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

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

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

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

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

Hiroki Seta and Hiroshi Inoue

Volume 06, issue 03, 2019

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

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

Suguru Yamanaka

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

Abdelkader Derbali

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

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

Katsuhiro Tanaka

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

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

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

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

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

Yuntaek Pae and Navid Sabbaghi

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

Option pricing in a subdiffusive constant elasticity of variance (CEV) model pp. 1-21

Kevin Z. Tong and Allen Liu

Volume 06, issue 01, 2019

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

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

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

George Xianzhi Yuan and Huiqi Wang

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

Milan Kumar Das and Anindya Goswami

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

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

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

Tim Leung and Raphael Yan

Volume 05, issue 04, 2018

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

Adeel Mumtaz, Tahir Saeed and M. Ramzan

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

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

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

Suguru Yamanaka

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

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

Cho-Hoi Hui and Chi-Fai Lo

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

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

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

Volume 05, issue 03, 2018

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

Tim Leung and Raphael Yan

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

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

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

Ryle S. Perera and Kimitoshi Sato

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

Sergey A. Vavilov and Konstantin S. Kuznetsov

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

Yuxuan Xia and Zhenyu Cui

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

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

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

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

Afsana Yesmin

Volume 05, issue 02, 2018

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

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

Financial management and forecasting using business intelligence and big data analytic tools pp. 1-16

Shrutika Mishra

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

Ricardo Pachón

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

Zhe Zhao, Zhenyu Cui and Ionuţ Florescu

Shortfall risk through Fenchel duality pp. 1-14

Zhenyu Cui and Jun Deng

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

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

Nian Yao

Volume 05, issue 01, 2018

Electricity price forecasting using multiple wavelet coherence method: Comparison of ARMA versus VARMA pp. 1-20

Mustafa Gülerce and Gazanfer Ünal

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

Stochastic volatility for utility maximizers — A martingale approach pp. 1-39

Simon Ellersgaard and Martin Tegnér

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

Charles I. Nkeki

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

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

Song-Ping Zhu and Guiyuan Ma

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

Patrik Karlsson