The Journal of Computational Finance is an international peer-reviewed journal dedicated to advancing knowledge in the area of financial mathematics. The journal is focussed 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.
This issue is reports on the workshop “Models and Numerics in Financial Mathematics”, which took place at the Lorentz Center in Leiden in the Netherlands on May 26–29, 2015.
This issue of The Journal of Computational Finance contains four papers that are quite different in terms of their financial applications, and they stand out because of their remarkable mathematical techniques.
The papers in this issue cover a diverse range of applications and numerical techniques.
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
This issue of The Journal of Computational Finance has numerical partial differential equation discretization techniques as its central theme.