Journal of Computational Finance
ISSN:
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: 0.5
5-Year Impact Factor: 0.7
CiteScore: 0.9
Latest papers
A multilevel approach to control variates
Dynamic mean-variance portfolio analysis under model risk
Variance reduction techniques for pricing American options using function approximations
The decoupling approach to binomial pricing of multi-asset options
Pricing of spread options on stochastically correlated underlyings
Failure discrimination by semi-definite programming using a maximal margin ellipsoidal surface
PDE methods for maximum drawdown
Gaussian and Poisson approximation: applications to CDOs tranche pricing
Fourier space time-stepping for option pricing with Lévy models
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Pricing kth-to-default swaps under default contagion: the matrix analytic approach
Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
Multi-asset option pricing using a parallel Fourier-based technique
A swaption volatility model using Markov regime switching
Optimal portfolio management in mar taxation
An adaptive procedure for estimating coherent risk measures based on generalized scenarios
Robust active portfolio management
Pricing options on realized variance in the Heston model with jumps in returns and volatility
Modeling correlated defaults: first passage model under stochastic volatility
Partial proxy simulation schemes for generic and robust Monte Carlo Greeks
