Editor: Domingo Tavella
Published: 01 Sep 1999
Papers in this issue
by R. Zvan and P. A. Forsyth, K. R. Vetzal
by Manfred Steiner and Martin Wallmeier, Reinhold Hafner
by Paul Glasserman, Xiaoliang Zhao
by You-lan Zhu and Yingjun Sun
Welcome to Volume 3, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Fast greeks by simulation in forward LIBOR models' by Paul Glasserman from Columbia University and Xiaoliang Zhao from First Union National Bank; ‘Discrete Asian barrier options' by R Zvan, P.A. Forsyth and K.R Vetzal from the University of Waterloo; ‘Pricing near the barrier: the case of discrete knock-out options' by Manfred Steiner and Martin Wallmeier from the University of Augsburg and Reinhold Hafner from RiskLab GmbH; and ‘The singularity-separating method for two-factor convertible bonds' by You-lan Zhu and Yingjun Sun from the University of North Carolina at Charlotte.
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.