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Journal of Computational Finance

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1.

A Pairwise Local Correlation Model

Journal of Computational Finance, Forthcoming
Number of pages: 25 Posted: 17 Jan 2019
Accepted Paper Series
DGZ-DekaBank and RIVACON
2.

American and Exotic Option Pricing with Jump Diffusions and Other Levy Processes

Journal of Computational Finance, Vol. 22, No. 3, 2018
Number of pages: 60 Posted: 20 Dec 2018
Accepted Paper Series
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Downloads 1
3.

An Adaptive Filon Quadrature for Stochastic Volatility Models

Journal of Computational Finance, Vol. 22, No. 3, 2018
Number of pages: 24 Posted: 20 Dec 2018
Accepted Paper Series
Delft University of Technology
Downloads 1
4.

Hedging of Options in the Presence of Jump Clustering

Journal of Computational Finance, Forthcoming
Number of pages: 36 Posted: 03 Dec 2018
Accepted Paper Series
Université Catholique de Louvain and Université de Rennes I and CREM
Downloads 2
5.

Portfolio Optimization for American Options

Journal of Computational Finance, Forthcoming
Number of pages: 28 Posted: 30 Nov 2018
Accepted Paper Series
AQR Capital Management and Northwestern University
6.

Dilated Convolutional Neural Networks for Time Series Forecasting

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 26 Oct 2018
Accepted Paper Series
Università di Bologna, Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
7.

Vibrato and Automatic Differentiation for High-Order Derivatives and Sensitivities of Financial Options

Journal of Computational Finance, Vol. 22, No. 2, 2018
Number of pages: 34 Posted: 11 Oct 2018
Accepted Paper Series
Université Paris VI Pierre et Marie Curie, Independent and Independent
8.

Polynomial Upper and Lower Bounds for Financial Derivative Price Functions under Regime-Switching

Journal of Computational Finance, Vol. 22, No. 2, 2018
Number of pages: 38 Posted: 11 Oct 2018
Accepted Paper Series
The University of Sydney and The University of Sydney
9.

Bermudan Swaption Model Risk Analysis: A Local Volatility Approach

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 31 Aug 2018
Accepted Paper Series
National Bank of Poland
Downloads 1
10.

Kriging Metamodels and Experimental Design for Bermudan Option Pricing

Journal of Computational Finance, Vol. 22, No. 1, 2018
Number of pages: 42 Posted: 28 Jun 2018
Accepted Paper Series
University of California, Santa Barbara
11.

Importance Sampling for Jump–Diffusions Via Cross-Entropy

Journal of Computational Finance, Vol. 22, No. 1, 2018
Number of pages: 24 Posted: 28 Jun 2018
Accepted Paper Series
BlackRock, Inc, Brown University - Division of Applied Mathematics and Brown University - Division of Applied Mathematics
Downloads 1
12.

Importance Sampling Applied to Greeks for Jump–Diffusion Models with Stochastic Volatility

Journal of Computational Finance, Forthcoming
Number of pages: 26 Posted: 25 May 2018
Accepted Paper Series
Independent, Universidad del País Vasco (UPV/EHU) and Universitat Pompeu Fabra
13.

Pricing Multivariate Barrier Reverse Convertibles with Factor-Based Subordinators

Journal of Computational Finance, Vol. 21, No. 5, 2018
Number of pages: 34 Posted: 07 May 2018
Accepted Paper Series
University of Torino - Department of Economics and Statistics, University of Turin - Collegio Carlo Alberto and Politecnico of Turin
14.

Hybrid Finite–Difference/Pseudospectral Methods for the Heston and Heston–Hull–White Partial Differential Equations

Journal of Computational Finance, Vol. 21, No. 5, 2018
Number of pages: 34 Posted: 25 Apr 2018
Accepted Paper Series
Bergische Universitat Wuppertal, Bergische Universitat Wuppertal and Bergische Universitat Wuppertal
Downloads 2
15.

Adjoint Algorithmic Differentiation Tool Support for Typical Numerical Patterns in Computational Finance

Journal of Computational Finance, Vol. 21, No. 4, 2018
Number of pages: 36 Posted: 12 Feb 2018
Accepted Paper Series
RWTH Aachen University - Software and Tools for Computational Engineering (STCE) and Independent
16.

Monte Carlo Payoff Smoothing for Pricing Autocallable Instruments

Journal of Computational Finance, Vol. 21, No. 4, 2018
Number of pages: 20 Posted: 12 Feb 2018
Accepted Paper Series
DGZ-DekaBank and DGZ-DekaBank

Multiple version iconThere are 2 versions of this paper

17.

Volatility Risk Structure for Options Depending on Extrema

Journal of Computational Finance, Vol. 21, No. 3, 2017
Number of pages: 18 Posted: 04 Dec 2017
Accepted Paper Series
Shibaura Institute of Technology - Department of Mathematical Sciences
18.

A Hybrid Tree/finite-Difference Approach for Heston–Hull–White-type Models

Journal of Computational Finance, Vol. 21, No. 3, 2017
Number of pages: 46 Posted: 04 Dec 2017
Accepted Paper Series
Istituto per le Applicazioni del Calcolo M. Picone (IAC-Roma), University of Rome II and Dipartimento di Scienze Economiche e Statistiche, Università di Udine
19.

Pricing Multidimensional Financial Derivatives with Stochastic Volatilities Using the Dimensional-Adaptive Combination Technique

Journal of Computational Finance, Vol. 21, No. 3, 2017
Number of pages: 30 Posted: 02 Dec 2017
Accepted Paper Series
Technische Universität München (TUM) and University of Stuttgart - Institute for Parallel and Distributed Systems
Downloads 1
20.

Cumulative Prospect Theory and Mean–Variance Analysis: A Rigorous Comparison

Journal of Computational Finance, Vol. 21, No. 3, 2017
Number of pages: 28 Posted: 02 Dec 2017
Accepted Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration

Multiple version iconThere are 2 versions of this paper

Downloads 1
21.

Local Variance Gamma Revisited

Journal of Computational Finance, 22(2), 1–27,
Number of pages: 27 Posted: 01 Sep 2017
Accepted Paper Series
FIS Front Arena and Nordea Markets
22.

A New Nonlinear Partial Differential Equation in Finance and a Method of Its Solution

Journal of Computational Finance, Forthcoming
Number of pages: 21 Posted: 28 Aug 2017
Accepted Paper Series
New York University (NYU)
Downloads 1
23.

A Nonparametric Local Volatility Model for Swaptions Smile

Journal of Computational Finance, Forthcoming
Number of pages: 28 Posted: 25 Aug 2017
Accepted Paper Series
Polish Academy of Sciences and National Bank of Poland
Downloads 3
24.

Local Volatility Models in Commodity Markets and Online Calibration

Journal of Computational Finance, Forthcoming
Number of pages: 33 Posted: 22 Aug 2017
Accepted Paper Series
Federal University of Santa Catarina, University of British Columbia (UBC) and Instituto de Matematica Pura e Aplicada (IMPA)
25.

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
26.

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
27.

Smile with the Gaussian Term Structure Model

Journal of Computational Finance, 21(1), 1–42 DOI:10.21314/JCF.2016.328 ,
Number of pages: 42 Posted: 08 Dec 2016
Accepted Paper Series
Université Paris Est - CERMICS, Université Paris Est - CERMICS and Université Paris-Est Marne la Vallée (UPEMLV)
28.

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
29.

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.
30.

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
Tong Ji University, Tong Ji University - Mathematical Department and Tong Ji University
31.

Valuation of Barrier Options Using Sequential Monte Carlo

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 04 Oct 2016
Accepted Paper Series
Macquarie University and Centre de Recherche Inria Bordeaux
Downloads 1
32.

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
33.

The Probability of Backtest Overfitting

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 21 Sep 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University

Multiple version iconThere are 2 versions of this paper

34.

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

35.

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
36.

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
37.

The Forward Smile in Local–Stochastic Volatility Models

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 10 Aug 2016
Accepted Paper Series
Gran Sasso Science Institute and University of Bologna - Department of Mathematics

Multiple version iconThere are 2 versions of this paper

38.

Numerical Solution of the Hamilton – Jacobi – Bellman Formulation for Continuous-Time Mean – Variance Asset Allocation Under Stochastic Volatility

Journal of Computational Finance, Forthcoming
Number of pages: 38 Posted: 04 Aug 2016
Accepted Paper Series
University of Waterloo and University of Waterloo - Cheriton School of Computer Science
39.

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

Downloads 1
40.

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 Finance and Risk Engineering, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
41.

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 Monash University - Department of Econometrics & Business Statistics
42.

Pricing Swing Options in Electricity Markets with Two Stochastic Factors Using a Partial Differential Equation Approach

Journal of Computational Finance, Forthcoming
Number of pages: 27 Posted: 16 Jul 2016
Accepted Paper Series
University of A Coruña - Department of Mathematics, Bergische Universitat Wuppertal and University of A Coruña - Department of Mathematics
43.

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), Indian Institute of Science (IISc) - Deptartment of Management Studies, SEB, University of Amsterdam and Center for Mathematics and Computer Science (CWI)
44.

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

45.

Transform-Based Evaluation of Prices and Greeks of Lookback Options Driven by Lévy Processes

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 34 Posted: 23 Jun 2016
Accepted Paper Series
University of Amsterdam and University of Amsterdam
46.

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

Journal of Computational Finance, Vol. 19, No. 1, Pages 75–106, 2015,
Number of pages: 32 Posted: 15 Jun 2016
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

47.

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
Sun Yat-Sen University (SYSU), Hebei Normal University and Chinese University of Hong Kong
48.

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, University Grenoble Alpes and University Grenoble Alpes
49.

Numerical Methods for the Quadratic Hedging Problem in Markov Models with Jumps

Journal of Computational Finance, Vol. 19, No. 2, Pages 29–67, 2015,
Number of pages: 40 Posted: 15 Jun 2016
Accepted Paper Series
OSSIAM, Université Paris VII Denis Diderot and EDF Energy
50.

Optimal Investment: Bounds and Heuristics

Journal of Computational Finance, Vol. 19, No. 2, Pages 1–28, 2015,
Number of pages: 28 Posted: 15 Jun 2016
Accepted Paper Series
University of Cambridge - Centre for Mathematical Sciences and University of Cambridge