Journal of Computational Finance
ISSN:
1460-1559 (print)
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: 1.417
5-Year Impact Factor: 1.222
CiteScore: 1.4
Latest papers
Convergence of Monte Carlo simulations involving the mean-reverting square root process
Numerical analysis of Monte Carlo evaluation of Greeks by finite differences
The modified willow tree algorithm
Option pricing using the fractional FFT
Efficient pricing of Asian options by the PDE approach
Optimal portfolio series formula under dynamic appreciation rate uncertainty
Pricing and hedging callable Libor exotics in forward Libor models
Analysis of the stability of the linear boundary condition for the Black–Scholes equation
Numerical pricing of discrete barrier and lookback options via Laplace transforms
Fast drift-approximated pricing in the BGM model
Risk-sensitive portfolio optimization with transaction costs
Convergence of the stochastic mesh estimator for pricing Bermudan options
Computing hitting time densities for CIR and OU diffusions: applications to mean-reverting models
A stochastic mesh method for pricing high-dimensional American options
Technical note: Dependence and two-asset options pricing
Option pricing by transform methods: extensions, unification and error control
Pricing Asian options via Fourier and Laplace transforms
Non-parametric calibration of jump–diffusion option pricing models
Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge
Computing deltas of callable Libor exotics in forward Libor models