Editor: Mark Broadie
Published: 12 Jul 2006
Papers in this issue
by Michael B. Giles, Rebecca Carter
by Jakša Cvitanic, Boris Rozovskii, Ilya Zaliapin
by Giuseppe Di Graziano, L. C. G. Rogers
Welcome to Volume 9, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Numerical estimation of volatility values from discretely observed diffusion data' by Jakša Cvitanic from Caltech, Boris Rozovskii from USC and Ilya Zaliapin from UCLA; ‘Convergence analysis of Crank-Nicolson and Rannacher time-marching' by Michael B. Giles and Rebecca Carter from Oxford University Computing Laboratory; ‘Barrier option pricing for assets with Markov-modulated dividends' by Giuseppe Di Graziano and L.C.G. Rogers from the University of Cambridge; and ‘Sampling Student's T distribution - use of the inverse cumulative distribution function' by William T. Shaw from King's College.
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 [email protected] for more information.