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 02, issue 04, 2015
- Optimal CAR simulation pp. 1-31

- Fatma Chakroun and Fathi Abid
- Real-time risk management: An AAD-PDE approach pp. 1-31

- Luca Capriotti, Yupeng Jiang and Andrea Macrina
- A dynamic optimal execution strategy under stochastic price recovery pp. 1-24

- Masashi Ieda
- Linkage between corporate governance and corporate social responsibility in banking sector of Bangladesh pp. 1-29

- Syed Moudud-Ul-Huq
- Combining hazard rates with the CreditGrades model: A hybrid method to value CDS contracts pp. 1-14

- Chih-Wei Lee and Cheng-Kun Kuo
- Dynamic risk model for CMO with credit tranching pp. 1-15

- Dror Parnes
- Risk-return trade-off, information diffusion, and U.S. stock market predictability pp. 1-20

- Haibin Xie and Shouyang Wang
- On a recursive algorithm for pricing discrete barrier options pp. 1-12

- Dennis G. Llemit
- Algorithmic arbitrage of open-end funds using variational Bayes pp. 1-38

- Hugh L. Christensen
- Short maturity options for Azéma–Yor martingales pp. 1-32

- Lingjiong Zhu
Volume 02, issue 03, 2015
- Dynamic asset allocation for a bank under CRRA and HARA framework pp. 1-19

- Ryle S. Perera
- Self-financing strategy expression in general shape limit order book with market impacts in continuous time pp. 1-19

- Taiga Saito
- Does model misspecification matter for hedging? A computational finance experiment based approach pp. 1-21

- Youfa Sun, George Yuan, Shimin Guo, Jianguo Liu and Steven Yuan
- Heavy-tailed features and dependence in limit order book volume profiles in futures markets pp. 1-56

- Kylie-Anne Richards, Gareth W. Peters and William Dunsmuir
- A note on transforming PDEs to ODEs pp. 1-4

- M. Alghalith
- Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity pp. 1-30

- Peter Lerner
- Scenario optimization technique for the assessment of downside-risk and investable portfolios in post-financial crisis pp. 1-28

- Mazin A. M. Al Janabi
- The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe pp. 1-57

- Min Zhang, Adam W. Kolkiewicz, Tony S. Wirjanto and Xindan Li
- Fast numerical method for pricing of variable annuities with guaranteed minimum withdrawal benefit under optimal withdrawal strategy pp. 1-26

- Xiaolin Luo and Pavel V. Shevchenko
Volume 02, issue 02, 2015
- An asymptotic expansion of forward-backward SDEs with a perturbed driver pp. 1-29

- Akihiko Takahashi and Toshihiro Yamada
- Program trading and its risk analysis based on agent-based computational finance pp. 1-13

- Xiong Xiong, Hailiang Yuan, Wei Zhang and Yongjie Zhang
- Analytical valuation of autocallable notes pp. 1-23

- Tristan Guillaume
- Option prices and model-free measurement of implied herd behavior in stock markets pp. 1-35

- Daniël Linders, Jan Dhaene and Wim Schoutens
- Local risk-minimization for Lévy markets pp. 1-28

- Takuji Arai and Ryoichi Suzuki
- Option pricing via radial basis functions: Performance comparison with traditional numerical integration scheme and parameters choice for a reliable pricing pp. 1-30

- Pier Giuseppe Giribone and Simone Ligato
- Revisiting variance gamma pricing: An application to S&P500 index options pp. 1-24

- Sharif Mozumder, Ghulam Sorwar and Kevin Dowd
- Modeling intraday information in financial markets with the scatter search metaheuristic pp. 1-22

- Carlos Gomes da Silva
- Static models of central counterparty risk pp. 1-36

- Samim Ghamami
- Stochastic simulation framework for the limit order book using liquidity-motivated agents pp. 1-52

- Efstathios Panayi and Gareth W. Peters
- New explicit closed form formulae for the prices of catastrophe options pp. 1-16

- Yunguo Jin and Shouming Zhong
- An accumulator pricing method based on Fourier cosine series expansions pp. 1-16

- Deng Ding and Wenfei Wang