Editor: Mark Broadie
Published: 29 Sep 2008
Papers in this issue
by Richard White, Riccardo Rebonato
by Alexander Herbertsson, Holger Rootzén
by Dilip B. Madan, Marc Yor
by C. C. W. Leentvaar, C. W. Oosterlee
Welcome to Volume 12, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Multi-asset option pricing using a parallel Fourier-based technique' by C. C. W. Leentvaar and C. W. Oosterlee from the Delft University of Technology; ‘Representing the CGMY and Meixner Lévy processes as time changed Brownian motions' by Dilip Madan from the University of Maryland and Marc Yor from Université Pierre et Marie Curie; ‘Pricing kth-to-default swaps under default contagion: the matrix-analytic approach' by Alexander Herbertsson from the University of Gothenburg and Holger Rootzén from Chalmers University of Technology; and ‘A swaption volatility model using Markov regime switching' by Richard White and Riccardo Rebonato from The Royal Bank of Scotland.
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