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 06, issue 04, 2019

On bank’s risk incentives under deposit insurance system pp. 1-40

Hiroki Seta and Hiroshi Inoue

Weighted average price management of manufacturer sales with determined realization volume by the end of trade period on commodity exchanges pp. 1-15

Konstantin S. Kuznetsov

Installing Islamic banking windows in conventional bank: Effects on performance pp. 1-11

Mohamed Bechir Chenguel, Abdelkader Derbali and Meriem Jouiro

Design, implementation and validation of advanced lattice techniques for pricing EAKO — European American Knock-Out option pp. 1-26

Mattia Fabbri and Pier Giuseppe Giribone

Markov modulated jump-diffusions for currency options when regime switching risk is priced pp. 1-26

David Liu

Platforms oriented business and data analytics in digital ecosystem pp. 1-16

Shrutika Mishra and A. R. Triptahi

Does disclosure of internal control system of credit risk improve banks’ performance? Evidence from Tunisian listed banks pp. 1-27

Moufida Ben Saâda and Yosra Gafsi

Optimal dynamic futures portfolio in a regime-switching market framework pp. 1-27

Tim Leung and Yang Zhou

Volume 06, issue 03, 2019

Market efficiency in the emerging and frontier markets of the MENA countries pp. 1-18

Abdelkader Derbali

Behavioral biases and investors’ decision-making: The moderating role of socio-demographic variables pp. 1-15

Naveeda K. Katper, Muhammad Azam, Nazima Abdul Karim and Syeda Zinnaira Zia

Modeling of implied volatility surfaces of nifty index options pp. 1-11

Mihir Dash

Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models pp. 1-37

Hongkai Cao, Rupak Chatterjee and Zhenyu Cui

Productivity and efficiency analysis of Pakistani mutual funds using Malmquist index approach pp. 1-21

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

Md. Rostam Ali, Rustom Ali Ahmed and Md. Ashikul Islam

Random thinning model with a truncated credit quality vulnerability factor: Application to top-down-type credit risk assessment pp. 1-13

Suguru Yamanaka

Forecasting plausible scenarios and losses in interest rate targeting using mathematical optimization pp. 1-24

Katsuhiro Tanaka

Volume 06, issue 02, 2019

Modeling the impact of banking sector credit on growth performance: An empirical evidence of credit to household and enterprise in Pakistan pp. 1-17

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

Farshid Mehrdoust and Idin Noorani

Empirical investigation of relationship between research and development intensity and firm performance: The role of ownership structure and board structure pp. 1-27

Muhammad Usman Yousaf, Muhammad Kashif Khurshid, Aftab Ahmed and Muhammad Zulfiqar

Do factors matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM pp. 1-16

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

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

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

Zia Abbas, Syed Faizan Iftikhar and Shaista Alam

Strategies for choosing an uncertainty budget in log-robust portfolio management pp. 1-24

Yuntaek Pae and Navid Sabbaghi

Volume 06, issue 01, 2019

To study moderating role of ownership structure on R&D expenditure policies on accounting performance and market value pp. 1-18

Ali Ostadhashemi and Muhammad Esmaeil Fadaei Nejad

How to mine gold without digging pp. 1-30

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

Hossein Dastkhan

Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion pp. 1-45

Caibin Zhang, Zhibin Liang and Kam Chuen Yuen

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

Lei Yu, Yuxuan Dai, Keguang Zheng and Yongjie Zhang

Testing of binary regime switching models using squeeze duration analysis pp. 1-20

Milan Kumar Das and Anindya Goswami

The general dynamic risk assessment for the enterprise by the hologram approach in financial technology pp. 1-48

George Xianzhi Yuan and Huiqi Wang

Signaling game models of equity financing under information asymmetry and finite project life pp. 1-38

Qiuqi Wang and Yue Kuen Kwok

Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns pp. 1-17

Jivendra K. Kale and Tee Lim

A stochastic control approach to managed futures portfolios pp. 1-22

Tim Leung and Raphael Yan

Volume 05, issue 04, 2018

Credit risk assessment using purchase order information pp. 1-19

Suguru Yamanaka

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

Khurram Iftikhar and Syed Faizan Iftikhar

Factors affecting investment decision-making in Pakistan stock exchange pp. 1-14

Adeel Mumtaz, Tahir Saeed and M. Ramzan

A simple explanation of biased movements of renminbi exchange rate pp. 1-12

Cho-Hoi Hui and Chi-Fai Lo

A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models pp. 1-30

Duy Nguyen

Using App Inventor to provide the amortization schedule and the sinking fund schedule pp. 1-9

Li-Fei Huang

The study of dynamics for credit default risk by backward stochastic differential equation method pp. 1-32

Kun Tian, Dewen Xiong, Wenchao Yan and George Xianzhi Yuan

Combining robust dynamic neural networks with traditional technical indicators for generating mechanic trading signals pp. 1-44

Pier Giuseppe Giribone, Simone Ligato and Francesco Penone

Design of an Artificial Neural Network battery for an optimal recognition of patterns in financial time series pp. 1-17

Simone Fioribello and Pier Giuseppe Giribone

Forecasting dirty tanker freight rate index by using stochastic differential equations pp. 1-15

Hossein Jafari and Ghazaleh Rahimi

The semi-martingale equilibrium equity premium for risk-neutral investors pp. 1-15

George M. Mukupa and Elias R. Offen

Volume 05, issue 03, 2018

The source of error behavior for the solution of Black–Scholes PDE by finite difference and finite element methods pp. 1-22

H. Ünsal Özer and Ahmet Duran

Optimal asset allocation for a bank under risk control pp. 1-27

Ryle S. Perera and Kimitoshi Sato

A hybrid computational approach for option pricing pp. 1-16

Song-Ping Zhu and Xin-Jiang He

Pricing multi-asset American option under Heston stochastic volatility model pp. 1-16

Oldouz Samimi and Farshid Mehrdoust

Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis pp. 1-31

Yangfan Zhong and Yanhui Mi

Corporate governance, earnings management and the value-relevance of accounting information: Evidence from Pakistan pp. 1-31

Waqas Bin Khidmat, Man Wang and Sadia Awan

Weighted average price management of manufacturer sales on commodity exchanges pp. 1-17

Sergey A. Vavilov and Konstantin S. Kuznetsov

Optimal dynamic pairs trading of futures under a two-factor mean-reverting model pp. 1-23

Tim Leung and Raphael Yan

Do competition and development indicators heterogeneously affect risk and capital? Evidence from Asian banks pp. 1-18

Afsana Yesmin

Who would invest only in the risk-free asset? pp. 1-14

N. Azevedo, D. Pinheiro, S. Z. Xanthopoulos and A. N. Yannacopoulos

An exact and explicit implied volatility inversion formula pp. 1-29

Yuxuan Xia and Zhenyu Cui

Volume 05, issue 02, 2018

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

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

Shortfall risk through Fenchel duality pp. 1-14

Zhenyu Cui and Jun Deng

VIX derivatives valuation and estimation based on closed-form series expansions pp. 1-18

Zhe Zhao, Zhenyu Cui and Ionuţ Florescu

LIBOR market model with multiplicative basis pp. 1-38

Yangfan Zhong

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

Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target: Probability estimates of large deviations pp. 1-37

Nian Yao

Numerical pricing of European options with arbitrary payoffs pp. 1-31

Ricardo Pachón

Volume 05, issue 01, 2018

Finite element based Monte Carlo simulation of options on Lévy driven assets pp. 1-23

Patrik Karlsson

An analytical solution for the HJB equation arising from the Merton problem pp. 1-26

Song-Ping Zhu and Guiyuan Ma

Implied volatility surfaces during the period of global financial crisis pp. 1-50

Tony S. Wirjanto and Anyi Zhu

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

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

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

Optimal investment risks management strategies of an economy in a financial crisis pp. 1-24

Charles I. Nkeki