Editor: Mark Broadie
Published: 19 Jun 2008
Papers in this issue
by Emre Erdogan, Donald G. Goldfarb, Garud Iyenga
by Cristin Buescu, Michael Taksar
by Vadim Lesnevski, Barry L. Nelson, Jeremy Staum
Welcome to Volume 11, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Optimal portfolio management in markets with asymmetric taxation' by Cristin Buescu and Michael Taksar from the University of Missouri; ‘An adaptive procedure for estimating coherent risk measures based on generalized scenarios' by Vadim Lesnevski from the Royal Bank of Scotland, and Barry L. Nelson and Jeremy Staum from Northwestern University; ‘Robust active portfolio management' by Emre Erdogan from ING Investment Management, and Donald G. Goldfarb and Garud Iyengar from Columbia University; and ‘Pricing options on realized variance in the Heston model with jumps in returns and volatility' by Artur Sepp from Merrill Lynch.
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 protected] for more information.