# 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*