Editor: Mark Broadie
Published: 06 Mar 2008
Papers in this issue
by Jean-Pierre Fouque, Brian C. Wignall, Xianwen Zhou
by Christian P. Fries, Mark S. Joshi
by Martina Wilhelm, Christoph Winter
Welcome to Volume 11, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Simple and efficient simulation of the Heston stochastic volatility model' by Leif Andersen from Banc of America Securities; ‘Partial proxy simulation schemes for generic and robust Monte Carlo Greeks' by Christian P. Fries from DZ BANK AG and Mark S. Joshi from the University of Melbourne; ‘Modeling correlated defaults: first passage model under stochastic volatility' by Jean-Pierre Focque and Brian C. Wignall from the University of California and Xianwen Zhou from Lehman Brothers; and ‘Finite element valuation of swing options' by Martina Wilhelm and Christoph Winter from ETH Zurich.
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