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 Impact Factor: 1.417
5-Year Impact Factor: 1.222
The authors offer a VIX pricing algorithm for stochastic Volterra rough volatility models where the volatility is dependent of the vol-of-vol which reproduces key features of real-world data.
The authors propose an explicit formula for the conversion of implied volatilities corresponding to dividend modelling assumptions which covers a wide range of strikes and maturities.
The authors develop and apply a formula to derive closed-form expressions in particular quantitative finance cases.
This paper investigates various techniques for the CIR and Heston models.
The authors consider the pricing of the Chicago Board options Exchange VIX, demonstrating experiments highlighting the efficiency of a multilevel approach in pricing of VIX options.
The author puts forward a pricing methodology for European multi-asset derivatives that consists of a flexible copula-based method that can reproduce the correlation skew and is efficient enough for use with large baskets.
This paper demonstrates that risk-averse traders can benefit from delaying trades using a model that accounts for volume uncertainty.
The authors propose a general structural default model combining enhanced economic relevance and affordable computational complexity.
The author puts forward a means to calculate the efficient frontier in the Mean-Variance and Mean-CVaR portfolio optimization problems using deep neural network algorithms.
The authors apply multilevel Monte Carlo simulation to the problems inherent in computing risk measures of a financial portfolio with large numbers of derivatives.
This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic differential equations.
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
In this paper the authors derive stability and convergence of fully discrete approximation schemes of solutions to linear parabolic evolution equations governed by time-dependent coercive operators.
In this paper the authors formulate the one-dimensional RMQ and d-dimensional PMQ algorithms as standard vector quantization problems by deriving the density, distribution and lower partial expectation functions of the random variables to be quantized at…
This paper demonstrates applications of automatic differentiation with nested dual numbers in the diffusion operator integral variance-reduction framework originally proposed by Heath and Platen.
In this paper, the authors propose to approach the calibration problem of local volatility with Bayesian statistics to infer a conditional distribution over functions given observed data.
In this paper the authors show how the techniques introduced by Hurd and Zhou in 2010 can be used to derive a pricing framework for rainbow options by using the joint characteristic function of the logarithm of the underlying assets.
This paper extends the branching diffusion Monte Carlo method of Henry-Labordère et al to the case of parabolic partial differential equations with mixed local–nonlocal analytic nonlinearities.
This paper looks at ways of solving (decoupled) forward–backward stochastic differential equations numerically using regression trees.
In this paper the universal approximation theorem of artificial neural networks (ANNs) is applied to the stochastic alpha beta rho (SABR) stochastic volatility model in order to construct highly efficient representations.
This paper proposes two numerical solutions based on product optimal quantization for the pricing of Bermudan options on foreign exchange rates.