Editor: Mark Broadie
Published: 23 Dec 2008
Papers in this issue
by Libor Pospisil, Jan Vecer
by Matthias Arnsdorf, Igor Halperin
by Nicole El Karoui, Ying Jiao, David Kurtz
by Kenneth R. Jackson, Sebastian Jaimungal, Vladimir Surkov
Welcome to Volume 12, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Fourier space time-stepping for option pricing with Lévy models' by Kenneth R. Jackson, Sebastian Jaimungal and Vladimir Surkov from the University of Toronto; ‘Gaussian and Poisson approximation: applications to CDO tranche pricing' by Nicole El Karoui from CMAP Ecole Polytechnique, Ying Jiao from Université Paris VII and David Kurtz from BlueCrest Capital Management Ltd.; ‘Partial differential equation methods for the maximum drawdown' by Libor Pospisil and Jan Vecer from Columbia University; and ‘BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives' by Matthias Arnsdorf and Igor Halperin from JP Morgan.
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