Editor: Peter Forsyth
Published: 16 Jun 2011
Papers in this issue
by Rüdiger Kiesel, Matthias Lutz
by Nick Denson, Mark Joshi
by Christina C. Christara, Duy Minh Dang
by D.Y. Tangman, A. A. I. Peer, N. Rambeerich, M. Bhuruth
Welcome to Volume 14, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Fast simplified approaches to Asian option pricing' by D. Y. Tangman and A. A. I. Peer from the University of Mauritius; ‘Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model' by Rüdiger Kiesel from Universität Duisburg-Essen and Matthias Lutz from Ulm University; ‘Adaptive and high-order methods for valuing American options' by Christina C. Christara and Duy-Minh Dang from the University of Toronto; and ‘Fast and accurate Greeks for the LIBOR market models' by Nick Denson and Mark Joshi from the University of Melbourne.
Search the archive
Subscribe to gain full access to The Journal of Computational Finance and its archive.
Call for papers
Submit your work and we can offer you:
Please contact email@example.com for more information.
Updating your subscription status
Risk IPad Apps