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International Journal of Financial Engineering (IJFE)

2015 - 2019

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 06, issue 03, 2019

Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models pp. 1-37 Downloads
Hongkai Cao, Rupak Chatterjee and Zhenyu Cui
Market efficiency in the emerging and frontier markets of the MENA countries pp. 1-18 Downloads
Abdelkader Derbali
Random thinning model with a truncated credit quality vulnerability factor: Application to top-down-type credit risk assessment pp. 1-13 Downloads
Suguru Yamanaka
Behavioral biases and investors’ decision-making: The moderating role of socio-demographic variables pp. 1-15 Downloads
Naveeda K. Katper, Muhammad Azam, Nazima Abdul Karim and Syeda Zinnaira Zia
Modeling of implied volatility surfaces of nifty index options pp. 1-11 Downloads
Mihir Dash
Productivity and efficiency analysis of Pakistani mutual funds using Malmquist index approach pp. 1-21 Downloads
Farah Naz, Hafsa Khan, Muhammad Ishfaq Ahmad, Ramiz Ur Rehman and Muhammad Akram Naseem
Cost of external financing of SMEs: A study of a developing country pp. 1-22 Downloads
Md. Rostam Ali, Rustom Ali Ahmed and Md. Ashikul Islam
Forecasting plausible scenarios and losses in interest rate targeting using mathematical optimization pp. 1-24 Downloads
Katsuhiro Tanaka

Volume 06, issue 02, 2019

Strategies for choosing an uncertainty budget in log-robust portfolio management pp. 1-24 Downloads
Yuntaek Pae and Navid Sabbaghi
Do factors matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM pp. 1-16 Downloads
Muhammad Adnan Arshad, Saira Munir, Bashir Ahmad and Muhammad Waseem
Company stock rewards on the evaluation of investor’s remuneration package with stochastic income pp. 1-16 Downloads
Kebareng I. Moalosi-Court, Edward M. Lungu and Elias R. Offen
Option pricing in a subdiffusive constant elasticity of variance (CEV) model pp. 1-21 Downloads
Kevin Z. Tong and Allen Liu
Does bank capital affect the monetary policy transmission mechanism? A case study of Emerging Market Economies (EMEs) pp. 1-20 Downloads
Zia Abbas, Syed Faizan Iftikhar and Shaista Alam
Empirical investigation of relationship between research and development intensity and firm performance: The role of ownership structure and board structure pp. 1-27 Downloads
Muhammad Usman Yousaf, Muhammad Kashif Khurshid, Aftab Ahmed and Muhammad Zulfiqar
Modeling the impact of banking sector credit on growth performance: An empirical evidence of credit to household and enterprise in Pakistan pp. 1-17 Downloads
Sadaf Majeed, Syed Faizan Iftikhar and Zeeshan Atiq
Pricing S&P500 barrier put option of American type under Heston–CIR model with regime-switching pp. 1-17 Downloads
Farshid Mehrdoust and Idin Noorani

Volume 06, issue 01, 2019

The general dynamic risk assessment for the enterprise by the hologram approach in financial technology pp. 1-48 Downloads
George Xianzhi Yuan and Huiqi Wang
Testing of binary regime switching models using squeeze duration analysis pp. 1-20 Downloads
Milan Kumar Das and Anindya Goswami
Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns pp. 1-17 Downloads
Jivendra K. Kale and Tee Lim
Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion pp. 1-45 Downloads
Caibin Zhang, Zhibin Liang and Kam Chuen Yuen
A stochastic control approach to managed futures portfolios pp. 1-22 Downloads
Tim Leung and Raphael Yan
Empirical research on the correlation between Real Earnings Management of state-owned enterprises and executive compensation — from the perspective of executive structural power pp. 1-19 Downloads
Lei Yu, Yuxuan Dai, Keguang Zheng and Yongjie Zhang
How to mine gold without digging pp. 1-30 Downloads
Kevin Guo, Tim Leung and Brian Ward
What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market pp. 1-31 Downloads
Hossein Dastkhan
Signaling game models of equity financing under information asymmetry and finite project life pp. 1-38 Downloads
Qiuqi Wang and Yue Kuen Kwok
To study moderating role of ownership structure on R&D expenditure policies on accounting performance and market value pp. 1-18 Downloads
Ali Ostadhashemi and Muhammad Esmaeil Fadaei Nejad

Volume 05, issue 04, 2018

Forecasting dirty tanker freight rate index by using stochastic differential equations pp. 1-15 Downloads
Hossein Jafari and Ghazaleh Rahimi
The semi-martingale equilibrium equity premium for risk-neutral investors pp. 1-15 Downloads
George M. Mukupa and Elias R. Offen
Design of an Artificial Neural Network battery for an optimal recognition of patterns in financial time series pp. 1-17 Downloads
Simone Fioribello and Pier Giuseppe Giribone
The impact of business cycle on capital buffer during the period of Basel-II and Basel-III: Evidence from the Pakistani banks pp. 1-20 Downloads
Khurram Iftikhar and Syed Faizan Iftikhar
Using App Inventor to provide the amortization schedule and the sinking fund schedule pp. 1-9 Downloads
Li-Fei Huang
The study of dynamics for credit default risk by backward stochastic differential equation method pp. 1-32 Downloads
Kun Tian, Dewen Xiong, Wenchao Yan and George Xianzhi Yuan
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models pp. 1-30 Downloads
Duy Nguyen
Credit risk assessment using purchase order information pp. 1-19 Downloads
Suguru Yamanaka
Combining robust dynamic neural networks with traditional technical indicators for generating mechanic trading signals pp. 1-44 Downloads
Pier Giuseppe Giribone, Simone Ligato and Francesco Penone
Factors affecting investment decision-making in Pakistan stock exchange pp. 1-14 Downloads
Adeel Mumtaz, Tahir Saeed and M. Ramzan
A simple explanation of biased movements of renminbi exchange rate pp. 1-12 Downloads
Cho-Hoi Hui and Chi-Fai Lo

Volume 05, issue 03, 2018

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
Do competition and development indicators heterogeneously affect risk and capital? Evidence from Asian banks pp. 1-18 Downloads
Afsana Yesmin
Optimal dynamic pairs trading of futures under a two-factor mean-reverting model pp. 1-23 Downloads
Tim Leung and Raphael Yan
An exact and explicit implied volatility inversion formula pp. 1-29 Downloads
Yuxuan Xia and Zhenyu Cui
Who would invest only in the risk-free asset? pp. 1-14 Downloads
N. Azevedo, D. Pinheiro, S. Z. Xanthopoulos and A. N. Yannacopoulos
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
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
Weighted average price management of manufacturer sales on commodity exchanges pp. 1-17 Downloads
Sergey A. Vavilov and Konstantin S. Kuznetsov

Volume 05, issue 02, 2018

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
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
Financial management and forecasting using business intelligence and big data analytic tools pp. 1-16 Downloads
Shrutika Mishra
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
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
Numerical pricing of European options with arbitrary payoffs pp. 1-31 Downloads
Ricardo Pachón
VIX derivatives valuation and estimation based on closed-form series expansions pp. 1-18 Downloads
Zhe Zhao, Zhenyu Cui and Ionuţ Florescu
LIBOR market model with multiplicative basis pp. 1-38 Downloads
Yangfan Zhong
Shortfall risk through Fenchel duality pp. 1-14 Downloads
Zhenyu Cui and Jun Deng

Volume 05, issue 01, 2018

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
Optimal investment risks management strategies of an economy in a financial crisis pp. 1-24 Downloads
Charles I. Nkeki
An analytical solution for the HJB equation arising from the Merton problem pp. 1-26 Downloads
Song-Ping Zhu and Guiyuan Ma
Stochastic volatility for utility maximizers — A martingale approach pp. 1-39 Downloads
Simon Ellersgaard and Martin Tegnér
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
Page updated 2019-12-06