Editor: Mark Broadie
Published: 01 Jan 2005
Papers in this issue
by Vladimir V. Piterbarg
by François Dubois, Tony Lelièvre
by Srdjan D. Stojanovic
by Kyriakos Chourdakis
Welcome to Volume 8, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Efficient pricing of Asian options by the PDE approach' by François Dubois from Conservatoire National des Arts et Métiers and Tony Lelièvre from Ecole Nationale des Ponts et Chaussées; ‘Pricing and hedging callable LIBOR exotics in forward LIBOR models' by Vladimir V. Piterbarg; ‘Option pricing using the fractional FFT' by Kyriakos Chourdakis from the University of Canterbury; and ‘Optimal portfolio series formula under dynamic appreciation rate uncertainty' by Srdjan D. Stojanovic from the University of Cincinnati.
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