The Journal of Computational Finance
Latest Publications

TOTAL DOCUMENTS

412

(FIVE YEARS 54)

H-INDEX

46

(FIVE YEARS 2)

Published By Infopro Digital

1460-1559

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Nowcasting networks

The Journal of Computational Finance ◽

10.21314/jcf.2020.404 ◽

2021 ◽

Vol 24 (3) ◽

pp. 1-39

Author(s):

Marc Chataigner ◽

Stéphane Crépey ◽

Jiang Pu

Download Full-text

Rainbows and transforms: semi-analytic formulas

The Journal of Computational Finance ◽

10.21314/jcf.2021.009 ◽

2021 ◽

Author(s):

Norberto Laghi

Download Full-text

Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model

The Journal of Computational Finance ◽

10.21314/jcf.2020.402 ◽

2021 ◽

Author(s):

Yuwei Chen ◽

Christina Christara

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Equation Model ◽

Contingent Claims ◽

Penalty Methods ◽

Differential Equation Model ◽

Partial Differential ◽

Partial Differential Equation Model

Download Full-text

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

The Journal of Computational Finance ◽

10.21314/jcf.2020.400 ◽

2021 ◽

Author(s):

Alan Bain ◽

Matthieu Mariapragassam ◽

Christoph Reisinger

Keyword(s):

Volatility Models ◽

Download Full-text

Quantization-based Bermudan option pricing in the foreign exchange world

The Journal of Computational Finance ◽

10.21314/jcf.2021.008 ◽

2021 ◽

Author(s):

Jean-Michel Fayolle ◽

Vincent Lemaire ◽

Thibaut Montes

Keyword(s):

Option Pricing ◽

Foreign Exchange ◽

Bermudan Option

Download Full-text

Deep learning for discrete-time hedging in incomplete markets

The Journal of Computational Finance ◽

10.21314/jcf.2021.006 ◽

2021 ◽

Author(s):

Simon Fecamp ◽

Joseph Mikael ◽

Xavier Warin

Keyword(s):

Deep Learning ◽

Incomplete Markets ◽

Discrete Time ◽

Discrete Time Hedging

Download Full-text

Pricing American options under negative rates

The Journal of Computational Finance ◽

10.21314/jcf.2021.004 ◽

2021 ◽

Author(s):

Jherek Healy

Keyword(s):

American Options

Download Full-text

Branching diffusions with jumps, and valuation with systemic counterparties

The Journal of Computational Finance ◽

10.21314/jcf.2021.011 ◽

2021 ◽

Author(s):

Christoph Belak ◽

Daniel Hoffmann ◽

Frank Seifried

Keyword(s):

Branching Diffusions

Download Full-text

Gradient boosting for quantitative finance

The Journal of Computational Finance ◽

10.21314/jcf.2020.403 ◽

2021 ◽

Author(s):

Jesse Davis ◽

Laurens Devos ◽

Sofie Reyners ◽

Wim Schoutens

Keyword(s):

Gradient Boosting ◽

Quantitative Finance

Download Full-text

A simple and robust approach for expected shortfall estimation

The Journal of Computational Finance ◽

10.21314/jcf.2021.003 ◽

2021 ◽

Author(s):

Zhibin Pan ◽

Tao Pang ◽

Yang Zhao

Keyword(s):

Expected Shortfall ◽

Robust Approach

Download Full-text