Editor: Domingo Tavella
Published: 01 Jan 1998
Papers in this issue
by R. Zvan, P. A. Forsyth, K. R. Vetzal
by Leonard Berman
by Curt Randall, Elaine Kant, Ashvin Chhabra
by Leif B. G. Andersen, Rupert Brotherton-Ratcliffe
Welcome to Volume 1, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘The equity option volatility smile: an implicit finite-difference approach' by Leif Andersen and Rupert Brotherton-Ratcliffe from General Re Financial Products Corp.; ‘Robust numerical methods for PDE models of Asian options' by R. Zvan, P.A. Forsyth and K.R. Vetzal from the University of Waterloo; ‘Accelerating Monte Carlo quasirandom sequences and variance reduction' by Leonard Berman from IBM Research Division and Banking Finance Securities; and ‘Using program synthesis to price derivatives' by Curt Randall and Elaine Kant from SciComp Inc. and Ashvin Chhabra from J.P. Morgan.
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