Editor: Mark Broadie
Published: 15 Sep 2005
Papers in this issue
by Nicki Søndergaard Rasmussen
by Leif Andersen, Rupert Brotherton-Ratcliffe
by Artan Borici, Hans-Jakob Lüthi
by Jean-Pierre Fouque, Chuan-Hsiang Han
Welcome to Volume 9, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Extended LIBOR market models with stochastic volatility' by Leif Andersen from Banc of America Securities and Rupert Brotherton-Ratcliffe from AIG Financial Products; ‘Evaluation of compound options using perturbation approximation' by Jean-Pierre Fouque from North Carolina State University and Hsiang-Chaun Han from the National Tsing-Hua University; ‘Fast solutions of complementarity formulations in American put pricing' by Artan Borici from the University of Tirana and Jakob-Hans Lüthi from ETH Zurich; and ‘Control variates for Monte Carlo valuation of American options' by Nicki Søndergaa Rasmussen from Danske Bank.
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