Journal
The Journal of Computational Finance Volume 14/Number 2 2010/11
Editor: Peter Forsyth
Published: 01 Dec 2010
Papers in this issue
Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics
by Fang Fang, Henrik Jönsson, CornelisW. Oosterlee, Wim Schoutens
Estimating Greeks in Simulating Lévy-Driven Models
by Paul Glasserman, Zongjian Liu
Generalized control variate methods for pricing Asian options
by Chuan-Hsiang Han, Yongzeng Lai
by Leslie Ng, Dave Peterson, Andres Eulogio Rodriguez
Editor's letter
Welcome to Volume 14, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Estimating Greeks in simulating Lévy-driven models' by Paul Glasserman and Liu Zongjian from Columbia University; ‘Fast valuation and calibration of credit default swaps under Lévy dynamics' by Fang Fang, Henrik Jönsson and Cornelis W. Oosterlee from the Delft University of Technology, and Wim Schoutens from the Katholieke Universiteit Leuven; ‘Generalized control variate methods for pricing Asian options' by Chaun-Hsiang from National Tsing-Hua University and Yongzeng Lai from Wilfrid Laurier University; ‘and ‘Potential future exposure calculations of multi-asset exotic products using the stochastic mesh method' by Leslie Ng, Dave Peterson and Andres Eulogio Rodriguez from QulC Financial Technologies.
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