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Journal of Computational Finance

Incisive Media Ltd.

Finance & Accounting
AJG 1ABDC C
Abstract coverage—see Methodology
Recent paperssorted by most recent
PaperYearCitations
Strong order-one-half convergence of the projected Euler–Maruyama method for the Cox–Ingersoll–Ross model
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Stochastic path-dependent volatility models for price–storage dynamics in natural gas markets and discrete-time swing option pricing
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Fast calculation of cheapest-to-deliver curves
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Finite-difference solution ansatz approach in least-squares Monte Carlo
Jiawei Huo
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Robust financial calibration: a Bayesian approach for neural stochastic differential equations
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Machine learning and a Hamilton–Jacobi–Bellman equation for optimal decumulation: a comparison study
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An efficient numerical method for pricing American options and their Greeks under the two-asset Kou jump-diffusion model
Karel in ’t Hout
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On deep portfolio optimization with stocks, bonds and options
Kristoffer Andersson & Cornelis W. Oosterlee
20250 citations
A flexible commodity skew model with maturity effects
Orcan Ögetbil & Bernhard Hientzsch
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An explicit scheme for pathwise cross valuation adjustment computations
Université Paris Cité et al.
20250 citations
Convexity adjustments à la Malliavin
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Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads
Íñigo Arregui et al.
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Deep self-consistent learning of local volatility
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20250 citations
Pricing time-capped American options using a least squares Monte Carlo method
Paweł Stȩpniak & Zbigniew Palmowski
20242 citations
An equity-implied rating model for unrated firms
Mauricio Gonzalez & Rémy ESTRAN
20240 citations
Clustering market regimes using the Wasserstein distance
Blanka Horvath et al.
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An iterative copula method for probability density estimation
Michael Roitman
20240 citations
Pricing high-dimensional Bermudan options using deep learning and higher-order weak approximation
Riu Naito & Toshihiro Yamada
20240 citations
Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures
Jaehyuk Choi & Byoung Ki Seo
20240 citations
Multiperiod static hedging of European options
Purba Banerjee et al.
20240 citations

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