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.
A technique for calibrating derivative security pricing models: numerical solution of an inverse problem