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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- 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
- Analyzing market sentiment based on the option-implied distribution of stock returns
- Delving into the investment psyche: investigating the determinants influencing individual investors’ decision-making
- Credit portfolio modeling and pricing using the Poisson binomial distribution
- Formulations to select assets for constructing sparse index tracking portfolios
- Financial industry adoption of distributed ledger technologies: implications for central bank money settlement
- The market liquidity of interest rate swaps
- Correlation breakdowns, spread positions and central counterparty margin models
- Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming
- How is risk culture conceptualized in organizations? The pan-industry risk culture (PIRC) model
- Natural language processing-based detection of systematic anomalies among the narratives of consumer complaints
- US regional banks: challenges and opportunities
- Do government audits raise the risk awareness of management? An investigation from the perspective of cost variability
- Integrating internal and external loss data via an equivalence principle
- An entropy-based class of moving averages
- Tracking toxicity in fast and complex markets
- Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
- Does investors’ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods
- The impact of economic sentiment on financial portfolios during the recent turmoil
- Luxury watches: a viable alternative investment or mere speculative trend? An analysis of two decades before the pandemic
- A multidimensional transform for pricing American options under stochastic volatility models
- A simple local correlation model
- An equity-implied rating model for unrated firms
- Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework
- Examining sustainability investments and financial performance of football clubs: an empirical analysis
- Revenue analysis of spot and forward solar energy sales in Texas
- Key indicators for the credit risk evaluation of clients and their changing characteristics
- Securities and Exchange Commission Form 13F Holdings Report: statistical investigation of trading imbalances and profitability analysis
- Design risk: the curse of constant proportion portfolio insurance
- A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
- The impact of greenhouse gas aversion on optimal portfolios
- Just solve it: a simple method to improve the design and performance of liquidity-saving mechanisms
- Alternative margin models for mortgage-backed securities
- Financial distress prediction with optimal decision trees based on the optimal sampling probability
- Centralized and decentralized payments networks: a simple cost comparison
- Quantifying credit portfolio sensitivity to asset correlations with interpretable generative neural networks
- Default prediction based on a locally weighted dynamic ensemble model for imbalanced data
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