Published by: Infopro Digital Risk
Editor(s): Christoph Reisinger, University of Oxford
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:
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- The role of a green factor in stock prices: when Fama and French go green
- Optimal trend-following portfolios
- Peak-to-valley drawdowns: insights into extreme path-dependent market risk
- Credible value-at-risk
- Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay
- How does fintech affect the revenue and risk of commercial banks? Evidence from China
- On the potential of arbitrage trading on the German intraday power market
- Realized quantity extended conditional autoregressive value-at-risk models
- Integrated stock–bond portfolio management
- Estimating the correlation between operational risk loss categories over different time horizons
- Implementing mean–variance spanning tests with short-sales constraints
- Legal risk management in the Polish banking sector
- Hedging of financial derivative contracts via Monte Carlo tree search
- News-driven bubbles in futures markets
- Incremental wind energy development in the Midcontinent Independent System Operator electricity markets of the United States
- An empirical study of the contrarian strategy against US equities in the Japanese market
- Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic
- What have we learned from 20 million historical US stock data?
- Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
- Estimating the impact of climate change on credit risk
- Illustrative industry architecture to mitigate potential fragmentation across a central bank digital currency and commercial bank money
- Research on the premium for the joint lower-tail risk of liquidity and investor sentiment
- Automatic adjoint differentiation for special functions involving expectations
- Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns
- Transmission of cyber risk through the Canadian wholesale payment system
- A new automated model validation tool for financial institutions
- Overfitting in portfolio optimization
- The importance of being scrambled: supercharged quasi-Monte Carlo
- How to choose the dependence types in operational risk measurement? A method considering strength, sensitivity and simplicity
- Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
- Operational risk and regulatory capital: do public and private banks differ?
- A text analysis of operational risk loss descriptions
- On the mitigation of valuation uncertainty risk: the importance of a robust proxy for the “cumulative state of market incompleteness”
- Integrating text mining and analytic hierarchy process risk assessment with knowledge graphs for operational risk analysis
- Understanding and predicting systemic corporate distress: a machine-learning approach
- Evaluating the performance of energy exchange-traded funds
- A two-stage nonlinear approach for modeling hourly spot power prices with an application to spot market risk valuation of the power yield of a solar array in Germany
- Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis
- Pricing default risk in stochastic time
- Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric
- Toward a unified implementation of regression Monte Carlo algorithms
- An approach to capital allocation based on mean conditional value-at-risk
- Throwing green into the mix: how the EU Emissions Trading System impacted the energy mix of French manufacturing firms (2000–16)
- Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
- Default forecasting based on a novel group feature selection method for imbalanced data
- The realized local volatility surface
- A general control variate method for time-changed Lévy processes: an application to options pricing
- Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios
- Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing
- The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures
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