Editor: Domingo Tavella
Published: 24 Sep 2002
Papers in this issue
by O. Kurbanmuradov, K. Sabelfeld, J. Schoenmakers
by Nusret Cakici and Kevin R. Foster
by Eric Benhamou
by Lucia Caramellino, Maria Gabriella Iovino
Welcome to Volume 6, Issue 1 of The Journal of Computational Finance. This issue is made up of 5 technical papers: ‘An exit-probability-based approach for the valuation of defaultable securities' by Lucia Caramellino from the University of Rome and Gabriella Maria Iovino from the Swiss Reinsurance Company; ‘Risk-neutralized at-the-money consistent historical distributions in currency options pricing' by Nusret Cakici and Kevin R. Foster from the City College of New York; ‘Fast Fourier transform for discrete Asian options' by Eric Bernhamou from Goldman Sachs International; ‘Lognormal approximations to LIBOR market models' by O. Kurbanmuradov from the Turkmenian State University and K. Sabelfeld and J. Schoenmakers from the Weierstrass Institute for Applied Analysis and Stochastics; and ‘Technical note: analytical and Monte Carlo swaption pricing under the forward swap measure' by Atsushi Kawai from Mizuho Securities Co Ltd.
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