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:
Journal Impact Factor: 1.417
5-Year Impact Factor: 1.222
CiteScore: 1.4
Latest papers
Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model
Histogram models for robust portfolio optimization
An almost exact simulation method for the Heston model
Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Pricing credit default swaps under Lévy models
Optimal Fourier inversion in semi-analytical option pricing
Robust numerical valuation of European and American options under the CGMY process
Discrete extrema of Brownian motion and pricing of exotic options
Computing two-factor deltas using unstructured meshes
On stiffness in affine asset pricing models
Cost-optimal static super-replication of barrier options: an optimization approach
Partially exact and bounded approximations for arithmetic Asian options
A general dimension reduction technique for derivative pricing
The influence of correlation on multi-asset portfolio optimization with transaction costs
Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation
Credit migration and basket derivatives pricing with copulas
Saddlepoint approximation method for pricing CDOs
Highly accurate evaluation of European and American options under the Variance Gamma process
Wavelet-based bootstrap for pricing path-dependent European options
Sampling Student's T distribution – use of the inverse cumulative distribution function