Journal of Computational Finance

Welcome to Volume 10, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘The influence of correlation on multi-asset portfolio optimization with transaction costs' by Colin Atkinson and Pongsathorn Ingpochai from the Imperial College of Science; ‘Partially exact and bounded approximations for arithmetic Asian options' by Roger Lord from Rabobank International; ‘A general dimension reduction technique for derivative pricing' by Junichi Imai from Tohoky University and Ken Seng Tan from the University of Waterloo; and ‘Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation' by Christian P. Fries and Jörg Kampen from the Weierstrass Institute for Applied Analysis and Stochastics.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: