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 ().

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Volume 10, issue 03, 2023

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

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

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

M. Ferreira, D. Pinheiro and S. Pinheiro

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

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

Zhigang Tong

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

Bernd Engelmann

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

Hyoeun Lee and Kiseop Lee

Volume 10, issue 02, 2023

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

Udayan Karnatak

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

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

Romeo Mawonike, Dennis Ikpe and Samuel Asante Gyamerah

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

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

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

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

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 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

Volume 10, issue 01, 2023

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

M Nasira Banu and Ibrahim Cholakkal

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

Chunyu Kao and Yuping Song

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

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

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

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

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

Ruchi Arora and Rishi Mehra

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

Volume 09, issue 04, 2022

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

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

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

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

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

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

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

Bacem Benjlijel

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

Hariharan Narayanan

Volume 09, issue 03, 2022

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

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

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

Shuai Shao, Zhanzhong Shi and Yirong Shi

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

Hammad Hassan Mirza, Haroon Hussain and Warda Gull

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

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

Shrutika Mishra and Priyanshu Mishra

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

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

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

Nawaf Almaskati

Volume 09, issue 02, 2022

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

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

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

Abdelkader Derbali

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

Achraf Haddad, Anis El Ammari and Abdelfattah Bouri

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

Dilip B. Madan and King Wang

Exchange option valuation using Liu process pp. 1-9

Seema Uday Purohit and Prasad Narahar Lalit

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

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

Shan Li, Xinpeng Li and George Xianzhi Yuan

Volume 09, issue 01, 2022

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

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

Ika Permatasari

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

Mediaty Mediaty

European option pricing using Gumbel distribution pp. 1-11

Seema Uday Purohit and Prasad Narahar Lalit

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

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

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

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

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

Lin Zou and Weiping Li

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