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:
Impact Factor: 0.758
5-Year Impact Factor: 0.831
CiteScore: 0.33
Latest papers
The CTMC–Heston model: calibration and exotic option pricing with SWIFT
This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model.
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
In this paper, the authors consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options.
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Under some assumptions, the valuation of financial derivatives, including a value adjustment to account for default risk (the so-called XVA), gives rise to a nonlinear partial differential equation (PDE). The authors propose numerical methods for…
Gradient boosting for quantitative finance
In this paper, the authors discuss how tree-based machine learning techniques can be used in the context of derivatives pricing.
Nowcasting networks
The authors devise a neural network-based compression/completion methodology for financial nowcasting.
Numerical techniques for the Heston collocated volatility model
In this paper, the authors discuss all aspects of derivative pricing under the Heston–CLV model: calibration with an efficient Fourier method; a Monte Carlo simulation with second-order convergence; and accurate partial differential equation pricing…
Introducing two mixing fractions to a lognormal local-stochastic volatility model
In this paper, the authors introduce two mixing fractions that can be controlled separately to apply impact to the volatility-of-volatility and the correlation in a lognormal LSV model.
A Libor market model including credit risk under the real-world measure
The authors present a methodology to generate future scenarios of interest rates for different credit ratings under a real-world probability measure.
Finding the nearest covariance matrix: the foreign exchange market case
The authors consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix.
Pricing multiple barrier derivatives under stochastic volatility
This work generalizes existing one- and two-dimensional pricing formulas with an equal number of barriers to a setting of n dimensions and up to two barriers in the presence of stochastic volatility.
Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach
In this work, the authors propose a new policy iteration algorithm for pricing Bermudan options when the payoff process cannot be written as a function of a lifted Markov process.
On extensions of the Barone-Adesi and Whaley method to price American-type options
This paper provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models and American barrier-type options under the Black–Scholes framework.
Neural networks for option pricing and hedging: a literature review
This paper provides a comprehensive review of the field of neural networks, comparing articles in terms of input features, output variables, benchmark models, performance measures, data partition methods and underlying assets. Related work and…
Dynamic refinement of the term structure: time-homogeneous term structure modeling
The author considers a classical term structure model framework, ie, a Heath–Jarrow–Morton framework, on a time-discrete tenor, such as the London Interbank Offered Rate market model, using a sequence of tenor discretizations, where the tenors are valid…
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
The authors present a multi-Gaussian process regression approach, which is well suited for the over-the-counter derivative portfolio valuation involved in credit valuation adjustment (CVA) computation.
High-order approximations to call option prices in the Heston model
In the present paper, a decomposition formula for the call price due to Alòs is transformed into a Taylor-type formula containing an infinite series with stochastic terms. The new decomposition may be considered as an alternative to the decomposition of…
Numerical simulation and applications of the convection–diffusion–reaction
This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of convection–diffusion–reaction type.
Monte Carlo pathwise sensitivities for barrier options
In this work, we present a new Monte Carlo algorithm that is able to calculate the pathwise sensitivities for discontinuous payoff functions.
Option pricing in exponential Lévy models with transaction costs
We present an approach for pricing European call options in the presence of proportional transaction costs, when the stock price follows a general exponential Lévy process.
An adaptive Monte Carlo approach
This paper proposes a new, flexible framework using Monte Carlo methods to price Parisian options not only with constant boundaries but also with general curved boundaries.
