Editor: Mark Broadie
Published: 13 Jan 2004
Papers in this issue
by Claudia Ribeiro, Nick Webber
by Ali Hirsa, Dilip B. Madan
by Bouhari Arouna
by Leif Andersen, Dan Buffum
Welcome to Volume 7, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Calibration and implementation of convertible bond models' by Leif Andersen and Dan Buffum from the Bank of America Securities LLC; ‘Pricing American options under variance gamma' by Ali Hirsa from Morgan Stanley and Dilip Madan from the University of Maryland; ‘Robbins-Monro algorithms and variance reduction in finance' by Bouhari Arouna from the Ecole Nationale des Ponts et Chaussées; and ‘Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge' by Claudia Ribeiro from Warwick Buisness School and Nick Webber from Cass Business School.
Search the archive
Subscribe to gain full access to The Journal of Computational Finance and its archive.
Call for papers
Submit your work and we can offer you:
Please contact [email protected] for more information.