Editor: Domingo Tavella
Published: 01 Sep 1997
Papers in this issue
by Vladimir Druskin and Leonid Knizhnerman, Tanya Tamarchenko, Sergio Kostek
by Russel E. Caflisch, William Morokoff, Art Owen
by Ronald Lagnado, Stanley Osher
by J. G. M. Schoenmakers, A. W. Heemink
by L. C. G. Rogers, O. Zane
Welcome to Volume 1, Issue 1 of The Journal of Computational Finance. This issue is made up of 5 technical papers: ‘Valuing moving barrier options' by L.C.G. Rogers from the University of Bath and O. Zane from the First National Bank of Chicago; ‘A technique for calibrating derivative security pricing models: numerical solution of an inverse problem' by Ronald Lagnado from CATS Software Inc. and Stanley Osher from the University of California; ‘Valuation of mortgage backed securities using Brownian bridges to reduce effective dimension' by Russel Caflisch from the University of California, William Morokoff from Goldman & Sachs and Art Owen from Stanford University; ‘Fast valuation of financial derivatives' by J.G.M. Schoenmakers and A.W. Heemink from Delft University of Technology; and ‘Krylov subspace reduction and its extensions for option pricing' by Vladimir Druskin and Leonid Knizherman from Druskin Associates, Tanya Tamarchenko from Enron Capital & Trade Resources and Sergio Kostek from Morgan Stanley.
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