Editor: Mark Broadie
Published: 18 Sep 2007
Papers in this issue
by Robert D. Smith
by Samuel M. T. Ehrlichman, Shane G. Henderson
by Daniel Bienstock
by Xinzheng Huang, Cornelis W. Oosterlee, Hans van der Weide
Welcome to Volume 11, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Histogram models for robust portfolio optimization' by Daniel Bienstock from Columbia University; ‘Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model' by Xinzheng Huang, Cornelis W. Oosterlee and Hans van der Weide from Delft University of Technology and Group Risk Management; ‘Adaptive control variates for pricing multi-dimensional American options' by Samuel M. T. Ehrlichman and Shane G. Henderson from Cornell University; and ‘An almost exact simulation method for the Heston model' by Robert D. Smith from Banco Santander.
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