Editor: Peter Forsyth
Published: 27 Mar 2013
Papers in this issue
by Ian Iscoe, Ken Jackson, Alex Kreinin and Xiofang Ma
by Jiun Hong Chan and Mark Joshi
by Fabien Guilbaud, Mohamed Mnif and Huyen Pham
Welcome to Volume 16, Issue 3 of The Journal of Computational Finance. In this issue we present 4 research papers: 'Numerical methods for an optimal order execution problem' by Fabien Guilbaud, Mohamed Mnif and Huyen Pham, 'Fast and accurate long-stepping simulation of the Heston stochastic volatility model' by Jiun Hong Chan and Mark Joshi, 'Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods' by Peter Hepperger, and 'Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function' by Ian Iscoe, Ken Jackson and Xiofang Ma.
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