Editor: Mark Broadie
Published: 01 Apr 2005
Papers in this issue
by Desmond J. Higham, Xuerong Mao
by Valeri I. Zakamouline
by Grigori N. Milstein, Michael V. Tretyakov
by Ulrich G. Haussmann, Liqing Yan
Welcome to Volume 8, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Convergence of Monte Carlo simulations involving the mean-reverting square root process' by Desmond J. Higham and Xuerong Mao from the University of Strathclydy; ‘The modified willow tree algorithm' by Ulrich G. Haussmann from the University of British Columbia and Liqing Yan from the University of Florida; ‘Numerical analysis of Monte Carlo evaluation of Greeks by finite difference' by Grigori N. Milstein from Weierstrass Institute for Applied Analysis and Stochastics and Michael V. Tretyakov from the University of Leicester; and ‘American option pricing and exercising with transaction costs' by Valeri I. Zakamouline from the Bodø Graduate School of Buisness.
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