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The journal of computational finance
Journal of banking & finance
1,018
NBER working paper series
693
Working paper / National Bureau of Economic Research, Inc.
587
Finance research letters
582
European journal of operational research : EJOR
571
Insurance / Mathematics & economics
528
NBER Working Paper
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International review of financial analysis
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387
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320
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310
Research paper series / Swiss Finance Institute
303
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294
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289
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279
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277
Economics letters
269
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261
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258
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258
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254
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238
Discussion paper / Tinbergen Institute
237
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Applied economics letters
210
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209
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ECONIS (ZBW)
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian
;
Jain, Shashi
;
Karlsson, Patrik
;
Kandhai, Drona
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
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3
Pricing kth-to-default swaps under default contagion: the matrix analytic approach
Herbertsson, Alexander
;
Rootzén, Holger
- In:
The journal of computational finance
12
(
2008
)
1
,
pp. 49-78
Persistent link: https://www.econbiz.de/10009534635
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4
Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang
;
Jönsson, Henrik
;
Oosterlee, Cornelis W.
; …
- In:
The journal of computational finance
14
(
2010/11
)
2
,
pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
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5
Updating the option implied probability of default methodology
Vilsmeier, Johannes
- In:
The journal of computational finance
19
(
2016
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
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6
The probability of backtest overfitting
Bailey, David H.
;
Borwein, Jonathan M.
;
López de …
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 39-69
Persistent link: https://www.econbiz.de/10011691629
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7
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
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8
Computational techniques for basic affine models of portfolio credit risk
Eckner, Andreas
- In:
The journal of computational finance
13
(
2009/10
)
1
,
pp. 63-97
Persistent link: https://www.econbiz.de/10003969745
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9
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias
;
Halperin, Igor
- In:
The journal of computational finance
12
(
2008/09
)
2
,
pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
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10
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
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