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.
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@example.com for more information.
Updating your subscription status
Risk iPad and iPhone Apps