International Journal of Financial Engineering (IJFE)

2015 - 2025

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 ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 10, issue 03, 2023

Managing the risk of embedded options in non-traded credit using portfolio modeling pp. 1-26

Bernd Engelmann

Analytical formulas for option prices under time-changed CARMA process pp. 1-24

Zhigang Tong

Quadratic effect of bank size on capital regulation and risk-taking behavior: Evidence from the Central Europe pp. 1-22

Syed Moudud-Ul-Huq and Musfikur Rahman

Dynamic spillover among the sectoral indices: Evidence from first and second waves of COVID-19 pp. 1-22

Amritkant Mishra, Ajit Kumar Dash, Shri Narayan Pandey and Amba Agarwal

Fama and French three and six-factor models: Evidence from Indian stock exchange pp. 1-14

H. R. Tejesh and V. Jeelan Basha

Deep learning-based option pricing for Barndorff–Nielsen and Shephard model pp. 1-16

Takuji Arai

High-frequency stock return prediction using state-of-the-art deep learning models pp. 1-19

Sichong Chen

Nexus between energy consumption, climate risk development finance and GHG emissions pp. 1-38

Raheel Gohar, Bisharat Hussain Chang, Emmanuel Uche, Mohammed Ahmar Uddin and Akash Kalra

Optimal consumption, investment and life insurance selection under robust utilities pp. 1-28

M. Ferreira, D. Pinheiro and S. Pinheiro

Investment certificates pricing using a Quasi-Monte Carlo framework: Case-studies based on the Italian market pp. 1-39

Anna Bottasso, Michelangelo Fusaro, Pier Giuseppe Giribone and Alessio Tissone

Optimal execution with liquidity risk in a diffusive order book market pp. 1-32

Hyoeun Lee and Kiseop Lee

Volume 10, issue 02, 2023

Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model pp. 1-19

Yousaf Ali Khan, Muneeb Ahmad and Muhammad Munir Ahmad

A meshless multiquadric quasi-interpolation method for time fractional Black–Scholes model pp. 1-12

Gaoyongqi Pan and Shengliang Zhang

The impact of Sino–US trade war on the co-movement between China’s stock market and global stock markets pp. 1-24

Yuping Song, Yankun Sun and Yue Ma

MuSu: A medium-term investment strategy by integrating Multifactor model with industrial Supply chain pp. 1-26

Yunchuan Sun, Lu Liu, Jingyu Fang, Xiaoping Zeng and Zijun Wan

Does IFRS adoption enhance foreign ownership? Empirical evidence from French listed companies pp. 1-29

Hela Garrouch

The impact of contagion effects of media reports, investors’ sentiment and attention on the stock market based on HAR-RV model pp. 1-54

Bolin Lei and Yuping Song

On Wasserstein distances, barycenters, and the cross-section methodology for proxy credit curves pp. 1-25

Matteo Michielon, Asma Khedher and Peter Spreij

AI business models and its impact on business strategic framework pp. 1-25

Shrutika Mishra and Priyanshu Mishra

Market efficiency of energy ETFs: Evidence from USO and UGA pp. 1-13

Massoud Metghalchi, Peggy Cloninger and Farhang Niroomand

A bibliometric analysis on financial engineering studies pp. 1-32

Jyoti Ranjan Jena, Rashmi Ranjan Panigrahi and Avinash K. Shrivastava

Speculators’ dominance in the Index futures market during COVID-19 pp. 1-7

Udayan Karnatak

State-space of the Vasicek model for long-term bonds with Kalman filter pp. 1-28

Romeo Mawonike, Dennis Ikpe and Samuel Asante Gyamerah

Volume 10, issue 01, 2023

A simple concept with minimum steps for solving the transportation problem to obtain the lowest shipping cost pp. 1-9

V. Sangeetha, K. Thirusangu and P. Elumalai

An analytical analysis of Alphabet and Google platform business models pp. 1-11

Shrutika Mishra and Priyanshu Mishra

Analyzing effectiveness of service quality in Tirupattur post office toward postal life insurance (PLI) and rural postal life insurance (RPLI) pp. 1-11

Dakshayini Rasadurai and M. Raguraman

Allocating the tracking error for the multi-asset-class fund by reconciling bottom-up model with top-down model pp. 1-29

Korkiat Sermsakskul and Sira Suchintabandid

Are capital markets turning efficient? Need for financial market efficiency index pp. 1-28

Ruchi Arora and Rishi Mehra

The impact of financial risk attitude on objective-oriented investment behavior pp. 1-17

Aamir Shehzad, Shahzadah Fahed Qureshi, Muhammad Zubair Saeed and Shahid Ali

Robust nonparametric estimation for the volatility of financial market pp. 1-19

Chunyu Kao and Yuping Song

Intelligent stock prediction: A neural network approach pp. 1-14

Mohamad H. Shahrour and Mostafa Dekmak

Improvized implied volatility function and nonparametric approach to unbiased estimation pp. 1-14

Muhammad Atif Sattar, Hailiang Zhang, Samra Kanwal and Bayar Gardi

Does the Indian economy progress toward a cashless economy? pp. 1-13

M Nasira Banu and Ibrahim Cholakkal

Volume 09, issue 04, 2022

Comparative analysis on the three popular causality modeling methodologies pp. 1-29

Xueyang Shi and Bing Cheng

A state space modeling for proactive management in equity investment pp. 1-29

Akihiko Takahashi and Soichiro Takahashi

Lie symmetry analysis and exact solutions of time fractional Black–Scholes equation pp. 1-17

Jicheng Yu, Yuqiang Feng and Xianjia Wang

Identification of best discrimination surface by mixed-integer semi-definite programming for support vector machine pp. 1-16

Katsuhiro Tanaka and Rei Yamamoto

The relationship between bitcoin and energy commodities: AutoRegressive distributed lag approach pp. 1-16

Fathi Jouini, Ahlem Selma Messai and Abdelkader Mohamed Sghaier Derbali

Exchange rate policies and reforms adopted by India until 2010: A literature analysis pp. 1-33

Hariharan Narayanan

Optimistic and pessimistic economic sentiments and US Dollar exchange rate pp. 1-30

Sonia Kumari, Suresh Kumar Oad Rajput, Rana Yassir Hussain, Jahanzeb Marwat and Haroon Hussain

On a consistent state-space bond markets model for pricing long-maturity bonds pp. 1-30

Dennis Ikpe, Yethu Sithole and Samuel Asante Gyamerah

Application from South Korea on the decomposition of the strategic procedure of IPO proceeds pp. 1-15

Yousaf Ali Khan and Muneeb Ahmad

Problems and prospects of top equity fund in Indian corporate sector: A performance study of top equity funds pp. 1-28

Rupsa Mahapatra and Kishore Kumar Das

Mean–variance combining rules that outperform naïve diversification pp. 1-20

Bacem Benjlijel

Can exchange-traded funds be profitably traded with the trading range breakout technical trading rule? pp. 1-21

Kok-Leong Yap, Wee Yeap Lau and Izlin Ismail

The risk interdependence of cryptocurrencies: Before and during the COVID-19 pandemic pp. 1-25

Xinru Zeng, Zhiyong Li, Weiwei Yang and Zhengyang Huang

Commodity futures price forecast based on multi-scale combination model pp. 1-32

Yijia Liu, Yukun Gao, Yufeng Shi, Yuxue Zhang, Li Li and Qimeng Han

Order types and natural price change: Model and empirical study of the Chinese market pp. 1-32

Siyu Liu, Chaoyi Zhao and Lan Wu

Volume 09, issue 03, 2022

Impact of advertising expenditure on firm performance: Evidence from listed companies of Pakistan pp. 1-14

Hammad Hassan Mirza, Haroon Hussain and Warda Gull

Impact of AI on employment in manufacturing industry pp. 1-18

Shuai Shao, Zhanzhong Shi and Yirong Shi

Machine learning in finance: Major applications, issues, metrics, and future trends pp. 1-32

Nawaf Almaskati

Symbolic regression-based adaptive generation of implied volatility pp. 1-27

Joseph Yen, Yuan Yuan Qi, Seng Fat Wong and Jiantao Zhou

Analysis of platform business and secure business intelligence pp. 1-29

Shrutika Mishra and Priyanshu Mishra

Reactive search-MST optimized clustering-based feature selection pp. 1-11

A. Kaleemullah and A. Suresh

Impact analysis of macro-economic factors on non-life insurance sector in India pp. 1-24

Abhijit Chakraborty and Ashim Kr. Das

Evaluating farmers’ credit risk: A decision combination approach based on credit feature pp. 1-24

Nana Chai and Baofeng Shi

How does the IFRS adoption affect systematic versus idiosyncratic risks of French listed companies? pp. 1-26

Habiba Mrissa Bouden and Moufida Ben Saada

Investigation on transition of RMB forward exchange rate pricing mechanism based on error correction model with structural mutation pp. 1-17

Hua Wang and Junjun Zhu

A new attention-based LSTM model for closing stock price prediction pp. 1-17

Yuyang Lin, Qi Huang, Qiyin Zhong, Muyang Li, Yan Li and Fei Ma

Modern financial constituency instruments as market economic performance determinants pp. 1-20

Yousaf Ali Khan and Muneeb Ahmad

Optimal exercise frontier of Bermudan options by simulation methods pp. 1-20

Dejun Xie, David A. Edwards and Xiaoxia Wu

Volume 09, issue 02, 2022

Exchange option valuation using Liu process pp. 1-9

Seema Uday Purohit and Prasad Narahar Lalit

Erratum: Upper and lower variances under model uncertainty and their applications in finance pp. 1-1

Shan Li, Xinpeng Li and George Xianzhi Yuan

Determinants of financial literacy in rural India: A study of Aligarh district pp. 1-17

N. P. Abdul Azeez and S. M. Jawed Akhtar

Market efficiency and random number generators in Solvency II pp. 1-17

Francesco Strati

Comparative study between conventional and Islamic banks’ liquidity after the Subprime Crisis pp. 1-37

Achraf Haddad, Anis El Ammari and Abdelfattah Bouri

The influence of capital structure on firm profitability in USA and Bangladesh engineering industry pp. 1-23

Abdelkader Derbali

Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis pp. 1-20

Dilip B. Madan and King Wang

Understanding the effects of banking profitability in Pakistan pp. 1-19

Tanzeela Yaqoob, Zara Omer and Samreen Fatima

Pricing options on a mean-reverting asset by the analytical operator splitting method pp. 1-16

C. F. Lo and Y. W. He

When do mature firms skip dividends? pp. 1-16

Haroon Hussain, Rohani Md-Rus, Hamdan Amer Al-Jaifi and Rana Yassir Hussain

A study on the capital structure determinants of FMCG companies in India pp. 1-14

B. G. Poornima and Pushpender Kumar

Analyzing the impact of board vigilance on financial distress through the intervention of leverage structure and interaction of asset tangibility in the non-financial sector of Pakistan pp. 1-27

Wen Xuezhou, Rana Yassir Hussain, Haroon Hussain, Muhammad Saad and Sikander Ali Qalati

The impact of the ECB’s monetary policy on corporate borrowing costs pp. 1-27

Houssam Bouzgarrou, Siwar Ben Afia and Abdelkader Derbali

Design of risk sharing for risk-linked annuities pp. 1-27

Pauline Ngugnie Diffouo and Pierre Devolder

Volume 09, issue 01, 2022

Weighted average price management of sales under the given minimum volume of assets obligatory for realization pp. 1-10

Kirill V. Svetlov and Sergey A. Vavilov

European option pricing using Gumbel distribution pp. 1-11

Seema Uday Purohit and Prasad Narahar Lalit

Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices pp. 1-23

Tim Leung and Theodore Zhao

On the design of sovereign bond-backed securities pp. 1-23

Emilio Barucci, Damiano Brigo, Marco Francischello and Daniele Marazzina

Dynamic links between renewable energy, commodities, and financial stock markets: Implications for portfolio diversification pp. 1-28

Mourad Mroua, Hejer Bouattour and Nader Naifar

The mechanics of dynamic behaviors for SMEs’ growth by using fractional-order dynamic system approach pp. 1-28

Ruibin Ren and George X. Yuan

Spiritual leadership on organizational commitment and organizational commitment on organizational performance pp. 1-19

Gede Riana

Upper and lower variances under model uncertainty and their applications in finance pp. 1-19

Shan Li, Xinpeng Li and George Xianzhi Yuan

Corporate governance in relationship with bank risk management pp. 1-14

Ika Permatasari

A bank-account-information-based credit scoring method with Bayesian hierarchical modeling pp. 1-16

Suguru Yamanaka and Rei Yamamoto

Optimal timing of investments modeled as perpetual American options in a Levy market pp. 1-27

Ini Adinya and G. O. S. Ekhaguere

Estimating actual probability of default from structural models pp. 1-29

Lin Zou and Weiping Li

Impact of board of directors on financial performance and the existence of risk management as an intervening variable pp. 1-22

Mediaty Mediaty

Dynamic efficiency of China’s commodity futures market through the lens of high frequency data pp. 1-17

He Chengying, Huang Ke, Wen Zhang and Huang Qingcheng