Journal of Computational Finance

Christoph Reisinger
University of Oxford

This issue of The Journal of Computational Finance brings together three contributions that address distinct but connected themes in modern quantitative finance: computational efficiency, numerical rigor and the practical realities of market infrastructure.

The first paper in the issue, “An efficient algorithm to compute correlation Greeks” by Antoine Vandendorpe, introduces a novel, “minimal” approach to the computation of pairwise correlation sensitivities in high-dimensional Monte Carlo settings. By constructing square roots of perturbed correlation matrixes that differ from the original by only a single row, this method materially reduces computational cost, memory usage and Monte Carlo noise, and it integrates naturally with adjoint algorithmic differentiation.

In “Fast calculation of cheapest-to-deliver curves”, the issue’s second paper, Alexander Kemarsky, Wouter Van Der Helm and Vladimir V. Piterbarg revisit the valuation of multi-currency collateral agreements, where optionality in collateral choice gives rise to cheapest-to-deliver discounting. Building on earlier approximation ideas and leveraging a Gaussian structure, Kemarsky et al develop a fast and accurate algorithm that scales to multiple currencies and offers a practical alternative to computationally intensive Monte Carlo.

In our third contribution, “Strong order-one-half convergence of the projected Euler–Maruyama method for the Cox–Ingersoll–Ross model”, Yiyi Tang establishes 𝒧^𝑝-strong convergence of order 1/2 for the projected Euler–Maruyama scheme applied to the Cox–Ingersoll–Ross process over a broad parameter regime. By combining projection techniques with normalized error analysis, this paper extends convergence guarantees beyond previously available results.

Taken together, these papers reflect the journal’s ongoing focus by advancing methods that are mathematically sound, computationally efficient and directly relevant to contemporary practice.

May I take this opportunity to bring to your attention the Sixth International Conference on Computational Finance, to be held on September 1–4, 2026, in Oxford. Members of the editorial board and contributors to The Journal of Computational Finance play a significant role in shaping this conference as speakers, session organizers and scientific committee members. Proposals for talks and mini-symposiums that fall within the scope of the journal are highly encouraged, and submissions are open until April 15.