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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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Is something missing from the series or not right? See the RePEc data check for the archive and series.


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 Downloads
Sulin Pang, Jinwang Xiao and Shuqing Li
Regulatory hypothesis and bank dividend payouts: Empirical evidence from Italian banking sector pp. 1-15 Downloads
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 Downloads
Masayasu Kanno
Optimal derivative liquidation timing under path-dependent risk penalties pp. 1-32 Downloads
Tim Leung and Yoshihiro Shirai
Design and pricing of derivative contracts in a spectrum market pp. 1-25 Downloads
Aparna Gupta, Koushik Kar and Praveen K. Muthuswamy
Evaluating performance and efficiency of Asian banks pp. 1-16 Downloads
Lung-Tan Lu
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty pp. 1-31 Downloads
Yifan Yang, Frank J. Fabozzi and Michele Leonardo Bianchi
Comparison of commodity future pricing approaches with cointegration techniques pp. 1-31 Downloads
Christian Stepanek
Pricing interest rate derivatives with model risk pp. 1-18 Downloads
Satoshi Hosokawa and Koichi Matsumoto

Volume 01, issue 04, 2014

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

Volume 01, issue 03, 2014

The economic default time and the arcsine law pp. 1-18 Downloads
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 Downloads
Hidetoshi Nakagawa and Hideyuki Takada
Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code pp. 1-19 Downloads
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 Downloads
Waqas Bin Khidmat and Mobeen Ur Rehman
Dynamic alpha-stable method for CDO pricing pp. 1-16 Downloads
Hua Li, George Yuan, Weina Chen, Li Guo and Jianbin Zhao
Optimal bank management under capital and liquidity constraints pp. 1-21 Downloads
Fabian Astic and Agnès Tourin
Mitigating risk incentives by issuing convertible bonds: A refinement to the Black–Scholes evaluation model pp. 1-17 Downloads
Masatoshi Miyake, Mei Yu and Hiroshi Inoue
The changing landscape for derivatives pp. 1-8 Downloads
John Hull

Volume 01, issue 02, 2014

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

Volume 01, issue 01, 2014

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