Editor: Domingo Tavella
Published: 01 Apr 1999
Papers in this issue
by Thomas F. Coleman, Yuying Li and Arun Verma
by George J. Jiang, John L. Knight
by Riccardo Rebonato
by Simon Benninga, Zvi Wiener
Welcome to Volume 2, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Finite sample comparison of alternative estimators of ITO diffusion processes: a Monte Carlo study' by George J. Jiang of the University of Groningen and John L. Knight from the University of Western Ontario; ‘An investigation of cheapest to deliver on Treasury bond futures contracts' by Simon Benninga from Tel Aviv University and Zvi Wiener from Hebrew University; ‘On the pricing implications of the joint lognormal assumption for the swaption and cap markets' by Riccardo Rebonato from Natwest Group; and ‘Reconstructing the unknown local volatility function' by Thomas F. Coleman, Yuying Li and Arun Verma from Cornell University.
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.