using multiple wavelet coherence method: Comparison of ARMA versus VARMA pp. 1-20 Downloads
Mustafa Gülerce and Gazanfer Ünal
Finite element based Monte Carlo simulation of options on Lévy driven assets pp. 1-23 Downloads
Patrik Karlsson
Stochastic volatility for utility maximizers — A martingale approach pp. 1-39 Downloads
Simon Ellersgaard and Martin Tegnér
An analytical solution for the HJB equation arising from the Merton problem pp. 1-26 Downloads
Song-Ping Zhu and Guiyuan Ma
Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change pp. 1-21 Downloads
Zhigang Tong and Allen Liu
Covariance estimation using random permutations pp. 1-21 Downloads
Lakshmi Padmakumari and S. Maheswaran
Implied volatility surfaces during the period of global financial crisis pp. 1-50 Downloads
Tony S. Wirjanto and Anyi Zhu
Does earnings management mediate the impact of financial policies on market value of firms? A comparative study of China and Pakistan pp. 1-22 Downloads
Muhammad Rizwan Kamran, Zheng Zhao, Haji Suleman Ali and Fiza Sabir

Volume 04, issue 02n03, 2017

A comparison of option pricing models pp. 1-11 Downloads
Elham Dastranj and Roghaye Latifi
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
Approximate pricing of European and Barrier claims in a local-stochastic volatility setting pp. 1-31 Downloads
Weston Barger and Matthew Lorig
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
Implied prepayment in agency passing-through mortgage backed securities pp. 1-16 Downloads
Haimei Shao and Jiongmin Yong
Pricing spread options by generalized bivariate edgeworth expansion pp. 1-30 Downloads
Edward P. C. Kao and Weiwei Xie
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
Pricing European options and risk measurement under exponential Lévy models — a practical guide pp. 1-36 Downloads
Khaled Salhi
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
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
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
Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change pp. 1-24 Downloads
Zhigang Tong and Allen Liu
Revenue-based lending for SMEs pp. 1-20 Downloads
Hassan Mazengera
Asset pricing under general collateralization pp. 1-23 Downloads
Yanhui Mi
A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison) pp. 1-22 Downloads
Yedidya Rabinovitz

Volume 04, issue 01, 2017

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
Pricing derivatives with fractional volatility pp. 1-28 Downloads
Hideharu Funahashi
A weak approximation with Malliavin weights for local stochastic volatility model pp. 1-17 Downloads
Toshihiro Yamada
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
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
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
Sensitivities under G2++ model of the yield curve pp. 1-38 Downloads
H. Jaffal, Y. Rakotondratsimba and A. Yassine
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
Rebalancing static super-replications pp. 1-23 Downloads
Akihiko Takahashi and Yukihiro Tsuzuki
Optimal dividends in the dual risk model under a stochastic interest rate pp. 1-16 Downloads
Zailei Cheng
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