Editor: Mark Broadie
Published: 22 Sep 2004
Papers in this issue
by Giovanni Petrella and Steven Kou
by Raoul Pietersz, Antoon Pelsser, Marcel van Regenmortel
by Tomasz R. Bielecki, Jean-Philippe Chancelier, Stanley R. Pliska, Agnès Sulem
by Heath Windcliff, Peter A. Forsyth, Ken R.Vetzal
Welcome to Volume 8, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Analysis of the stability of the linear boundary condition for the Black-Scholes equation' by Heath Windcliff from Morgan Stanley, Peter A. Forsyth and Ken R.Vetzal from the University of Waterloo; ‘Risk-sensitive portfolio optimization with transaction costs' by Tomasz R. Bielecki from the Illinois Institute of Technology, Jean-Philippe from CERMICS/ENPC, Stanley R. Pliska from the University of Illinois and Agnès Sulem from INRIA Domaine de Voluceau; ‘Fast drift-approximated pricing in the BGM model' by Raoul Pietersz and Antoon Pelsser from Erasmus University and Marcel van Regenmortel from the Product Development Group; and ‘Numerical pricing of discrete barrier and lookback options via Laplace tansforms' by Giovanni Petrella and Steven Kou from Columbia University.
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