Journal of Computational Finance

ISSN:

1460-1559 (print)

1755-2850 (online)

Editor-in-chief: Christoph Reisinger

Impact Factor: 1.417

First Published: September 1997

Volume 12, Number 2 (December 2008)

Editor's Letter

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.

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 individual account here