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 02, 2018

Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target: Probability estimates of large deviations pp. 1-37

Nian Yao

Exact solutions for time-fractional Fokker–Planck–Kolmogorov equation of Geometric Brownian motion via Lie point symmetries pp. 1-15

Azadeh Naderifard, Elham Dastranj and S. Reza Hejazi

Alternative characterization of volatility of short-term interest rate pp. 1-15

Ramaprasad Bhar and Damien Lee

VIX derivatives valuation and estimation based on closed-form series expansions pp. 1-18

Zhe Zhao, Zhenyu Cui and Ionuţ Florescu

Numerical pricing of European options with arbitrary payoffs pp. 1-31

Ricardo Pachón

Effect of explicit deposit insurance premium on the moral hazard of banks’ risk-taking: Around the globe pp. 1-24

Raheel Mumtaz and Imran Abbas Jadoon

LIBOR market model with multiplicative basis pp. 1-38

Yangfan Zhong

Financial management and forecasting using business intelligence and big data analytic tools pp. 1-16

Shrutika Mishra

Probabilistic approach to measuring early-warning signals of systemic contagion risk pp. 1-25

Cho-Hoi Hui, Chi-Fai Lo, Xiao-Fen Zheng and Tom Fong

Shortfall risk through Fenchel duality pp. 1-14

Zhenyu Cui and Jun Deng

Volume 05, issue 01, 2018

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

Tony S. Wirjanto and Anyi Zhu

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

Charles I. Nkeki

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

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

Song-Ping Zhu and Guiyuan Ma

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

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

Patrik Karlsson

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

Simon Ellersgaard and Martin Tegnér

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

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

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

Revenue-based lending for SMEs pp. 1-20

Hassan Mazengera

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

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

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

Edward P. C. Kao and Weiwei Xie

A comparison of option pricing models pp. 1-11

Elham Dastranj and Roghaye Latifi

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

Weining Niu and Qingduo Zeng

Asset pricing under general collateralization pp. 1-23

Yanhui Mi

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

Khaled Salhi

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

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

Haimei Shao and Jiongmin Yong

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

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

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

Zhigang Tong and Allen Liu

Volume 04, issue 01, 2017

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

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

H. Jaffal, Y. Rakotondratsimba and A. Yassine

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

Emrah Oral and Gazanfer Unal

Pricing derivatives with fractional volatility pp. 1-28

Hideharu Funahashi

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

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

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

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

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

Rebalancing static super-replications pp. 1-23

Akihiko Takahashi and Yukihiro Tsuzuki

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

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