Editor: Mark Broadie
Published: 01 Oct 2003
Papers in this issue
by Farid AitSahlia, Lorens Imhof, Tze Leung Lai
by Paul Glasserman, Nicolas Merener
by R. Zvan, P. A. Forsyth, K. R.Vetzal
by Michael Monoyios
by Bernhard Brunner, Reinhold Hafner
Welcome to Volume 7, Issue 1 of The Journal of Computational Finance. This issue is made up of 5 technical papers: ‘Efficient option pricing with transaction costs' by Michael Monoyios from Brunel University; ‘Cap and swaption approximations in LIBOR market models with jumps' by Paul Glasserman and Nicholas Merener from Columbia University; ‘Negative coefficients in two-factor option pricing models' by R. Zvan from Bear Stearns and P.A. Forsyth and K.R. Vetzal from Waterloo University; 'Fast and accurate valuation of American barrier options' by Farid AitSahlia from DemandTec, Lorens Imhof from RWTH Aachen, and Tze Leung Lai from Stanford University; and ‘Arbitrage-free estimation of the risk-neutral density from the implied volatility smile' by Bernhard Brunner from the University of Augsburg and Reinhold Hafner from Risklab Germany GmbH.
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@example.com for more information.