Editor: Peter Forsyth
Published: 24 Sep 2009
Papers in this issue
by Peter Carr, Dilip Madan
by Michel Vellekoop, Hans Nieuwenhuis
by Alexandre Antonov, Timur Misirpashaev, Vladimir Piterbarg
Welcome to Volume 13, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘A tree-based method to price American options in the Heston model' by Michel Vellekoop from the University of Twente and Hans Nieuwenhuis from the University of Groningen; ‘Markovian projection into a Heston model' by Alexandre Antonov from NumeriX Software Ltd., Timur Misirpashaev from Merrill Lynch and Vladimir Piterbarg from Barclays Capital; ‘Saddlepoint methods for option pricing' by Peter Carr from Bloomberd LP and Dilip Madan from the University of Maryland; and ‘Computational techniques for basic affine models of portfolio credit risk' by Andreas Eckner from Stanford University.
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