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

Dynamic risk model for CMO with credit tranching pp. 1-15

Dror Parnes

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

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

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

A dynamic optimal execution strategy under stochastic price recovery pp. 1-24

Masashi Ieda

On a recursive algorithm for pricing discrete barrier options pp. 1-12

Dennis G. Llemit

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

Haibin Xie and Shouyang Wang

Volume 02, issue 03, 2015

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

Mazin A. M. Al Janabi

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

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

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

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

Peter Lerner

A note on transforming PDEs to ODEs pp. 1-4

M. Alghalith

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

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

Volume 02, issue 02, 2015

Modeling intraday information in financial markets with the scatter search metaheuristic pp. 1-22

Carlos Gomes da Silva

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

Static models of central counterparty risk pp. 1-36

Samim Ghamami

Analytical valuation of autocallable notes pp. 1-23

Tristan Guillaume

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

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

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

Efstathios Panayi and Gareth W. Peters

Revisiting variance gamma pricing: An application to S&P500 index options pp. 1-24

Sharif Mozumder, Ghulam Sorwar and Kevin Dowd

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

Xiong Xiong, Hailiang Yuan, Wei Zhang and Yongjie Zhang

An asymptotic expansion of forward-backward SDEs with a perturbed driver pp. 1-29

Akihiko Takahashi and Toshihiro Yamada