Journal of Computational Finance

Welcome to Volume 13, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘A tree-based method to price American options in the Heston model' by Michel Vellekoop from the University of Twente and Hans Nieuwenhuis from the University of Groningen; ‘Markovian projection into a Heston model' by Alexandre Antonov from NumeriX Software Ltd., Timur Misirpashaev from Merrill Lynch and Vladimir Piterbarg from Barclays Capital; ‘Saddlepoint methods for option pricing' by Peter Carr from Bloomberd LP and Dilip Madan from the University of Maryland; and ‘Computational techniques for basic affine models of portfolio credit risk' by Andreas Eckner from Stanford University.

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