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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- Credit risk management: a systematic literature review and bibliometric analysis
- Characteristics of student loan credit recovery: evidence from a micro-level data set
- Volatility spillover effects and risk assessment of Indian green stocks: a DCC-GARCH analysis
- Renewable energy generation capacity following the Russian invasion of Ukraine, and the stock market performance of energy firms: evidence from southern European Union countries
- Composite Tukey-type distributions with application to operational risk management
- Semi-nonparametric estimation of operational risk capital with extreme loss events
- New proxy schemes for swing contracts
- The important role of information technology and internal auditing in risk management: evidence from Greece
- Estimating the probability of insurance recovery in operational risk
- Banking competition and systemic risk: evidence from China
- Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations
- Assessing the potential profitability of automated power market trading using event signals sourced from grid frequency data
- Multi-factor default correlation model estimation: enhancement with bootstrapping
- Are cryptocurrencies cryptic or a source of arbitrage? A genetic algorithm approach
- Gas market area mergers: when is bigger better?
- The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio
- On the recovery tools of a central counterparty
- The trade-off between shorter settlement times and multilateral netting benefits in deferred net settlement
- On the contagion effect between crude oil and agricultural commodity markets: a dynamic conditional correlation and spectral analysis
- Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
- Shapley values as an interpretability technique in credit scoring
- Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
- Extremiles, quantiles and expectiles in the tails
- Assessing the potential for asset diversification: an analysis of Brazilian stock indexes, Bitcoin, gold, crude oil and exchange rates
- Forecasting the default risk of Chinese listed companies using a gradient-boosted decision tree based on the undersampling technique
- Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data
- Credit contagion risk in German auto loans
- Tail sensitivity of stocks to carbon risk: a sectoral analysis
- Neural variance reduction for stochastic differential equations
- Mean–variance insurance design under heterogeneous beliefs
- Nonbanking financial institutions and sustainability issues: empirical evidence on the impact of environmental, social and governance scores on market performance
- 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
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