Journal of Computational Finance

Welcome to Volume 12, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Fourier space time-stepping for option pricing with Lévy models' by Kenneth R. Jackson, Sebastian Jaimungal and Vladimir Surkov from the University of Toronto; ‘Gaussian and Poisson approximation: applications to CDO tranche pricing' by Nicole El Karoui from CMAP Ecole Polytechnique, Ying Jiao from Université Paris VII and David Kurtz from BlueCrest Capital Management Ltd.; ‘Partial differential equation methods for the maximum drawdown' by Libor Pospisil and Jan Vecer from Columbia University; and ‘BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives' by Matthias Arnsdorf and Igor Halperin from JP Morgan.

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