Editor: Mark Broadie
Published: 11 Dec 2006
Papers in this issue
by Christian P. Fries, Jörg Kampen
by Junichi Imai, Ken Seng Tan
by Colin Atkinson and Pongsathorn Ingpochai
Welcome to Volume 10, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘The influence of correlation on multi-asset portfolio optimization with transaction costs' by Colin Atkinson and Pongsathorn Ingpochai from the Imperial College of Science; ‘Partially exact and bounded approximations for arithmetic Asian options' by Roger Lord from Rabobank International; ‘A general dimension reduction technique for derivative pricing' by Junichi Imai from Tohoky University and Ken Seng Tan from the University of Waterloo; and ‘Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation' by Christian P. Fries and Jörg Kampen from the Weierstrass Institute for Applied Analysis and Stochastics.
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