Journal
The Journal of Computational Finance Volume 15/Number 1 2011
Editor: Peter Forsyth
Published: 16 Sep 2011
Papers in this issue
An empirical comparative analysis of foreign exchange smile calibration procedures
by Dimitri Reiswich
Robust optimization of currency portfolios
by Raquel J. Fonseca, Steve Zymler, Wolfram Wiesemann, Berç Rustem
by Carole Bernard, Zhenyu Cui
Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process
by Ray Brownrigg, Estate Khmaladze
Editor's letter
Welcome to Volume 15, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Robust optimization of currency portfolios' by Raquel C. Fonseca, Steve Zymler and Berç Rustem from Imperial College of Science; ‘An empirical comparative analysis of foreign exchange smile calibration procedures' by Dimitri from the Frankfurt School of Finance and Management; ‘Pricing timer options' by Carole and Zhenyu from the University of Waterloo; and ‘Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process' by Ray Brownrigg and Estate Khmaladze from the Victoria University of Wellington.
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