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

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

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Rainbows and transforms: semi-analytic formulas

The Journal of Computational Finance ◽

10.21314/jcf.2021.009 ◽

2021 ◽

Author(s):

Norberto Laghi

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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

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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 ◽

Path Dependent

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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

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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

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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

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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

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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

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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

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