International Journal of Financial Engineering (IJFE) / World Scientific Publishing Co. Pte. Ltd.
Citation Profile [Updated: 2019-12-04 10:36:47]
5 Years H
5
Impact Factor
0.36
5 Years IF
0.4
Data available in this
report
[Raw
data] [50 most cited papers]
[50 most relevant papers]
[cites used to compute IF]
[Recent
citations ][Frequent citing
series ] [more data in
EconPapers]
[
trace new citations] [Missing
citations? Add them now]
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 1990 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1991 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1992 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1993 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
| 1994 | 0 | 0.11 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
| 1995 | 0 | 0.19 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.08 | |||||
| 1996 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 | |||||
| 1997 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.09 | |||||
| 1998 | 0 | 0.26 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.12 | |||||
| 1999 | 0 | 0.28 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.14 | |||||
| 2000 | 0 | 0.33 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.15 | |||||
| 2001 | 0 | 0.36 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.15 | |||||
| 2002 | 0 | 0.39 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.21 | |||||
| 2003 | 0 | 0.4 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.2 | |||||
| 2004 | 0 | 0.45 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.2 | |||||
| 2005 | 0 | 0.46 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.22 | |||||
| 2006 | 0 | 0.46 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.21 | |||||
| 2007 | 0 | 0.42 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.18 | |||||
| 2008 | 0 | 0.44 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.21 | |||||
| 2009 | 0 | 0.44 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.21 | |||||
| 2010 | 0 | 0.43 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.18 | |||||
| 2011 | 0 | 0.46 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.21 | |||||
| 2012 | 0 | 0.47 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.19 | |||||
| 2013 | 0 | 0.53 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.22 | |||||
| 2014 | 0 | 0.55 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.22 | |||||
| 2015 | 0 | 0.56 | 0.03 | 0 | 31 | 31 | 28 | 1 | 0 | 0 | 0 | 0 | 0.21 | |||||
| 2016 |  0.1 |
0.58 | 0.05 | 0.1 | 31 | 62 | 17 | 3 | 4 | 31 | 3 | 31 | 3 | 1 | 33.3 | 0 | 0.2 | |
| 2017 | 0.15 |
0.6 | 0.11 | 0.15 | 36 | 98 | 27 | 11 | 15 | 62 | 9 | 62 | 9 | 4 | 36.4 | 2 | 0.06 | 0.22 |
| 2018 | 0.36 |
0.76 | 0.37 | 0.4 | 41 | 139 | 14 | 51 | 66 | 67 | 24 | 98 | 39 | 9 | 17.6 | 5 | 0.12 | 0.31 |
| IF: | Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Impact Factor: C5Y / D5Y |
| DOC: | Number of documents published in year y |
| CDO: | Cumulative number of documents published until year y |
| CIT: | Number of citations to papers published in year y |
| NCI: | Number of citations in year y |
| CCU: | Cumulative number of citations to papers published until year y |
| D2Y: | Number of articles published in y-1 plus y-2 |
| C2Y: | Cites in y to articles published in y-1 plus y-2 |
| D5Y: | Number of articles published in y-1 until y-5 |
| C5Y: | Cites in y to articles published in y-1 until y-5 |
| SC: | selft citations in y to articles published in y-1 plus y-2 |
| %SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
| CiY: | Cites in year y to documents published in year y |
| II: | Immediacy Index: CiY / Documents. |
| AII: | Average Immediacy Index for series in RePEc in year y |
50 most cited documents in this series
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2017 | Do market competition and development indicators matter for banksâ risk, capital, and efficiency relationship?. (2017). Zheng, Changjun ; Moudud-Ul, Syed ; Gupta, Anupam Das. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s242478631750027x. Full description at Econpapers || Download paper | 7 |
| 2 | 2017 | Performance of banking industry in Bangladesh: Insights of CAMEL rating. (2017). Moudud-Ul, Syed. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500062. Full description at Econpapers || Download paper | 7 |
| 3 | 2015 | An asymptotic expansion of forward-backward SDEs with a perturbed driver. (2015). Takahashi, Akihiko ; Yamada, Toshihiro. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500206. Full description at Econpapers || Download paper | 6 |
| 4 | 2018 | Optimal dynamic pairs trading of futures under a two-factor mean-reverting model. (2018). Leung, Tim ; Yan, Raphael. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500275. Full description at Econpapers || Download paper | 6 |
| 5 | 2015 | Program trading and its risk analysis based on agent-based computational finance. (2015). Xiong, Xiong ; Zhang, Yongjie ; Yuan, Hailiang. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500140. Full description at Econpapers || Download paper | 5 |
| 6 | 2017 | Style analysis with particle filtering and generalized simulated annealing. (2017). Fukui, Takaya ; Takahashi, Akihiko ; Sato, Seisho. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500372. Full description at Econpapers || Download paper | 5 |
| 7 | 2016 | Co-movement analysis of Asian stock markets against FTSE100 and S&P 500: Wavelet-based approach. (2016). Yilmaz, Adil ; Unal, Gazanfer. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:04:n:s242478631650033x. Full description at Econpapers || Download paper | 4 |
| 8 | 2019 | A stochastic control approach to managed futures portfolios. (2019). Yan, Raphael ; Leung, Tim. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2019:i:01:n:s2424786319500051. Full description at Econpapers || Download paper | 4 |
| 9 | 2015 | Local risk-minimization for Lévy markets. (2015). Arai, Takuji ; Suzuki, Ryoichi. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500152. Full description at Econpapers || Download paper | 4 |
| 10 | 2016 | Pricing corporate bonds with interest rates following double square-root process. (2016). Lo, Chi-Fai ; Hui, Cho-Hoi. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:03:n:s2424786316500158. Full description at Econpapers || Download paper | 3 |
| 11 | 2015 | Static models of central counterparty risk. (2015). Ghamami, Samim. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500115. Full description at Econpapers || Download paper | 3 |
| 12 | 2017 | Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207. Full description at Econpapers || Download paper | 3 |
| 13 | 2016 | A sharp approximation for ATM-forward option prices and implied volatilites. (2016). Stefanica, Dan ; Radoii, Rado. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:01:n:s242478631650002x. Full description at Econpapers || Download paper | 2 |
| 14 | 2016 | Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets. (2016). Habtemicael, Semere ; Sengupta, Indranil. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:04:n:s2424786316500274. Full description at Econpapers || Download paper | 2 |
| 15 | 2017 | Pólya-based approximation for the ATM-forward implied volatility. (2017). Mati, Ivan ; Stefanica, Dan ; Radoii, Rado. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500323. Full description at Econpapers || Download paper | 2 |
| 16 | 2018 | 2 | |
| 17 | 2015 | Risk-return trade-off, information diffusion, and U.S. stock market predictability. (2015). Xie, Haibin ; Wang, Shouyang. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:04:n:s2424786315500383. Full description at Econpapers || Download paper | 2 |
| 18 | 2015 | Linkage between corporate governance and corporate social responsibility in banking sector of Bangladesh. (2015). Moudud-Ul, Syed. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:04:n:s242478631550036x. Full description at Econpapers || Download paper | 1 |
| 19 | 2018 | Financial management and forecasting using business intelligence and big data analytic tools. (2018). Mishra, Shrutika. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500111. Full description at Econpapers || Download paper | 1 |
| 20 | 2016 | A general framework for the benchmark pricing in a fully collateralized market. (2016). Fujii, Masaaki ; Takahashi, Akihiko. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:03:n:s2424786316500195. Full description at Econpapers || Download paper | 1 |
| 21 | 2017 | Pricing derivatives with fractional volatility. (2017). Funahashi, Hideharu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500141. Full description at Econpapers || Download paper | 1 |
| 22 | 2015 | Revisiting variance gamma pricing: An application to S&P500 index options. (2015). Mozumder, Sharif ; Dowd, Kevin ; Sorwar, Ghulam. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s242478631550022x. Full description at Econpapers || Download paper | 1 |
| 23 | 2017 | Revenue-based lending for SMEs. (2017). Mazengera, Hassan. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500359. Full description at Econpapers || Download paper | 1 |
| 24 | 2016 | Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs. (2016). Shokrollahi, Foad ; Magdziarz, Marcin ; Kiliman, Adem. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:01:n:s2424786316500031. Full description at Econpapers || Download paper | 1 |
| 25 | 2018 | Pricing multi-asset American option under Heston stochastic volatility model. (2018). Samimi, Oldouz ; Mehrdoust, Farshid. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500263. Full description at Econpapers || Download paper | 1 |
| 26 | 2017 | Dynamic mean variance asset allocation: Tests for robustness. (2017). Forsyth, Peter A ; Vetzal, Kenneth R. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500219. Full description at Econpapers || Download paper | 1 |
| 27 | 2015 | Self-financing strategy expression in general shape limit order book with market impacts in continuous time. (2015). Saito, Taiga. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:03:n:s2424786315500346. Full description at Econpapers || Download paper | 1 |
| 28 | 2018 | Exact solutions for time-fractional FokkerâPlanckâKolmogorov equation of Geometric Brownian motion via Lie point symmetries. (2018). Naderifard, Azadeh ; Hejazi, Reza S ; Dastranj, Elham. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500093. Full description at Econpapers || Download paper | 1 |
| 29 | 2017 | Pricing currency options in the Heston/CIR double exponential jump-diffusion model. (2017). Ahlip, Rehez ; Prodan, Ante. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s242478631750013x. Full description at Econpapers || Download paper | 1 |
| 30 | 2015 | Modeling intraday information in financial markets with the scatter search metaheuristic. (2015). da Silva, Carlos Gomes. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500218. Full description at Econpapers || Download paper | 1 |
| 31 | 2017 | Negative interest rates effects on option pricing: Back to basics?. (2017). Burro, Giacomo ; Querci, Francesca ; Mulas, Martina ; Ligato, Simone ; Giribone, Pier Giuseppe . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500347. Full description at Econpapers || Download paper | 1 |
| 32 | 2018 | Optimal asset allocation for a bank under risk control. (2018). Perera, Ryle S ; Sato, Kimitoshi. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500226. Full description at Econpapers || Download paper | 1 |
| 33 | 2015 | A note on transforming PDEs to ODEs. (2015). Alghalith, M. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:03:n:s2424786315500322. Full description at Econpapers || Download paper | 1 |
| 34 | 2018 | Stochastic volatility for utility maximizers â A martingale approach. (2018). Ellersgaard, Simon ; Tegner, Martin. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:01:n:s242478631850007x. Full description at Econpapers || Download paper | 1 |
| 35 | 2016 | Inverse problem and concentration method of a continuous-in-time financial model. (2016). Chakkour, Tarik ; Frenod, Emmanuel. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:02:n:s242478631650016x. Full description at Econpapers || Download paper | 1 |
| 36 | 2017 | Pricing for options in a mixed fractional HullâWhite interest rate model. (2017). Pan, Jian ; Zhou, Xiangying. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500116. Full description at Econpapers || Download paper | 1 |
| 37 | 2015 | Real-time risk management: An AAD-PDE approach. (2015). Capriotti, Luca ; Macrina, Andrea ; Jiang, Yupeng. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:04:n:s2424786315500395. Full description at Econpapers || Download paper | 1 |
| 38 | 2018 | A hybrid computational approach for option pricing. (2018). Zhu, Song-Ping ; He, Xin-Jiang. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500214. Full description at Econpapers || Download paper | 1 |
| 39 | 2016 | Optimal pairs trading with time-varying volatility. (2016). Li, Thomas Nanfeng ; Tourin, Agnes . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:03:n:s2424786316500237. Full description at Econpapers || Download paper | 1 |
| 40 | 2017 | Pricing European options and risk measurement under exponential Lévy models â a practical guide. (2017). Salhi, Khaled . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500165. Full description at Econpapers || Download paper | 1 |
| 41 | 2015 | Dynamic asset allocation for a bank under CRRA and HARA framework. (2015). Perera, Ryle S. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:03:n:s2424786315500310. Full description at Econpapers || Download paper | 1 |
| 42 | 2018 | Optimal investment risks management strategies of an economy in a financial crisis. (2018). Nkeki, Charles I. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:01:n:s2424786318500032. Full description at Econpapers || Download paper | 1 |
| 43 | 2016 | A note on CVA and wrong way risk. (2016). Baviera, Roberto ; Pellicioli, Paolo ; la Bua, Gaetano . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:02:n:s2424786316500122. Full description at Econpapers || Download paper | 1 |
| 44 | 2017 | Co-movement of precious metals and forecasting using scale by scale wavelet transform. (2017). Oral, Emrah ; Unal, Gazanfer. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500074. Full description at Econpapers || Download paper | 1 |
| 45 | 2015 | Analytical valuation of autocallable notes. (2015). Guillaume, Tristan. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500164. Full description at Econpapers || Download paper | 1 |
| 46 | 2018 | LIBOR market model with multiplicative basis. (2018). Zhong, Yangfan. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500147. Full description at Econpapers || Download paper | 1 |
| 47 | 2016 | Trading VIX futures under mean reversion with regime switching. (2016). Li, Jiao. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:03:n:s2424786316500213. Full description at Econpapers || Download paper | 1 |
| 48 | 2015 | Does model misspecification matter for hedging? A computational finance experiment based approach. (2015). Sun, Youfa ; Yuan, Steven ; Liu, Jianguo ; Guo, Shimin. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:03:n:s2424786315500231. Full description at Econpapers || Download paper | 1 |
| 49 | 2016 | Efficient and exact simulation of the Gaussian affine interest rate models. (2016). Ostrovski, Vladimir. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:02:n:s2424786316500092. Full description at Econpapers || Download paper | 1 |
| 50 | 2017 | Contingent conversion convertible bond: New avenue to raise bank capital. (2017). Campolongo, Francesca ; Schoutens, Wim ; de Spiegeleer, Jan ; di Girolamo, Francesca Erica. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500013. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2017 | Do market competition and development indicators matter for banksâ risk, capital, and efficiency relationship?. (2017). Zheng, Changjun ; Moudud-Ul, Syed ; Gupta, Anupam Das. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s242478631750027x. Full description at Econpapers || Download paper | 7 |
| 2 | 2017 | Performance of banking industry in Bangladesh: Insights of CAMEL rating. (2017). Moudud-Ul, Syed. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500062. Full description at Econpapers || Download paper | 7 |
| 3 | 2018 | Optimal dynamic pairs trading of futures under a two-factor mean-reverting model. (2018). Leung, Tim ; Yan, Raphael. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500275. Full description at Econpapers || Download paper | 6 |
| 4 | 2015 | An asymptotic expansion of forward-backward SDEs with a perturbed driver. (2015). Takahashi, Akihiko ; Yamada, Toshihiro. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500206. Full description at Econpapers || Download paper | 6 |
| 5 | 2017 | Style analysis with particle filtering and generalized simulated annealing. (2017). Fukui, Takaya ; Takahashi, Akihiko ; Sato, Seisho. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500372. Full description at Econpapers || Download paper | 5 |
| 6 | 2015 | Program trading and its risk analysis based on agent-based computational finance. (2015). Xiong, Xiong ; Zhang, Yongjie ; Yuan, Hailiang. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500140. Full description at Econpapers || Download paper | 5 |
| 7 | 2019 | A stochastic control approach to managed futures portfolios. (2019). Yan, Raphael ; Leung, Tim. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2019:i:01:n:s2424786319500051. Full description at Econpapers || Download paper | 4 |
| 8 | 2016 | Co-movement analysis of Asian stock markets against FTSE100 and S&P 500: Wavelet-based approach. (2016). Yilmaz, Adil ; Unal, Gazanfer. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:04:n:s242478631650033x. Full description at Econpapers || Download paper | 4 |
| 9 | 2016 | Pricing corporate bonds with interest rates following double square-root process. (2016). Lo, Chi-Fai ; Hui, Cho-Hoi. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:03:n:s2424786316500158. Full description at Econpapers || Download paper | 3 |
| 10 | 2017 | Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207. Full description at Econpapers || Download paper | 3 |
| 11 | 2015 | Local risk-minimization for Lévy markets. (2015). Arai, Takuji ; Suzuki, Ryoichi. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500152. Full description at Econpapers || Download paper | 3 |
| 12 | 2015 | Risk-return trade-off, information diffusion, and U.S. stock market predictability. (2015). Xie, Haibin ; Wang, Shouyang. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:04:n:s2424786315500383. Full description at Econpapers || Download paper | 2 |
| 13 | 2016 | Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets. (2016). Habtemicael, Semere ; Sengupta, Indranil. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:04:n:s2424786316500274. Full description at Econpapers || Download paper | 2 |
| 14 | 2015 | Static models of central counterparty risk. (2015). Ghamami, Samim. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500115. Full description at Econpapers || Download paper | 2 |
| 15 | 2017 | Pólya-based approximation for the ATM-forward implied volatility. (2017). Mati, Ivan ; Stefanica, Dan ; Radoii, Rado. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500323. Full description at Econpapers || Download paper | 2 |
| 16 | 2018 | 2 | |
| 17 | 2016 | A sharp approximation for ATM-forward option prices and implied volatilites. (2016). Stefanica, Dan ; Radoii, Rado. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:03:y:2016:i:01:n:s242478631650002x. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 24
| Year | Title | |
|---|---|---|
| 2018 | Size, Efficiency, Market Power, and Economies of Scale in the African Banking Sector. (2018). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:18/056. Full description at Econpapers || Download paper | |
| 2018 | Size, Efficiency, Market Power, and Economies of Scale in the African Banking Sector. (2018). Odhiambo, Nicholas ; Asongu, Simplice. In: AFEA Working Papers. RePEc:afe:wpaper:18/047. Full description at Econpapers || Download paper | |
| 2018 | Size,effeciency,market power and economies of scale in the African banking sector. (2018). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers. RePEc:uza:wpaper:25168. Full description at Econpapers || Download paper | |
| 2018 | Do competition and development indicators heterogeneously affect risk and capital? Evidence from Asian banks. (2018). Yesmin, Afsana. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500172. Full description at Econpapers || Download paper | |
| 2018 | Size, Efficiency, Market Power, and Economies of Scale in the African Banking Sector. (2018). Odhiambo, Nicholas ; Asongu, Simplice. In: MPRA Paper. RePEc:pra:mprapa:92347. Full description at Econpapers || Download paper | |
| 2018 | Size, Efficiency, Market Power, and Economies of Scale in the African Banking Sector. (2018). Odhiambo, Nicholas ; Asongu, Simplice. In: Research Africa Network Working Papers. RePEc:abh:wpaper:18/056. Full description at Econpapers || Download paper | |
| 2018 | Time-consistent meanâvariance portfolio optimization: A numerical impulse control approach. (2018). van Staden, Pieter M ; Forsyth, Peter A ; Dang, Duy-Minh. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:9-28. Full description at Econpapers || Download paper | |
| 2018 | Does bank diversification heterogeneously affect performance and risk-taking in ASEAN emerging economies?. (2018). Ashraf, Badar Nadeem ; Zheng, Changjun ; Gupta, Anupam Das ; Moudud-Ul, Syed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:342-362. Full description at Econpapers || Download paper | |
| 2018 | ||
| 2018 | An exact and explicit implied volatility inversion formula. (2018). Xia, Yuxuan ; Cui, Zhenyu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500329. Full description at Econpapers || Download paper | |
| 2018 | On the Effect of Bank of Japanâs Outright Purchase on the JGB Yield Curve. (2018). Nakano, Masafumi ; Tokioka, Takami ; Takahashi, Soichiro. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:1:d:10.1007_s10690-018-9238-5. Full description at Econpapers || Download paper | |
| 2018 | Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach(Forthcoming in Asia-Pacific Financial Markets. ). (2018). Takahashi, Akihiko ; Sato, Seisho ; Nishimura, Kiyohiko G. In: CARF F-Series. RePEc:cfi:fseres:cf446. Full description at Econpapers || Download paper | |
| 2018 | Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach. (2018). Takahashi, Akihiko ; Sato, Seisho ; Nishimura, Kiyohiko G. In: Working Papers on Central Bank Communication. RePEc:upd:utmpwp:003. Full description at Econpapers || Download paper | |
| 2018 | Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach. (2018). Takahashi, Akihiko ; Sato, Seisho ; Nishimura, Kiyohiko G. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1101. Full description at Econpapers || Download paper | |
| 2018 | ||
| 2018 | Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets. (2018). Hui, Cho-Hoi ; Chau, Po-Hon ; Lo, Chi-Fai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:109-128. Full description at Econpapers || Download paper | |
| 2018 | Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997. Full description at Econpapers || Download paper | |
| 2018 | MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS. (2018). Leung, Tim ; Kitapbayev, Yerkin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500048. Full description at Econpapers || Download paper | |
| 2018 | Interdependence structure of precious metal prices: A multi-scale perspective. (2018). Tweneboah, George ; Alagidede, Paul. In: Resources Policy. RePEc:eee:jrpoli:v:59:y:2018:i:c:p:427-434. Full description at Econpapers || Download paper | |
| 2018 | ||
| 2018 | An analytical approximation for single barrier options under stochastic volatility models. (2018). Funahashi, Hideharu ; Higuchi, Tomohide. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2559-3. Full description at Econpapers || Download paper | |
| 2018 | Estimating stock closing indices using a GA-weighted condensed polynomial neural network. (2018). Nayak, Sarat Chandra ; Misra, Bijan Bihari. In: Financial Innovation. RePEc:spr:fininn:v:4:y:2018:i:1:d:10.1186_s40854-018-0104-2. Full description at Econpapers || Download paper | |
| 2018 | Electricity price forecasting using multiple wavelet coherence method: Comparison of ARMA versus VARMA. (2018). Gulerce, Mustafa ; Unal, Gazanfer. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:01:n:s2424786318500044. Full description at Econpapers || Download paper | |
| 2018 | Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (2018). Brigo, Damiano ; Vrins, Frederic. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2018
| Year | Citing document | |
|---|---|---|
| 2018 | A Stochastic Control Approach to Managed Futures Portfolios. (2018). Leung, Tim ; Yan, Raphael. In: Papers. RePEc:arx:papers:1811.01916. Full description at Econpapers || Download paper | |
| 2018 | OPTIMAL INVESTMENT STRATEGY WITH DIVIDEND PAYING AND PROPORTIONAL TRANSACTION COSTS. (2018). Nkeki, Charles I. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s201049521850001x. Full description at Econpapers || Download paper | |
| 2018 | Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis. (2018). Zhong, Yangfan ; Mi, Yanhui. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500238. Full description at Econpapers || Download paper | |
| 2018 |
Recent citations received in 2017
| Year | Citing document | |
|---|---|---|
| 2017 | Banksâ capital regulation and risk: Does bank vary in size? Empirical evidence from Bangladesh. (2017). Zheng, Changjun ; Moudud-Ul, Syed. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500256. Full description at Econpapers || Download paper | |
| 2017 | AN EXPLICIT IMPLIED VOLATILITY FORMULA. (2017). Stefanica, Dan ; Radoii, Rado. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500480. Full description at Econpapers || Download paper |
Recent citations received in 2016
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Recent citations received in 2015
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