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:
Individual RSS Feed not available. All content aggregated into primary Risk.net RSS Feed.
- 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
- 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
- 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
- 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
- Artificial intelligence in crisis management: a bibliometric analysis
- A qualitative study of operational resilience in financial institutions
- The fundamental role of the repo market and central clearing
- Can tax evasion be reduced by fostering cashless payments? A systematic literature review
- On par: a money view of stablecoins
- A model combining Optuna and the light gradient-boosting machine algorithm for credit default forecasting
- Litigation risk assessment: a novel quantitative recency–frequency–monetary model
- Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions
- Cumulative accuracy profile curves for correlating collateralized debt obligations to systematic factors
- Converting a covariance matrix from local currencies to a common currency
- Analyzing credit risk model problems through natural language processing-based clustering and machine learning: insights from validation reports
- Machine learning prediction of loss given default in government-sponsored enterprise residential mortgages
- Forecasting India’s foreign trade dynamics: evaluation of alternative forecasting models in the post-pandemic period
- Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
- Pricing high-dimensional Bermudan options using deep learning and higher-order weak approximation
- Clustering market regimes using the Wasserstein distance
- An iterative copula method for probability density estimation
- The impact of deterioration in rating-model discriminatory power on expected losses
- Consumer credit card payment dynamics over the economic cycle
- Unaligned exchange traded funds: risk-adjusted performance and market-timing skills
- Kernel-based estimation of spectral risk measures
No Journal Account Available. Publisher Only.