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 08, issue 04, 2021

Deep learning neural network for the prediction of Asian Tiger stock markets pp. 1-35

Kok-Leong Yap, Wee Yeap Lau and Izlin Ismail

Trading on online social mood: A machine learning strategy based on Twitter sentiment pp. 1-16

Chengying He, Mason Lin and Ning Wang

Optimal trading: The importance of being adaptive pp. 1-18

Claudio Bellani, Damiano Brigo, Alex Done and Eyal Neuman

Review of top five financial markets during the pandemic times pp. 1-18

Tahir Mumtaz Awan and Jamal Maqsood

Liquidity-free implied volatilities: An approach using conic finance pp. 1-27

Matteo Michielon, Asma Khedher and Peter Spreij

The study of mixed assets allocation based on Black–Litterman model pp. 1-21

Jianwu Lin, Mengwei Tang, Jiachang Wang and Ping He

Does SME financing perform well from both demand and supply sides? The case of a developing country pp. 1-29

Md. Rostam Ali, Rustom Ali Ahmed, Rushafa Tasnim Tisha and Md. Ashikul Islam

Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model pp. 1-29

Humayra Shoshi and Indranil SenGupta

Properties of Indian stock market: Evidence using strap option strategy pp. 1-13

P. Bangur, M. Kumar Singh, P. Kumar Singh and R. Bangur

Trading volume and serial correlation in crude oil futures returns pp. 1-11

Hua Wang and Weige Huang

Do environmental taxes impede economic growth? A comparison between China and India pp. 1-9

Muhammad Ishfaq Ahmad, Ramiz Ur Rehman, Muhammad Akram Naseem and Rizwan Ali

Volume 08, issue 03, 2021

The extraction of early warning features for predicting financial distress based on XGBoost model and shap framework pp. 1-24

He Yang, Emma Li, Yi Fang Cai, Jiapei Li and George X. Yuan

Occupation times of Lévy processes pp. 1-10

Lan Wu and Xiao Zhang

Does local legal environment matter in the online credit market? pp. 1-17

Bo Wang

Cost of capital and asset characteristic value pp. 1-17

Bill Y. Shen

Informal institution and corporate innovation: From the perspective of social trust pp. 1-40

Ling Zhao and Huang Hao

Volatility morphology of asset value and credit spread puzzle pp. 1-16

Xiao Hu, Xinming Tian and Kuitai Wang

Dynamic financial distress prediction based on class-imbalanced data batches pp. 1-35

Jie Sun, Xin Liu, Wenguo Ai and Qianyuan Tian

A federated interpretable scorecard and its application in credit scoring pp. 1-14

Fanglan Zheng, Erihe, Kun Li, Jiang Tian and Xiaojia Xiang

Predicting economists: Generating scenarios for stress testing future loss reserves pp. 1-15

Joseph L Breeden and Maxim Vaskouski

Basel regulatory capital formula revised pp. 1-19

Yimin Yang and Min Wu

Volume 08, issue 02, 2021

Ripple effects of borrower’s default decisions on P2P markets pp. 1-26

Yong Lu, Qiang Gao, Liya Hou, Yanni Hu and Jian Huang

The success of AdaBoost and its application in portfolio management pp. 1-31

Yijian Chuan, Chaoyi Zhao, Zhenrui He and Lan Wu

Predicting the trend of stock index based on feature engineering and CatBoost model pp. 1-17

Renzhe Xu, Yudong Chen, Tenglong Xiao, Jingli Wang and Xiong Wang

Binomial tree method for option pricing: Discrete Carr and Madan formula approach pp. 1-28

Yoshifumi Muroi, Ryota Saeki and Shintaro Suda

An analysis of COVID-19 impacts on S&P 500 and FinTech index pp. 1-10

Calvin Chan, Han Wang, Ying Kong and Jian Wu Lin

Clustering financial time series to generate a new method of factor neutralization: An empirical study pp. 1-24

Yudong Chen, Renzhe Xu, Jiawei Wang, Hao Yang and Xiong Wang

Fast generation of implied volatility surface: Optimize the traditional numerical analysis and machine learning pp. 1-24

Jerome Yen, Bangren Chen, KangZhang Wu and Joseph Yen

Stock price prediction based on stock price synchronicity and deep learning pp. 1-21

Nan Jing, Qi Liu and Hefei Wang

Data-driven option pricing using single and multi-asset supervised learning pp. 1-36

Anindya Goswami, Sharan Rajani and Atharva Tanksale

Fintech firms and banks sustainability: Why cybersecurity risk matters? pp. 1-14

Khakan Najaf, Md Imtiaz Mostafiz and Rabia Najaf

Double barrier American put option pricing under uncertain volatility model pp. 1-16

El Kharrazi Zaineb, Saoud Sahar and Mahani Zouhir

Day-of-the-week effect: A sectoral analysis of Pakistan stock exchange pp. 1-29

Farah Naz, Kanwal Zahra, Muhammad Ahmad and Salman Riaz

Is the capital floating from Hong Kong to Mainland China smart? pp. 1-23

Chengying He, Xiaoxu Geng and Binchu Pan

Volume 08, issue 01, 2021

Calibration of the Heston stochastic local volatility model: A finite volume scheme pp. 1-22

Bernd Engelmann, Frank Koster and Daniel Oeltz

Empirical performance of stochastic volatility option pricing models pp. 1-22

Przemyslaw S. Stilger, Ngoc Quynh Anh Nguyen and Tri Minh Nguyen

Impact of COVID-19 pandemic on equity-oriented mutual funds: A preliminary analysis of Indian mutual funds industry pp. 1-22

Velmurugan Palaniappan Shanmugam and K. A. Ashique Ali

A comparative performance evaluation of banking industry in Bangladesh: CAMEL rating approach pp. 1-25

Md. Rostam Ali, Md. Rakibuzzaman Ratul, Rushafa Tasnim Tisha and Md. Ashikul Islam

Forward start options under Heston affine jump-diffusions and stochastic interest rate pp. 1-24

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

Factors affecting the adoption of International Accounting Standards (IAS): Empirical evidence from Bangladesh pp. 1-28

Syed Moudud-Ul-Huq, Tanmay Biswas and Brishti Chakraborty

Defaultable sovereign debts with macroeconomic conditions and periodic news pp. 1-35

Weiping Li

Does financing behavior of SME entrepreneurs of Bangladesh follow capital structure theory? An investigation into Pecking Order Theory pp. 1-16

Md. Rostam Ali, Rustom Ali Ahmed, Rushafa Tasnim Tisha and Md. Ashikul Islam

Financial performance analysis of MSME sector: An empirical study pp. 1-16

Kishore Kumar Das and Rupsa Mahapatra

Influence factors of customer-based brand equity: A study on China mobile phone industry pp. 1-18

Wenqiu Guo and Liying Zhou

A theoretical foundation for games of complete/incomplete contracts pp. 1-19

Chenghu Ma and Wing-Keung Wong

Gender diversity in the board and firms performance pp. 1-12

Muhammad Ishfaq Ahmad, Muhammad Akram Naseem, Ramiz ur Rehman, Rizwan Ali and Suhaib Mazoor

Multivariate Hawkes process model of market participants behavior in the high frequency world pp. 1-15

Sugato Chakravarty, Kiseop Lee and Yang Xi

Volume 07, issue 04, 2020

A Hilbert transform approach for controlled jump-diffusions with financial applications pp. 1-46

Yingming Ge and Lingfei Li

Weather derivatives for managing weather and climate risk in agriculture pp. 1-24

Samuel Asante Gyamerah, Philip Ngare and Dennis Ikpe

A simple closed-form approximation for constant elasticity of variance spread options pp. 1-13

C. F. Lo and X. F. Zheng

Capturing implied correlation skew from options prices via multiscale stochastic volatility models pp. 1-42

T. Pellegrino

Dynamic conditional betas and equity returns pp. 1-17

Salvatore Joseph Terregrossa and Veysel Eraslan

Financial inclusion and bank stability controversy: Evidence from South Asian region pp. 1-17

Muhammad Amir Alvi, Amir Rafique and Khurram Shehzad

On the consistency of jump-diffusion dynamics for FX rates under inversion pp. 1-17

Federico Graceffa, Damiano Brigo and Andrea Pallavicini

Predicting financial distress of Zimbabwean banks pp. 1-26

Isabel Linda Moyo, Victor Gumbo, Eriyoti Chikodza and Brian Jones

Does business cycle heterogeneously impact on banks’ capital buffers, risk and financial stability in BRIC economies? pp. 1-16

Syed Moudud-Ul-Huq, Md. Nazmul Islam, Abdul Gaffar Khan, Md. Rostam Ali, Tanmay Biswas and Brishti Chakrabarty

Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model pp. 1-36

Subhojit Biswas, Diganta Mukherjee and Indranil SenGupta

Investor sentiment and the risk-return tradeoff pp. 1-20

Mohamed Marouen Amiri, Kamel Naoui, Abdelkader Derbali and Mounir Ben Sassi

Modeling and pricing with a random walk in random environment pp. 1-20

Isabel Castro and Carlos G. Pacheco

Formal financial penetration and households’ welfare in Pakistan pp. 1-21

Mariam Naz, Syed Faizan Iftikhar and Ambreen Fatima

Volume 07, issue 03, 2020

Impact of cashless policy on bank’s profitability: Evidence from a developing economy pp. 1-15

Syed Moudud-Ul-Huq and Sk Alamgir Hossain

A multiple parallel mediation between transformational leadership and project-based performance — A process model pp. 1-23

Inzamam Ul Haq, Adil Tahir Paracha and Wajid Shakeel

Developing an optimized artificial intelligence model for S&P 500 option pricing: A hybrid GARCH model pp. 1-19

Ehsan Hajizadeh

A data mining approach to predict companies’ financial distress pp. 1-13

Rasoul Tahmasebi, Ali Asghar Anvary Rostamy, Abbas Khorshidi and Seyyed Jalal Sadeghi Sharif

Pricing kernel factorization and recovery theorem pp. 1-27

Pauline M. Ngugnie Diffouo and Yves Y. Yameni Noupoue

Impact of bank’s ownership structure on risk and efficiency: Evidence from Bangladesh pp. 1-18

Syed Moudud-Ul-Huq, Rubaida Akter, Tanmay Biswas and Reshma Pervin Lima

Impact of COVID-19 on the perception of Indian investors towards investment in equity fund pp. 1-18

Kishore Kumar Das and Rupsa Mahapatra

On the efficacy of optimized exit rule for mean reversion trading pp. 1-20

Donovan Lee and Tim Leung

A privacy protection solution based on NLPCA for blockchain supply chain financial system pp. 1-22

Hongyu Wu, Nianle Su, Chunguang Ma, Pengda Liao and Dawei Li

Inter-linkages and performance of Asian stock markets amidst COVID 2019 pp. 1-10

Rajani B. Bhat and V. N. Suresh

IoT Platform Business Model for Innovative Management Systems pp. 1-31

Shrutika Mishra and A. R. Tripathi

On the co-movement of crude, gold prices and stock index in the Indian market pp. 1-26

Abhibasu Sen and Karabi Dutta Choudhury

Volume 07, issue 02, 2020

The modified binomial options pricing model and the revised replicating portfolio approach with the concept of sustainability options pp. 1-24

Tyrone Lin, Hui-Tzu Yen and Shu-Yen Hsu

Some actuarial mathematical models for insuring the susceptibles of a communicable disease pp. 1-45

C. I. Nkeki and G. O. S. Ekhaguere

Friday the 13th effect on Indian stock market pp. 1-30

Tarika Singh Sikarwar, Karuna Shrivastava and Pratibha Jadon

Covered interest parity in cross-currency swap bases and demand for US treasuries pp. 1-28

Cho-Hoi Hui, Chi-Fai Lo and Chin-To Fung

Dynamic relation between global Islamic and conventional sectoral stock and bonds indexes pp. 1-43

Sukriye Tuysuz

Comparing nexus of ranking among mutual fund categories and families of performance measures at investment policy level pp. 1-20

Wajid Shakeel Ahmed, Jibran Sheikh and Adil Tahir Paracha

An acceleration scheme for deep learning-based BSDE solver using weak expansions pp. 1-12

Riu Naito and Toshihiro Yamada

Platform business model on state-of-the-art business learning use case pp. 1-12

Shrutika Mishra and A. R. Tripathi

A study on performance evaluation of equity mutual funds schemes in India pp. 1-15

Ruchi Arora and T. V. Raman

An elementary proof of Peng’s central limit theorem under sub-linear expectations pp. 1-15

Zengjing Chen and Ziwu Zhang

Volume 07, issue 01, 2020

A time consistent derivative strategy pp. 1-25

Walter Mudzimbabwe

An empirical study to explore the risk adjusted performance of mutual funds: A case of Pakistan pp. 1-26

Asif Shamim, Atif Mumtaz and Bilawal Ali

Willow tree algorithms for pricing VIX derivatives under stochastic volatility models pp. 1-28

Changfu Ma, Wei Xu and Yue Kuen Kwok

Do competition and revenue diversification have significant effect on risk-taking? Empirical evidence from BRICS banks pp. 1-28

Anupam Das Gupta and Syed Moudud-Ul-Huq

Provisions for bank deposit withdrawals and portfolio selection pp. 1-32

Ryle S. Perera

Bilateral multiple gamma returns: Their risks and rewards pp. 1-27

Dilip B. Madan, Wim Schoutens and King Wang

Borrower platform choice: The influencing factors on herding pp. 1-12

Yingxiu Zhao, Wei Zhang, Pengfei Wang and Dehua Shen

Impact of audit committee attributes on financial distress: Evidence from Pakistan pp. 1-19

Muqaddas Khalid, Qaisar Abbas, Fizzah Malik and Shahid Ali

Exact cash-account deflator for the G2++ model pp. 1-14

Francesco Strati and Luca G. Trussoni

Price risk management by using dynamic hedging based on advanced Black–Scholes model pp. 1-14

Peili Lu, Jiaqi Shen, Liheng Zhao, Haoyang Qin, Xunzhi Liu and Zhongxing Ye