Editor: Mark Broadie
Published: 18 Jun 2007
Papers in this issue
by Mark S. Joshi, Terence S. Leung
by Roger Lord, Christian Kahl
by Iris R. Wang, Justin W. L. Wan, Peter A. Forsyth
by Jessica Cariboni, Wim Schoutens
Welcome to Volume 10, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Pricing credit default swaps under Lévy models' by Jessica Cariboni from the European Commission and Wim Schoutens from K.U.Leuven; ‘Optimal Fourier inversion in semi-analytical option pricing' by Roger Lord from Rabobank International and Christian Kahl from the Quantitative Analytics Group; ‘Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options' by Mark S. Joshi from the University of Melbourne and Terence S. Leung from the University College London; and ‘Robust numerical valuation of European and American options under the CGMY process' by Iris R. Wang, Justin W. L. Wan and Peter A. Forsyth from the University of Waterloo.
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 firstname.lastname@example.org for more information.
Updating your subscription status
Risk iPad and iPhone Apps