Editor: Mark Broadie
Published: 11 Dec 2007
Papers in this issue
by Søren Asmussen, Dilip Madan, Martijn Pistorius
by Peter A. Forsyth, George Labahn
by Pascal Heider
by Michael Kalkbrener, Anna Kennedy, Monika Popp
Welcome to Volume 11, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Pricing equity default swaps under an approximation to the CGMY Lévy model' by Søren Asmussen from Aarhus University, Dilip Madan from the University of Maryland and Martijn Pistorius from King's College, London; ‘The condition of the integral representation of American options' by Pascal Heider from Universität zu Köln; ‘Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance' by Peter A. Forsyth and George Labahn from the University of Waterloo; and ‘Efficient calculation of expected shortfall contributions in large credit portfolios' by Michael Kalkbrener from Deutsche Bank AG and Monika Popp from the University of Leipzig.
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