Editor: Domingo Tavella
Published: 01 Apr 2000
Papers in this issue
by Jakob Sidenius
by Thomas Little and Vijay Pant, Chunli Hou
by Asbjørn Trolle Hansen, Peter Løchte Jørgensen
by Ramaprasad Bhar, Carl Chiarella, Nadima El-Hassan, and Xiaosu Zheng
Welcome to Volume 3, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘LIBOR market models in practice' by Jakob Sidenius from SimCorp A/S; ‘Fast and accurate analytical approximation of bond prices when short interest rates are lognormal' by Asbjørn Trolle Hansen from Dresdner Kleinwort Benson and Peter Løchte from the University of Aarhus; ‘The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options' by Ramaprasad Bhar, Carl Chiarella, Nadima El-Hassan and Xiaosu from The University of Sydney; and ‘A new integral representation of the early exercise boundary for American put options' by Thomas Little and Vijay Pant from PricewaterhouseCoopers and Chunli Hou from Columbia University.
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