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.
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5-Year Impact Factor: 0.831
This paper considers the problem of efficiently computing the full matrix of second-order sensitivities of a Monte Carlo price when the number of inputs is large.
In this paper, we refer to the axiomatic theory of risk and investigate the problem of formal verification of the expected shortfall (ES) model based on a sample ES. Recognizing the infeasibility of parametric methods, they explore the bootstrap…
In this paper, a novel quasi-multiperiod model for optimal position liquidation in the presence of both temporary and permanent market impact is proposed. Two main features distinguish the proposed approach from its alternatives.
In this paper, the authors investigate a nonlinear generalization of the Black–Scholes equation for pricing American-style call options, where the volatility term may depend on both the underlying asset price and the Gamma of the option.
In this paper, the authors propose a bivariate interpolation of the implied volatility surface based on Chebyshev polynomials. This yields a closed-form approximation of the implied volatility, which is easy to implement and to maintain.
The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional diffusion processes.
In this paper, the author uses the mean–variance hedging criterion to value contracts in incomplete markets.
In this paper, the authors analyse the convergence of tree methods for pricing barrier and lookback options.
This paper derives an alternative fast Fourier transform-based computational approach for calculating the target capital of the SST that is more than 600 times faster than a Monte Carlo simulation.
In this paper, the authors introduce a novel, explicit, wide-stencil, two-dimensional (2D) tree–grid method for solving stochastic control problems (SCPs) with two space dimensions and one time dimension, or, equivalently, the corresponding Hamilton…
In this paper, the authors investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational inequality.
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
In this paper, the authors propose a novel investment strategy for portfolio optimization problems.
In this paper, the authors construct a Heath-Platen-type Monte Carlo estimator that performs extraordinarily well compared with the crude Monte Carlo estimation.
This paper's aim is twofold: to introduce a mathematical framework that is sufficiently general and sound to cover the main areas of model risk, and to illustrate how a practitioner can identify the relevant abstract concepts and put them to work.
In this paper the authors evaluate the performance of different approaches for estimating quantiles of compound distributions, which are widely used for risk quantification in the banking and insurance industries.
In this paper, the authors propose improvements to the approach of Ramírez-Espinoza and Ehrhardt (2013) for option-pricing PDEs formulated in the conservative form.
This paper extends Gatheral and Jacquier’s surface stochastic volatility-inspired (SSVI) parameterization by making the correlation maturity dependent and obtaining the necessary and sufficient conditions for no calendar-spread arbitrage.
Yield curve fitting with artificial intelligence: a comparison of standard fitting methods with artificial intelligence algorithms
In this paper, the author expands standard yield curve fitting techniques to artificial intelligence methods.
In this paper, the authors study an evolutionary framework for the optimization of various types of neural network structures and parameters.