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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 1,718
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: 30 Jan 2018
Accepted Paper Series
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 537
3.

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 144
4.

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 42
5.

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
6.

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
7.

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
8.

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
9.

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
10.

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
11.

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
12.

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
13.

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
14.

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
15.

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
16.

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
17.

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
Downloads 1
18.

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
19.

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
20.

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
21.

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
22.

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
23.

A Novel Fourier Transform B-spline Method for Option Pricing

Journal of Computational Finance, 2015
Posted: 25 May 2013 Last Revised: 02 Oct 2017
Accepted Paper Series
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
24.

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
25.

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
26.

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
27.

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
28.

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
29.

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
30.

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
31.

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
32.

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)
33.

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 Corporation
34.

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
35.

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
36.

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
37.

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.
38.

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
39.

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
40.

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
Smith School of Business
41.

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)
42.

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)
43.

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

44.

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)
45.

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)
46.

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
47.

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
48.

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
49.

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
50.

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