Journal of Computational Finance
ISSN:
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
About this journal
The Journal of Computational Finance is an international peer-reviewed journal dedicated to advancing knowledge in the area of financial mathematics. The journal is focused on the measurement, management and analysis of financial risk, and provides detailed insight into numerical and computational techniques in the pricing, hedging and risk management of financial instruments.
The journal welcomes papers dealing with innovative computational techniques in the following areas:
- Numerical solutions of pricing equations: finite differences, finite elements, and spectral techniques in one and multiple dimensions.
- Simulation approaches in pricing and risk management: advances in Monte Carlo and quasi-Monte Carlo methodologies; new strategies for market factors simulation.
- Optimization techniques in hedging and risk management.
- Fundamental numerical analysis relevant to finance: effect of boundary treatments on accuracy; new discretization of time-series analysis.
- Developments in free-boundary problems in finance: alternative ways and numerical implications in American option pricing.
Abstracting and Indexing: Scopus; Web of Science - Social Science Index; MathSciNet; EconLit; Econbiz; and Cabell’s Directory
Journal Metrics:
Journal Impact Factor: 0.5
5-Year Impact Factor: 0.7
CiteScore: 0.9
Latest papers
Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation
Highly accurate evaluation of European and American options under the Variance Gamma process
Credit migration and basket derivatives pricing with copulas
Wavelet-based bootstrap for pricing path-dependent European options
Saddlepoint approximation method for pricing CDOs
Convergence analysis of Crank–Nicolson and Rannacher time-marching
Sampling Student's T distribution – use of the inverse cumulative distribution function
Numerical estimation of volatility values from discretely observed diffusion data
Barrier option pricing for assets with Markov-modulated dividends
Eurodollar futures convexity adjustments in stochastic volatility models
Recursive valuation of Basket Default Swaps
Pricing guaranteed return rate products and discretely sampled Asian options
Approximating the GJR-GARCH and EGARCH option pricing models analytically
Exact pricing formulae for caps and swaptions in a Lévy term structure model
The relative efficiency of numerical methods for pricing American options under Lévy processes
Generalizing the Black–Scholes formula to multivariate contingent claims
Measuring marginal risk contributions in credit portfolios
Extended Libor market models with stochastic volatility
Control variates for Monte Carlo valuation of American options
Fast solutions of complementarity formulations in American put pricing
