Editor: Domingo Tavella
Published: 01 Sep 2001
Papers in this issue
by Gianluca Fusai, Aldo Tagliani
by B. Lapeyre, E. Temam
by Jin E. Zhang
by Thomas Little, Vijay Pant
Welcome to Volume 5, Issue 1 of The Journal of Computational Finance. This issue is made up of 5 technical papers: ‘Pricing of occupation time derivatives: continuous and discrete monitoring' by Gianluca Fusai from the University of Eastern Piedmont and Aldo Tagliani from the University of Trento; ‘Competitive Monte Carlo methods for the pricing of Asian options' by B. Lapeyre and E. Temam from Ecole Nationale des Ponts et Chaussées; ‘A semi-analytical method for pricing and hedging continuously-sampled arithmetic average rate options' by Jin E. Zhang from the Hong Kong University of Science and Technology; ‘A finite difference method for the valuation of variance swaps' by Thomas Little from El Paso Merchant Energy and Vijay Pant from PricewaterhouseCoopers, New York; and ‘Technical note: lognormal swap approximation in the LIBOR market model and its applications' by Koichi Matsumoto from The Fuji Bank, Derivative Products Division.
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.