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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- Survival analysis in credit risk management: a review study
- Uncertainty in the macroeconomic environment, corporate tax avoidance and corporate credit financing: evidence from high-tech listed companies in China
- Default risk in the era of environmental, social and governance ratings: a comparative analysis of divergence
- Enhancing organizational sustainability through human resource analytics: examining the moderating effect of organizational culture
- Operational risk, capital regulation and model risk
- The robot-labeling phenomenon: robot-ready modern operational risk management
- Approximate risk parity with return adjustment and bounds for risk diversification
- Navigating risk horizons: a comprehensive bibliometric analysis of corporate risk management
- The power of neural networks in stochastic volatility modeling
- A tale of two tail risks
- The impact of divergence in communication tone on investors’ willingness to invest in eurozone small- to medium-sized enterprises
- Fintech lending and firm bankruptcies
- Dissecting initial margin forecasts: models, limitations and backtesting
- Incorporating financial reports and deep learning for financial distress prediction: empirical evidence from Chinese listed companies
- Operational risk modeling under the loss distribution approach: estimation of operational risk capital by business line versus risk category
- Operational risk and non-life insurers’ performance
- Lessons for academic research from model risk management in financial institutions
- Operational risks: trends and challenges
- Pricing time-capped American options using a least squares Monte Carlo method
- Determination of the fraction of losses and their probabilities by type of risk and business line from aggregate loss data
- Determination of the fraction of losses and their probabilities by type of risk and business line from aggregate loss data
- The effects of climate transition risk on an investment portfolio
- Earnings moves and pre-earnings implied volatility
- The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach
- Herding behavior in energy commodity futures markets amid turmoil and turmoil-free periods
- Pricing American options under irrational behavior in a Markov regime-switching model with a finite-element method
- Deep equal risk pricing of illiquid derivatives with multiple hedging instruments
- We will shock you: a coherent Bayesian approach for stress testing
- Optimal trade execution with unknown drift
- Functional consistency across retail central bank digital currency and commercial bank money
- Advanced visualization for the quant strategy universe: clustering and dimensionality reduction
- Advanced visualization for the quant strategy universe: clustering and dimensionality reduction
- Expectile risk quadrangles and applications
- Retail payment technology and money demand: evidence from China
- Soft information in financial distress prediction: evidence of textual features in annual reports from Chinese listed companies
- On the boundary conditions adopted in stochastic volatility option pricing models
- Using option prices to trade the underlying asset
- Relaxing the assumption of conditional independence in an asymptotic single risk factor model
- Multiperiod static hedging of European options
- Multiperiod static hedging of European options
- Bonus caps and bankers’ risk-taking
- Financial performance in electricity and gas markets: some empirical evidence from a cluster analysis
- Assessing the efficiency of pure-play internet banks in South Korea, Japan and China with data envelopment analysis
- Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
- Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures
- A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
- Unraveling Lebanon’s financial crisis: the path from promise to peril, delving into a risk strategist’s own experience
- Sustainable power purchase contracts for local industries from floating-solar and pumped-hydro integration
- Cyber risk assessment model for information assets: a tailored approach for the financial and banking sector
- Research on the multifractal volatility of Chinese banks based on the synthetic minority oversampling technique, edited nearest neighbors and long short-term memory
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