This question is now more than 10 years old and the answers have not been refreshed in a while. While the journal landscape has probably not changed much in this timeframe, it is possible industry and academic conferences are quite different from what they used to be.
I disclaim that my area of expertise is derivative pricing. While most of the journals and conferences I mention below do include research on topics such as investment allocation, algorithmic trading or market microstructure, there might be resources specific to these sub-topics I am not aware of.
For practitioners, the magazine Risk remains the main publication for both industry news (including both business and regulatory aspects) as well as for industrial research through their "Cutting Edge" section which showcases two distinct categories, sell-side and buy-side.
Wilmott Magazine is another reference which is probably halfway between industrial and academic research but veering towards the side of applied research (for example this is where the SABR model was published). The publisher behind Risk has also a line-up of several research journals such as the Journal of Computational Finance or the Journal of Credit Risk.
Yet bear in mind that practitioners very often release their research fast into open source repositories such as SSRN or ArXiV. Their papers might later on be submitted and published in some journal, or maybe it stays in an open repository forever: for example I am not aware of Andreasen's "Stochastic Volatility for Real" (dx.doi.org/10.2139/ssrn.898701) having ever been published in a journal, despite being a pretty influential paper among rate quants working in investment banks in my opinion.
On the academic side, there are a number of journals which are focused on quantitative finance as a subject. Below is a list of those I come across more often when looking for some article, together with their SCImago Journal Rank (or SJR, you can find more details in Wikipedia or this answer in Academia Stack Exchange) as well as their Impact Factor (extracted from Clarivate's Journal Citation Reports). I display both values for year 2022 in parenthesis:
- Mathematical Finance (SJR 1.84, IF 1.6)
- Finance and Stochastics (SJR 1.35, IF 1.7)
- SIAM Journal on Financial Mathematics (SJR 0.80, IF 1.0)
- Quantitative Finance (SJR 0.72, IF 1.3)
- International Journal of Theoretical and Applied Finance (SJR 0.42, IF 0.5)
- Journal of Derivatives (SJR 0.31, IF 0.7)
- Journal of Computational Finance (SJR 0.29, IF 0.9)
- Journal of Credit Risk (SJR 0.16, IF 0.3)
Some of the above are already listed in this 2014 answer from the QuantNet forum.
From my personal experience, Mathematical Finance as well as Finance and Stochastics are more theoretical and biased in favour of highly academic research; the rest have a more practical bias and give greater weight to modelling research. Other journals specialized in quantitative finance which I am less familiar with but which I have come across occasionally are Journal of Futures Markets (SJR 0.72, IF 1.9), Applied Mathematical Finance (SJR 0.54, IF n/a), or Review of Derivatives Research (SJR 0.25, IF 0.8).
As mentioned by @GAM, there is also research in quantitative finance that gets published in more matsy journals. Some that come to mind are the Annals of Probability (SJR 3.10, IF 2.3), Mathematische Annalen (SJR 2.11, IF 1.4), or Annals of Applied Probability (SJR 1.97, IF 1.8). Generally speaking, there are plenty of applied math journals in probabilities and statistics; numerical analysis; optimization, and other topics which might publish finance-related research.
Obviously another place to look is journals on finance, economics or actuarial science $-$ for example Black & Scholes published their original research in the Journal of Political Economy (SJR 20.64, IF 8.2). A couple that come to mind are the Review of Financial Studies (SJR 12.24, IF 8.2), the Journal of Banking and Finance (SJR 1.72, IF 3.7) or the Financial Review (SJR 1.03, IF 3.2).
"Global Derivatives" used to be the main industrial conference for derivative research in the 90s and 00s, however I believe it no longer exists (I am not sure whether it has simply changed names). My impression is that:
- "QuantMinds" has been the leading industry conference for a couple of years now;
- "Quant Summit" by Risk Magazine (taking place in US and Europe) should also be quite well established by now, given the high profile of people publishing in magazine as well as the visibility of their Quant of the Year award.
However I am less familiar with conferences in particular academic ones. This website mentions conferences from Princeton, the MIT, Wharton or the Certificate in Quantitative Finance (CQF) Institute in 2023. Organizations like the Bachelier Finance Society or Imperial College's department of Mathematics probably organize conferences, events or seminars related to quantitative finance all year round.
Any input from other participants in the exchange is welcomed.