# Journal of Financial Engineering (JFE)

2014 - 2015

Continued by International Journal of Financial Engineering (IJFE).

Current editor(s): *George Yuan*

From World Scientific Publishing Co. Pte. Ltd.

Series data maintained by Tai Tone Lim ().

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**Volume 02, issue 01, 2015**

- Pricing method and applications for the farmer's joint liability based on intensity model and Monte Carlo simulation pp. 1-21
*Sulin Pang*, *Jinwang Xiao* and *Shuqing Li*
- Regulatory hypothesis and bank dividend payouts: Empirical evidence from Italian banking sector pp. 1-15
*Badar Nadeem Ashraf*, *Sidra Arshad*, *Mohammad Morshedur Rahman*, *Muhammad Abdul Kamal* and *Khalid Khan*
- The valuation of stochastic insurance liabilities using a structural model approach pp. 1-17
*Masayasu Kanno*
- Optimal derivative liquidation timing under path-dependent risk penalties pp. 1-32
*Tim Leung* and *Yoshihiro Shirai*
- Design and pricing of derivative contracts in a spectrum market pp. 1-25
*Aparna Gupta*, *Koushik Kar* and *Praveen K. Muthuswamy*
- Evaluating performance and efficiency of Asian banks pp. 1-16
*Lung-Tan Lu*
- Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty pp. 1-31
*Yifan Yang*, *Frank J. Fabozzi* and *Michele Leonardo Bianchi*
- Comparison of commodity future pricing approaches with cointegration techniques pp. 1-31
*Christian Stepanek*
- Pricing interest rate derivatives with model risk pp. 1-18
*Satoshi Hosokawa* and *Koichi Matsumoto*

**Volume 01, issue 04, 2014**

- Dynamic CRRA-utility indifference value in generalized Cox process model pp. 1-29
*Kun Tian*, *Dewen Xiong* and *Zhongxing Ye*
- Equilibrium analysis of one aggressive investment strategy pp. 1-29
*Junya Jiang* and *Weidong Tian*
- Fast and simple method for pricing exotic options using Gauss–Hermite quadrature on a cubic spline interpolation pp. 1-31
*Xiaolin Luo* and *Pavel V. Shevchenko*
- Pricing European options in a delay model with jumps pp. 1-13
*Zaheer Imdad* and *Tusheng Zhang*
- CDS pricing with long memory via fractional Lévy processes pp. 1-35
*Holger Fink* and *Christian Scherr*
- Editorial pp. 1-2
*George Yuan*
- Accounting for earnings announcements in the pricing of equity options pp. 1-46
*Tim Leung* and *Marco Santoli*
- Game option models of convertible bonds: Determinants of call policies pp. 1-19
*Yue Kuen Kwok*
- Application of the algorithm based on the PSO and improved SVDD for the personal credit rating pp. 1-19
*Sulin Pang*, *Shuqing Li* and *Jinwang Xiao*

**Volume 01, issue 03, 2014**

- The economic default time and the arcsine law pp. 1-18
*Xin Guo*, *Robert A. Jarrow* and *Adrien de Larrard*
- Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method pp. 1-31
*Hidetoshi Nakagawa* and *Hideyuki Takada*
- Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code pp. 1-19
*Bin Li*, *Qihe Tang*, *Lihe Wang* and *Xiaowen Zhou*
- The impact of free cash flows and agency costs on firm performance — An empirical analysis of KSE listed companies of Pakistan pp. 1-25
*Waqas Bin Khidmat* and *Mobeen Ur Rehman*
- Dynamic alpha-stable method for CDO pricing pp. 1-16
*Hua Li*, *George Yuan*, *Weina Chen*, *Li Guo* and *Jianbin Zhao*
- Optimal bank management under capital and liquidity constraints pp. 1-21
*Fabian Astic* and *Agnès Tourin*
- Mitigating risk incentives by issuing convertible bonds: A refinement to the Black–Scholes evaluation model pp. 1-17
*Masatoshi Miyake*, *Mei Yu* and *Hiroshi Inoue*
- The changing landscape for derivatives pp. 1-8
*John Hull*

**Volume 01, issue 02, 2014**

- Optimal trade execution under displaced diffusions dynamics across different risk criteria pp. 1-17
*Damiano Brigo* and *Giuseppe Di Graziano*
- On the optimal wealth process in a log-normal market: Applications to risk management pp. 1-37
*Phillip Monin* and *Thaleia Zariphopoulou*
- Uniqueness of concentration index pp. 1-9
*Yimin Yang*
- A law of the iterated logarithm under sublinear expectations pp. 1-23
*Zengjing Chen* and *Feng Hu*
- Intercorporate default contagion from industry failures: Stress testing on creditee linkage networks of China pp. 1-23
*Mingmin Yang*, *Haoyu Gao*, *Zhigang Cao* and *Xiaoguang Yang*
- Valuing American options by least-squares randomized quasi-Monte Carlo methods pp. 1-16
*Xin-Yu Wu*, *Hai-Lin Zhou* and *Shou-Yang Wang*
- Optimal portfolio formulas for some mean-reverting price models pp. 1-19
*Srdjan Stojanovic*
- Equity-credit modeling under affine jump-diffusion models with jump-to-default pp. 1-25
*Tsz Kin Chung* and *Yue Kuen Kwok*

**Volume 01, issue 01, 2014**

- Expected shortfall or median shortfall pp. 1-6
*Steven Kou* and *Xianhua Peng*
- Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks pp. 1-60
*Damiano Brigo* and *Andrea Pallavicini*
- Affine long term yield curves: An application of the Ramsey rule with progressive utility pp. 1-24
*Nicole El Karoui*, *Caroline Hillairet* and *Mohamed Mrad*
- Editorial pp. 1-3
*George Yuan*
- Transition probability matrix methodology for incremental risk charge pp. 1-47
*Tzahi Yavin*, *Eugene Wang*, *Hu Zhang* and *Michael A. Clayton*
- Credit coordinate ratings with corresponding credit rating agencies and regulations pp. 1-31
*Weiping Li*
- The framework of systemic risk related to contagion, recovery rate and capital requirement in an interbank network pp. 1-23
*Xuemin Ren*, *George X. Yuan* and *Lishang Jiang*
- Monotone schemes for fully nonlinear parabolic path dependent PDEs pp. 1-23
*Jianfeng Zhang* and *Jia Zhuo*
- A note on discounting and funding value adjustments for derivatives pp. 1-34
*Meng Han*, *Yeqi He* and *Hu Zhang*
- Pricings and hedgings of the perpetual Russian options pp. 1-22
*Weiping Li* and *Su Chen*
- An overview of the fundamental review of the trading book and its impact pp. 1-19
*Yi Zhan*
- First-order calculus and option pricing pp. 1-19
*Peter Carr*
- A methodology for allocating allowance for loan and lease losses (ALLL) under new regulatory environment pp. 1-19
*Yimin Yang*, *Fang Du* and *Weixin Zhou*