The Journal of Computational Finance
Latest Publications

TOTAL DOCUMENTS

412
(FIVE YEARS 17)

H-INDEX

46
(FIVE YEARS 0)

Published By Infopro Digital

1460-1559
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Nowcasting networks

2021 ◽  
Vol 24 (3) ◽  
pp. 1-39
Author(s):  
Marc Chataigner ◽  
Stéphane Crépey ◽  
Jiang Pu

Rainbows and transforms: semi-analytic formulas

2021 ◽  
Author(s):  
Norberto Laghi

scholarly journals Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options

2021 ◽  
Author(s):  
Alan Bain ◽  
Matthieu Mariapragassam ◽  
Christoph Reisinger
Keyword(s):  
Volatility Models ◽  
Path Dependent

Deep learning for discrete-time hedging in incomplete markets

2021 ◽  
Author(s):  
Simon Fecamp ◽  
Joseph Mikael ◽  
Xavier Warin
Keyword(s):  
Deep Learning ◽  
Incomplete Markets ◽  
Discrete Time ◽  
Discrete Time Hedging

scholarly journals Quantization-based Bermudan option pricing in the foreign exchange world

2021 ◽  
Author(s):  
Jean-Michel Fayolle ◽  
Vincent Lemaire ◽  
Thibaut Montes
Keyword(s):  
Option Pricing ◽  
Foreign Exchange ◽  
Bermudan Option

Gradient boosting for quantitative finance

2021 ◽  
Author(s):  
Jesse Davis ◽  
Laurens Devos ◽  
Sofie Reyners ◽  
Wim Schoutens
Keyword(s):  
Gradient Boosting ◽  
Quantitative Finance

A simple and robust approach for expected shortfall estimation

2021 ◽  
Author(s):  
Zhibin Pan ◽  
Tao Pang ◽  
Yang Zhao
Keyword(s):  
Expected Shortfall ◽  
Robust Approach

scholarly journals Pricing American options under negative rates

2021 ◽  
Author(s):  
Jherek Healy
Keyword(s):  
American Options

scholarly journals Branching diffusions with jumps, and valuation with systemic counterparties

2021 ◽  
Author(s):  
Christoph Belak ◽  
Daniel Hoffmann ◽  
Frank Seifried
Keyword(s):  
Branching Diffusions
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