All Research Papers Published In The Journal of Computational Finance

Stochastic path-dependent volatility models for price–storage dynamics in natural gas markets and discrete-time swing option pricing

On deep portfolio optimization with stocks, bonds and options

Convexity adjustments à la Malliavin

An efficient numerical method for pricing American options and their Greeks under the two-asset Kou jump-diffusion model

Robust financial calibration: a Bayesian approach for neural stochastic differential equations

Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads

Finite-difference solution ansatz approach in least-squares Monte Carlo

An explicit scheme for pathwise cross valuation adjustment computations

Machine learning and a Hamilton–Jacobi–Bellman equation for optimal decumulation: a comparison study

A simple local correlation model