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Journal of Computational Finance

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1.

Fourier Space Time-Stepping for Option Pricing With Levy Models

Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of pages: 30 Posted: 10 Oct 2007 Last Revised: 01 Jul 2009
Working Paper Series
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,628
2.

Life-Cycle Asset Allocation and Consumption Using Stochastic Linear Programming

Journal of Computational Finance, Vol. 12, No. 4, pp. 29-50, 2009
Number of pages: 27 Posted: 21 Dec 2006 Last Revised: 03 Mar 2017
Working Paper Series
VGSF / WU, University of Liechtenstein and Free University of Bolzano/Bozen
Downloads 503
3.

A Novel Fourier Transform B-spline Method for Option Pricing

Journal of Computational Finance, 2015
Number of pages: 40 Posted: 25 May 2013 Last Revised: 10 Jun 2016
Accepted Paper Series
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 274
4.

A New Improvement Scheme on Approximation Methods for Probability Density Functions

Journal of Computational Finance, 2015
Number of pages: 19 Posted: 24 Jan 2013 Last Revised: 10 Jun 2016
Accepted Paper Series
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Downloads 130
5.

On the Application of Spectral Filters in a Fourier Option Pricing Technique

Journal of Computational Finance, 2015
Number of pages: 24 Posted: 18 May 2013
Accepted Paper Series
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)

Multiple version iconThere are 2 versions of this paper

Downloads 31
6.

A Chaos Expansion Approach for the Pricing of Contingent Claims

Journal of Computational Finance, Vol. 18, No. 3, Pages 27–58, 2015,
Number of pages: 32 Posted: 15 Jun 2016
Accepted Paper Series
Mizuho Securities Co. Ltd and Tokyo Metropolitan University

Multiple version iconThere are 2 versions of this paper

Downloads 1
7.

A Reduced Basis Method for Parabolic Partial Differential Equations with Parameter Functions and Application to Option Pricing

Journal of Computational Finance, Forthcoming
Number of pages: 36 Posted: 26 Sep 2016
Working Paper Series
University of Ulm and University of Ulm
Downloads 1
8.

Efficient Pricing and Super-Replication of Corridor Variance Swaps and Related Products

Journal of Computational Finance, Forthcoming
Number of pages: 18 Posted: 04 Mar 2017
Accepted Paper Series
Bank of America - Bank of America Merrill Lynch and Barclays
Downloads 1
9.

Investment Opportunities Forecasting: A Genetic Programming-Based Dynamic Portfolio Trading System under a Directional-Change Framework

Journal of Computational Finance, Forthcoming
Number of pages: 35 Posted: 04 Mar 2017
Accepted Paper Series
King Saud University
Downloads 1
10.

A Mixed Monte Carlo and Partial Differential Equation Variance Reduction Method for Foreign Exchange Options Under the Heston–Cox–Ingersoll–Ross Model

Journal of Computational Finance, Forthcoming
Number of pages: 41 Posted: 12 Aug 2016
Accepted Paper Series
University of Oxford and University of Oxford - Oxford-Man Institute of Quantitative Finance
11.

A New Improvement Scheme for Approximation Methods of Probability Density Functions

Journal of Computational Finance, Vol. 19, No. 4, 2016
Number of pages: 22 Posted: 14 Jun 2016
Accepted Paper Series
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
12.

A Novel Partial Integrodifferential Equation-Based Framework for Pricing Interest Rate Derivatives under Jump-Extended Short-Rate Models

Journal of Computational Finance, Vol. 18, No. 4, Pages 129–161, 2015,
Number of pages: 34 Posted: 15 Jun 2016
Accepted Paper Series
University of Mauritius, University of Mauritius and University of Mauritius
13.

A Robust Set-Valued Scenario Approach for Handling Modeling Risk in Portfolio Optimization

Journal of Computational Finance, Vol. 19, No. 1, Pages 11–40, 2015,
Number of pages: 30 Posted: 15 Jun 2016
Accepted Paper Series
Zhongshan University, Hebei Normal University and Chinese University of Hong Kong
14.

A Simple Approximation for the No-Arbitrage Drifts in Libor Market Model-SABR-Family Interest-Rate Models

Journal of Computational Finance, Vol. 19, No. 1, Pages 1–10, 2015,
Number of pages: 10 Posted: 15 Jun 2016
Accepted Paper Series
University of Oxford - Mathematical Institute
15.

Accelerated Trinomial Trees Applied to American Basket Options and American Options Under the Bates Model

Journal of Computational Finance, Vol. 19, No. 4, 2016
Number of pages: 44 Posted: 14 Jun 2016
Accepted Paper Series
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Dublin City University
16.

Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets

Journal of Computational Finance, 20(1), 89-111, DOI:10.21314/JCF.2016.309
Number of pages: 24 Posted: 28 Jul 2016
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
17.

American Option Pricing with Transaction Costs

Journal of Computational Finance, Vol. 8, No. 3, pp. 81-115, Spring 2005
Posted: 25 Apr 2005
Accepted Paper Series
University of Agder - School of Business and Law
18.

An Efficient Convergent Lattice Method for Asian Option Pricing with Superlinear Complexity

Journal of Computational Finance, Forthcoming
Number of pages: 38 Posted: 12 Oct 2016
Accepted Paper Series
Tongji University, Tongji University - Mathematical Department and Tongji University
19.

An Efficient Monte Carlo Method for Discrete Variance Contracts

Journal of Computational Finance, Vol. 18, No. 3, Pages 1–25, 2015,
Number of pages: 26 Posted: 15 Jun 2016
Accepted Paper Series
Universidad Torcuato Di Tella - School of Business and Instituto Nacional de Matemática Pura e Aplicada (IMPA)
20.

An Efficient Numerical Partial Differential Equation Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives

Journal of Computational Finance, Vol. 18, No. 4, Pages 39–93, 2015,
Number of pages: 56 Posted: 15 Jun 2016
Accepted Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and IBM
21.

An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancelable Swaps Under the Libor Market Model

Journal of Computational Finance, Forthcoming
Number of pages: 26 Posted: 21 Jul 2016
Accepted Paper Series
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
22.

Application of the Improved Fast Gauss Transform to Option Pricing Under Jump-Diffusion Processes

Journal of Computational Finance, Vol. 18, No. 2, 2014
Number of pages: 26 Posted: 04 Jun 2016
Accepted Paper Series
Soka University and University of Tsukuba
23.

B-Spline Techniques for Volatility Modeling

Journal of Computational Finance, Vol. 19, No. 3, 2016
Number of pages: 40 Posted: 14 Jun 2016
Accepted Paper Series
Bloomberg Quant Research
24.

Calibration of Local Correlation Models to Basket Smiles

Journal of Computational Finance, Forthcoming
Number of pages: 51 Posted: 18 Nov 2016
Accepted Paper Series
Bloomberg L.P.
25.

Control Variates for Monte Carlo Valuation of American Options

Journal of Computational Finance, Vol. 9, No. 1, Fall 2005
Posted: 13 Nov 2005
Accepted Paper Series
Danske Bank
26.

Convergence of Monte Carlo Simulations Involving the Mean-Reverting Square Root Process

Journal of Computational Finance, Vol. 8, No. 3, pp. 35-62, Spring 2005
Posted: 25 Apr 2005
Accepted Paper Series
University of Strathclyde - Department of Mathematics and University of Strathclyde in Glasgow - Department of Statistics and Modelling Science
27.

Counterparty Credit Risk Pricing and Measurement of Swaption Portfolios

Journal of Computational Finance, Vol. 18, No. 1, 2014
Number of pages: 34 Posted: 04 Jun 2016
Working Paper Series
Queen's School of Business
28.

Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

Journal of Computational Finance, Forthcoming
Number of pages: 34 Posted: 13 Jul 2016
Accepted Paper Series
Center for Mathematics and Computer Science (CWI), ING Bank - Netherlands Office, ING Bank, University of Amsterdam and Center for Mathematics and Computer Science (CWI)
29.

Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte Carlo Method

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 20 Aug 2016
Accepted Paper Series
University of Amsterdam, University of Amsterdam and University of Amsterdam

Multiple version iconThere are 2 versions of this paper

30.

Efficient Pricing of Asian Options by the PDE Approach

Journal of Computational Finance, Vol. 8, No. 2, pp. 55-64, Winter 2004/05
Posted: 28 Apr 2005
Accepted Paper Series
Conservatoire Nationale des Arts et Métiers and University of Montreal - Centre de recherches mathématiques (CRM)
31.

Efficient Solution of Backward Jump-Diffusion Partial Integro-Differential Equations with Splitting and Matrix Exponentials

Journal of Computational Finance, Vol. 19, No. 3, 2016
Number of pages: 42 Posted: 15 Jun 2016
Accepted Paper Series
New York University (NYU)
32.

Efficient Variations of the Fourier Transform in Applications to Option Pricing

Journal of Computational Finance, Vol. 18, No. 2, 2014
Number of pages: 34 Posted: 04 Jun 2016
Accepted Paper Series
University of Texas at Austin - Department of Economics and University of Leicester
33.

Error Analysis in Fourier Methods for Option Pricing

Journal of Computational Finance, Forthcoming
Number of pages: 30 Posted: 06 Dec 2016
Accepted Paper Series
King Abdullah University of Science and Technology, King Abdullah University of Science and Technology, Independent and King Abdullah University of Science and Technology
34.

Evaluation of Compound Options using Perturbation Approximation

Journal of Computational Finance, Vol. 9, No. 1, Fall 2005
Posted: 13 Nov 2005
Accepted Paper Series
North Carolina State University - Department of Mathematics and National Tsing Hua University - Department of Quantitative Finance
35.

Exact Pricing Formulae for Caps and Swaptions in a LéVy Term Structure Model

Journal of Computational Finance, Vol. 9, No. 2, Spring 2006
Posted: 10 May 2006
Accepted Paper Series
University of Freiburg and University of Freiburg - Institut für Mathematische Stochastik
36.

Extended Libor Market Models with Stochastic Volatility

Journal of Computational Finance, Vol. 9, No. 1, Fall 2005
Posted: 13 Nov 2005
Accepted Paper Series
Bank of America Merrill Lynch and Gen Re Securities

Multiple version iconThere are 2 versions of this paper

37.

Extended Saddlepoint Methods for Credit Risk Measurement

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 38 Posted: 14 Jun 2016
Accepted Paper Series
BBVA and University of Castilla-La Mancha
38.

Fast Solutions of Complementarity Formulations in American Put Pricing

Journal of Computational Finance, Vol. 9, No. 1, Fall 2005
Posted: 13 Nov 2005
Accepted Paper Series
University of Tirana - Faculty of Natural Science and Swiss Federal Institute of Technology Zurich - IFOR
39.

Faster Comparison of Stopping Times by Nested Conditional Monte Carlo

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 24 Posted: 14 Jun 2016
Accepted Paper Series
University of Duisburg-Essen and Tilburg School of Economics and Management
40.

Finite Difference Techniques for Arbitrage-Free SABR

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 19 Aug 2016
Accepted Paper Series
affiliation not provided to SSRN and Clarus Financial Technology
41.

Fourier Transform Algorithms for Pricing and Hedging Discretely Sampled Exotic Variance Products and Volatility Derivatives Under Additive Processes

Journal of Computational Finance, Vol. 18, No. 2, 2014
Number of pages: 28 Posted: 04 Jun 2016
Accepted Paper Series
National University of Singapore (NUS) and Hong Kong University of Science & Technology - Department of Mathematics
42.

From Arbitrage to Arbitrage-Free Implied Volatilities

Journal of Computational Finance, Forthcoming
Number of pages: 19 Posted: 05 Jul 2016
Accepted Paper Series
Delft University of Technology and Center for Mathematics and Computer Science (CWI)

Multiple version iconThere are 2 versions of this paper

43.

Generalizing the Black-Scholes Formula to Multivariate Contingent Claims

Journal of Computational Finance, Vol. 9, No. 2, Spring 2006
Posted: 10 May 2006
Accepted Paper Series
Princeton University - Bendheim Center for Finance and Stanford University
44.

High-Performance American Option Pricing

Journal of Computational Finance, 20(1), 39-87, DOI:10.21314/JCF.2016.312
Number of pages: 50 Posted: 02 Aug 2016
Accepted Paper Series
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist

Multiple version iconThere are 2 versions of this paper

45.

Hopscotch Methods for Two State Financial Models

Journal of Computational Finance, Vol. 2/3, 2000
Posted: 21 Nov 2007
Accepted Paper Series
LARE-efi and Amundi Asset Management
46.

Importance Sampling for Jump Processes and Applications to Finance

Journal of Computational Finance, Vol. 19, No. 2, Pages 109–139, 2015,
Number of pages: 32 Posted: 15 Jun 2016
Accepted Paper Series
University Grenoble Alpes, Université Grenoble Alpes and University Grenoble Alpes
47.

Measuring Marginal Risk Contributions in Credit Portfolios

Journal of Computational Finance, Vol. 9, No. 2, Spring 2006
Posted: 10 May 2006
Accepted Paper Series
Columbia Business School

Multiple version iconThere are 2 versions of this paper

48.

Multicurrency Extension of the Quasi-Gaussian Stochastic Volatility Interest Rate Model

Journal of Computational Finance, Vol. 18, No. 3, Pages 59–98, 2015,
Number of pages: 40 Posted: 15 Jun 2016
Accepted Paper Series
Markit Group
49.

Numerical Algorithms for Research and Development Stochastic Control Models

Journal of Computational Finance, Vol. 18, No. 1, 2014
Number of pages: 28 Posted: 04 Jun 2016
Accepted Paper Series
Hong Kong Baptist University (HKBU) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
50.

Numerical Analysis of Monte Carlo Evaluation of Greeks by Finite Differences

Journal of Computational Finance, Vol. 8, No. 3, pp. 1-34, Spring 2005
Posted: 25 Apr 2005
Accepted Paper Series
Independent and University of Leicester - Department of Mathematics