Editor: Domingo Tavella
Published: 16 Jun 2003
Papers in this issue
by Senay Agca, Don M. Chance
by Peter Jäckel, Riccardo Rebonato
by David M. Pooley, Kenneth R.Vetzal, Peter A. Forsyth
by Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Solna
Welcome to Volume 6, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Short time-scale in S&P500 volatility' by Jean-Pierre Fouque from NC State University, George Papanicolaou from Stanford University, Ronniw Sircar from Princeton University and Knut Solna from the University of California; ‘Convergence remedies for non-smooth payoffs in option pricing' by David M. Pooley, Kenneth R. Vetzal and Peter A. Forsyth from the University of Waterloo; ‘The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework: approximate solutions and empirical evidence' by Peter Jäckel from Commerzbank Securities and Riccardo Rebonato from The Royal Bank of Scotland; and ‘Speed and accuracy comparison of bivariate normal distribution approximations for option pricing' by Senay Agca from George Washington University and Don M. Chance from Louisiana State University.
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