A COMPARATIVE ANALYSIS OF OPTIMAL PERFORMANCE IN THE ISLAMIC AND CONVENTIONAL BANKING SYSTEMS: USING A JUMP-DIFFUSION STOCHASTIC PROCESS

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

KIAEE HASAN; ABRISHAMI HAMID; SOBHANI HASAN

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Download Full-Text

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Verion

View:

1,008

Download:

Cites:

Information Journal Paper

Title

A COMPARATIVE ANALYSIS OF OPTIMAL PERFORMANCE IN THE ISLAMIC AND CONVENTIONAL BANKING SYSTEMS: USING A JUMP-DIFFUSION STOCHASTIC PROCESS

Author(s)

KIAEE HASAN | ABRISHAMI HAMID | SOBHANI HASAN | Issue Writer Certificate

Keywords

ISLAMIC BANKINGQ2

CONVENTIONAL BANKINGQ1

OPTIMAL PERFORMANCEQ2

STOCHASTIC OPTIMIZATIONQ2

JUMPQ2

DIFFUSION PROCESSQ1

Abstract

Considerable growth of ISLAMIC BANKING industry during recent years makes it more interesting for researchers, to compare relative performance of ISLAMIC BANKING system and its conventional counterpart. This paper, as a new approach, tries to compare OPTIMAL PERFORMANCE of these systems using stochastic optimal control. It is supposed that the loan mechanism, in both Islamic and CONVENTIONAL BANKING systems, follows the JUMP-diffusion stochastic process. Also, for the construction of the objective function in each model, the characteristics of Islamic and CONVENTIONAL BANKING systems are taken into account. Simulating stochastic differential equations, derived by solving the STOCHASTIC OPTIMIZATION problem in each system, enable us to compare the OPTIMAL PERFORMANCE of two banking systems. To create comparable situation, we assumed similar parameters for differential equations in both systems. According to the simulation results, the OPTIMAL PERFORMANCE of loans and deposits in ISLAMIC BANKING are superior to ones in CONVENTIONAL BANKING system. Sensitivity analysis of the results to assumed parameter values show that the loan profit or interest rates are the most effective parameters, in such a way that, declining banking rates in each system could change the performance in favor of that system.

Cites

No record.

References

No record.

Cite

APA: Copy

KIAEE, HASAN, ABRISHAMI, HAMID, & SOBHANI, HASAN. (2014). A COMPARATIVE ANALYSIS OF OPTIMAL PERFORMANCE IN THE ISLAMIC AND CONVENTIONAL BANKING SYSTEMS: USING A JUMP-DIFFUSION STOCHASTIC PROCESS. JOURNAL OF ISLAMIC ECONOMIC STUDIES, 6(1 (11) ), 107-131. SID. https://sid.ir/paper/220783/en

Vancouver: Copy

KIAEE HASAN, ABRISHAMI HAMID, SOBHANI HASAN. A COMPARATIVE ANALYSIS OF OPTIMAL PERFORMANCE IN THE ISLAMIC AND CONVENTIONAL BANKING SYSTEMS: USING A JUMP-DIFFUSION STOCHASTIC PROCESS. JOURNAL OF ISLAMIC ECONOMIC STUDIES[Internet]. 2014;6(1 (11) ):107-131. Available from: https://sid.ir/paper/220783/en

IEEE: Copy

HASAN KIAEE, HAMID ABRISHAMI, and HASAN SOBHANI, “A COMPARATIVE ANALYSIS OF OPTIMAL PERFORMANCE IN THE ISLAMIC AND CONVENTIONAL BANKING SYSTEMS: USING A JUMP-DIFFUSION STOCHASTIC PROCESS,” JOURNAL OF ISLAMIC ECONOMIC STUDIES, vol. 6, no. 1 (11) , pp. 107–131, 2014, [Online]. Available: https://sid.ir/paper/220783/en

Related Journal Papers