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
Robbins–Monro algorithms and variance reduction in finance
Pricing American options under variance gamma
Calibration and implementation of convertible bond models
Cap and swaption approximations in Libor market models with jumps
Arbitrage-free estimation of the risk-neutral density from the implied volatility smile
Fast and accurate valuation of American barrier options
Efficient option pricing with transaction costs
Negative coefficients in two-factor option pricing models
Convergence remedies for non-smooth payoffs in option pricing
The link between caplet and swaption volatilities in a Brace–Gatarek–Musiela/Jamshidian framework: approximate solutions and empirical evidence
Speed and accuracy comparison of bivariate normal distribution approximations for option pricing
Short time-scale in S&P500 volatility
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
Analytic derivatives of asymmetric Garch models
Volatility estimation with functional gradient descent for very high-dimensional financial time series
Semi-analytical pricing of defaultable bonds in a signaling jump-default model
Fast at-the-money calibration of the Libor market model using Lagrange multipliers
A tree implementation of a credit spread model for credit derivatives
Path-dependent option pricing: the path integral partial averaging method
An exit-probability-based approach for the valuation of defaultable securities