Editor: Mark Broadie
Published: 12 Jun 2006
Papers in this issue
by Vladimir V. Piterbarg, Marco A. Renedo
by Ian Iscoe, Alex Kreinin
by Peter den Iseger, Emoke Oldenkamp
by Jin-Chuan Duan, Geneviève Gauthier, Jean-Guy Simonato, Caroline Sasseville
Welcome to Volume 9, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Pricing guaranteed return rate products and discretely sampled Asian options' by Peter den Iseger and Emoke Oldenkamp from Beurs World Trade Center; ‘Recursive valuation of Basket Default Swaps' by Ian Iscoe and Alex Krenin from Algorithmics Inc.; ‘Approximating the GJR-GARCH and EGARCH option pricing models analytically' by Jin-Chuan Duan from the University of Toronto, Geneviève Gauthier and Jean-Guy Simonato from HEC Montréal and Caroline Sasseville from Kellogg School of Management; and ‘Eurodollar futures convexity adjustments in stochastic volatility models' by Vladimir V. Piterbarg from Barclays Capital and Marco A. Renedo from Bank of America.
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