Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 14, Number 4 (June 2011)
Editor's Letter
Welcome to Volume 14, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Fast simplified approaches to Asian option pricing' by D. Y. Tangman and A. A. I. Peer from the University of Mauritius; ‘Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model' by Rüdiger Kiesel from Universität Duisburg-Essen and Matthias Lutz from Ulm University; ‘Adaptive and high-order methods for valuing American options' by Christina C. Christara and Duy-Minh Dang from the University of Toronto; and ‘Fast and accurate Greeks for the LIBOR market models' by Nick Denson and Mark Joshi from the University of Melbourne.
Papers in this issue
Efficient Pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Research Papers
Adaptive and high-order methods for valuing American options
Fast and accurate Greeks for the LIBOR Market Model
Fast simplified approaches to Asian option pricing
Research Papers
