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Journal of Computational Finance
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Incl. Fee Electronic Paper Investment Opportunities Forecasting: A Genetic Programming-Based Dynamic Portfolio Trading System under a Directional-Change Framework
Journal of Computational Finance, Forthcoming
Monira Essa Aloud
King Saud University
Date Posted: March 04, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Efficient Pricing and Super-Replication of Corridor Variance Swaps and Related Products
Journal of Computational Finance, Forthcoming
Christoph Burgard and Olaf Torné
Bank of America - Bank of America Merrill Lynch and Barclays
Date Posted: March 04, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Smile with the Gaussian Term Structure Model
Journal of Computational Finance, 21(1), 1–42 DOI:10.21314/JCF.2016.328 ,
Ahdida Abdelkoddousse, Aurélien Alfonsi and Ernesto Palidda
Université Paris Est - CERMICS, Université Paris Est - CERMICS and Université Paris-Est Marne la Vallée (UPEMLV)
Date Posted: December 08, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Error Analysis in Fourier Methods for Option Pricing
Journal of Computational Finance, Forthcoming
Fabián Crocce, Juho Häppölä, Jonas Kiessling and Raúl Tempone
King Abdullah University of Science and Technology, King Abdullah University of Science and Technology, Independent and King Abdullah University of Science and Technology
Date Posted: December 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Calibration of Local Correlation Models to Basket Smiles
Journal of Computational Finance, Forthcoming
Julien Guyon
Bloomberg L.P.
Date Posted: November 18, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Efficient Convergent Lattice Method for Asian Option Pricing with Superlinear Complexity
Journal of Computational Finance, Forthcoming
Ling Lu, Wei Xu and Zhehui Qian
Tongji University, Tongji University - Mathematical Department and Tongji University
Date Posted: October 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Valuation of Barrier Options Using Sequential Monte Carlo
Journal of Computational Finance, Forthcoming
Pavel Shevchenko and Pierre Del Moral
Macquarie University and Centre de Recherche Inria Bordeaux
Date Posted: October 04, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Reduced Basis Method for Parabolic Partial Differential Equations with Parameter Functions and Application to Option Pricing
Journal of Computational Finance, Forthcoming
Antonia Mayerhofer and Karsten Urban
University of Ulm and University of Ulm
Date Posted: September 26, 2016
Working Paper Series
1 downloads

Incl. Fee Electronic Paper The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Date Posted: September 21, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte Carlo Method
Journal of Computational Finance, Forthcoming
Cornelis S.L. de Graaf, Drona Kandhai and Peter M.A. Sloot
University of Amsterdam, University of Amsterdam and University of Amsterdam
Date Posted: August 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Finite Difference Techniques for Arbitrage-Free SABR
Journal of Computational Finance, Forthcoming
Fabien Le Floch and Gary J. Kennedy
affiliation not provided to SSRN and Clarus Financial Technology
Date Posted: August 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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
Andrei Cozma and Christoph Reisinger
University of Oxford and University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: August 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Forward Smile in Local–Stochastic Volatility Models
Journal of Computational Finance, Forthcoming
Andrea Mazzon and Andrea Pascucci
Gran Sasso Science Institute and University of Bologna - Department of Mathematics
Date Posted: August 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Numerical Solution of the Hamilton – Jacobi – Bellman Formulation for Continuous-Time Mean – Variance Asset Allocation Under Stochastic Volatility
Journal of Computational Finance, Forthcoming
K Ma and Peter A. Forsyth
University of Waterloo and University of Waterloo - Cheriton School of Computer Science
Date Posted: August 04, 2016
Accepted Paper Series

Incl. Fee Electronic Paper High-Performance American Option Pricing
Journal of Computational Finance, 20(1), 39-87, DOI:10.21314/JCF.2016.312
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist
Date Posted: August 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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
Peter Carr, Ajay Khanna and Dilip B. Madan
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Date Posted: July 28, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: July 21, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Pricing Swing Options in Electricity Markets with Two Stochastic Factors Using a Partial Differential Equation Approach
Journal of Computational Finance, Forthcoming
Maria del Carmen Calvo-Garrido, Matthias Ehrhardt and Carlos Vázquez Cendón
University of Coruña - Department of Mathematics, Bergische Universitat Wuppertal and University of Coruña - Department of Mathematics
Date Posted: July 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions
Journal of Computational Finance, Forthcoming
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), ING Bank - Netherlands Office, ING Bank, University of Amsterdam and Center for Mathematics and Computer Science (CWI)
Date Posted: July 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper From Arbitrage to Arbitrage-Free Implied Volatilities
Journal of Computational Finance, Forthcoming
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: July 05, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Transform-Based Evaluation of Prices and Greeks of Lookback Options Driven by Lévy Processes
Journal of Computational Finance, Vol. 20, No. 2, 2016
Naser M Asghari and Michel Mandjes
University of Amsterdam and University of Amsterdam
Date Posted: June 23, 2016
Accepted Paper Series

Incl. Fee Electronic Paper On the Application of Spectral Filters in a Fourier Option Pricing Technique
Journal of Computational Finance, Vol. 19, No. 1, Pages 75–106, 2015,
Marjon Ruijter, Mark Versteegh and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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,
Shushang Zhu, Xiaodong Ji and Duan Li
Zhongshan University, Hebei Normal University and Chinese University of Hong Kong
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Importance Sampling for Jump Processes and Applications to Finance
Journal of Computational Finance, Vol. 19, No. 2, Pages 109–139, 2015,
Laetitia Badouraly Kassim, Jérôme Lelong and Imane Loumrhari
University Grenoble Alpes, Université Grenoble Alpes and University Grenoble Alpes
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Numerical Methods for the Quadratic Hedging Problem in Markov Models with Jumps
Journal of Computational Finance, Vol. 19, No. 2, Pages 29–67, 2015,
Carmine De Franco, Peter Tankov and Xavier Warin
OSSIAM, Université Paris Diderot and EDF Energy
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Investment: Bounds and Heuristics
Journal of Computational Finance, Vol. 19, No. 2, Pages 1–28, 2015,
L. C. G. Rogers and Pawel Zaczkowski
University of Cambridge - Centre for Mathematical Sciences and University of Cambridge
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper SLADI: A Semi-Lagrangian Alternating-Direction Implicit Method for the Numerical Solution of Advection–Diffusion Problems with Application to Electricity Storage Valuations
Journal of Computational Finance, Vol. 19, No. 2, Pages 69–108, 2015,
Javier Hernández Ávalos, Paul V. Johnson and Peter W Duck
University of Manchester, University of Manchester and University of Manchester
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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,
Riccardo Rebonato
University of Oxford - Mathematical Institute
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Solution of Backward Jump-Diffusion Partial Integro-Differential Equations with Splitting and Matrix Exponentials
Journal of Computational Finance, Vol. 19, No. 3, 2016
Andrey Itkin
New York University (NYU)
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Damped Crank–Nicolson Time-Marching Scheme for the Adaptive Solution of the Black–Scholes Equation
Journal of Computational Finance, Vol. 18, No. 4, Pages 1–37, 2015,
Christian Goll, Rolf Rannacher and Winnifried Wollner
University of Heidelberg, University of Heidelberg and University of Hamburg
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Numerical Valuation of Derivatives in High-Dimensional Settings Via Partial Differential Equation Expansions
Journal of Computational Finance, Vol. 18, No. 4, Pages 95–127, 2015,
Christoph Reisinger and Rasmus Wissmann
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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,
Duy-Minh Dang, Christina Christara, Kenneth R. Jackson and Asif Lakhany
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and IBM
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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,
Radha Krishn Coonjobeharry, Désiré Yannick Tangman and Muddun Bhuruth
University of Mauritius, University of Mauritius and University of Mauritius
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Density of Distributions from the Bondesson Class
Journal of Computational Finance, Vol. 18, No. 3, Pages 99–128, 2015,
German Bernhart, Jan-Frederik Mai, Steffen Schenk and Matthias A. Scherer
Technische Universität München (TUM), XAIA Investment, Technische Universität München (TUM) and Technische Universität München (TUM)
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multicurrency Extension of the Quasi-Gaussian Stochastic Volatility Interest Rate Model
Journal of Computational Finance, Vol. 18, No. 3, Pages 59–98, 2015,
Leslie Ng
Markit Group
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Efficient Monte Carlo Method for Discrete Variance Contracts
Journal of Computational Finance, Vol. 18, No. 3, Pages 1–25, 2015,
Nicolas Merener and Leonardo Vicchi
Universidad Torcuato Di Tella - School of Business and Instituto Nacional de Matemática Pura e Aplicada (IMPA)
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Chaos Expansion Approach for the Pricing of Contingent Claims
Journal of Computational Finance, Vol. 18, No. 3, Pages 27–58, 2015,
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Tokyo Metropolitan University
Date Posted: June 15, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation
Journal of Computational Finance, Vol. 20, No. 2, 2016
Gabriel G. Drimus, Walter Farkas and Elise Gourier
Institute of Banking and Finance, University of Zürich, University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and Queen Mary, University of London
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
Journal of Computational Finance, Vol. 20, No. 2, 2016
Fabian Dickmann and Nikolaus Schweizer
University of Duisburg-Essen and Tilburg School of Economics and Management
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Extended Saddlepoint Methods for Credit Risk Measurement
Journal of Computational Finance, Vol. 20, No. 2, 2016
Rubén García-Céspedes and Manuel Moreno
BBVA and University of Castilla-La Mancha
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Wiener Chaos Expansion and Numerical Solutions of the Heath–Jarrow–Morton Interest Rate Model
Journal of Computational Finance, Vol. 19, No. 4, 2016
Evangelia A Kalpinelli, Nikolaos Fragos and A.N. Yannacopoulos
Athens University of Economics and Business, Athens University of Economics and Business - Department of Statistics and Athens University of Economics and Business
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Stratified Approximations for the Pricing of Options on Average
Journal of Computational Finance, Vol. 19, No. 4, 2016
Nicolas Privault and Jiadong Yu
Nanyang Technological University (NTU) and National University of Singapore (NUS)
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Accelerated Trinomial Trees Applied to American Basket Options and American Options Under the Bates Model
Journal of Computational Finance, Vol. 19, No. 4, 2016
Conall O'Sullivan and Stephen O'Sullivan
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Dublin City University
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A New Improvement Scheme for Approximation Methods of Probability Density Functions
Journal of Computational Finance, Vol. 19, No. 4, 2016
Akihiko Takahashi and Yukihiro Tsuzuki
University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Updating the Option Implied Probability of Default Methodology
Journal of Computational Finance, Vol. 19, No. 3, 2016
Johannes Vilsmeier
Deutsche Bundesbank
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Efficient Application of Automatic Differentiation for Computing Gradients in Financial Applications
Journal of Computational Finance, Vol. 19, No. 3, 2016
Wei Xu, Xi Chen and Thomas F Coleman
Tongji University - Mathematical Department, University of North Carolina (UNC) at Chapel Hill and University of Waterloo
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper B-Spline Techniques for Volatility Modeling
Journal of Computational Finance, Vol. 19, No. 3, 2016
Sylvain Corlay
Bloomberg Quant Research
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Pricing American-Style Options by Monte Carlo Simulation: Alternatives to Ordinary Least Squares
Journal of Computational Finance, Vol. 18, No. 1, 2014
Stathis Tompaidis and Chunyu Yang
University of Texas at Austin - McCombs School of Business and BI Norwegian Business School
Date Posted: June 04, 2016
Working Paper Series

Incl. Fee Electronic Paper Counterparty Credit Risk Pricing and Measurement of Swaption Portfolios
Journal of Computational Finance, Vol. 18, No. 1, 2014
Matthew Thompson
Queen's School of Business
Date Posted: June 04, 2016
Working Paper Series

Incl. Fee Electronic Paper Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing Using Simulation and Regression
Journal of Computational Finance, Vol. 18, No. 1, 2014
Lars Stentoft
Department of Economics, University of Western Ontario
Date Posted: June 04, 2016
Working Paper Series


 

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