Editor: Mark Broadie
Published: 19 Oct 2006
Papers in this issue
by Tony Berrada, Debbie Dupuis, Eric Jacquier, Nicolas Papageorgiou, Bruno Rémillard
by Ariel Almendral, CornelisW. Oosterlee
by Jingping Yang, T. R. Hurd, Xuping Zhang
by Huaguang Feng, Aparna Gupta, Thomas R. Willemain
Welcome to Volume 10, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Highly accurate evaluation of European and American options under the Variance Gamma process' by Ariel Almendral and Cornelis W. Oosterlee from the Delft University of Technology; ‘Wavelet-based bootstrap for pricing path-dependent European options' by Huaguang Feng, Aparna Gupta and Thomas R. Willemain from the Rensselaer Polytechnic Institute; ‘Credit migration and basket derivatives pricing with copulas' by Tony Berrada from the Institut de Banque et Finance and Debbie Dupuis, Eric Jacquier, Nicolas Papageorgiou and Bruno Rémillard from HEC Montréal; and ‘Saddlepoint approximation method for pricing CDOs' by Jingping Yang from Peking University and T.R. Hurd and Xuping Zhang from McMaster University.
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