Journal of Computational Finance

Welcome to Volume 12, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Multi-asset option pricing using a parallel Fourier-based technique' by C. C. W. Leentvaar and C. W. Oosterlee from the Delft University of Technology; ‘Representing the CGMY and Meixner Lévy processes as time changed Brownian motions' by Dilip Madan from the University of Maryland and Marc Yor from Université Pierre et Marie Curie; ‘Pricing kth-to-default swaps under default contagion: the matrix-analytic approach' by Alexander Herbertsson from the University of Gothenburg and Holger Rootzén from Chalmers University of Technology; and ‘A swaption volatility model using Markov regime switching' by Richard White and Riccardo Rebonato from The Royal Bank of Scotland.

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