Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 16, Number 3 (March 2013)
Editor's Letter
Welcome to Volume 16, Issue 3 of The Journal of Computational Finance. In this issue we present 4 research papers: 'Numerical methods for an optimal order execution problem' by Fabien Guilbaud, Mohamed Mnif and Huyen Pham, 'Fast and accurate long-stepping simulation of the Heston stochastic volatility model' by Jiun Hong Chan and Mark Joshi, 'Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods' by Peter Hepperger, and 'Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function' by Ian Iscoe, Ken Jackson and Xiofang Ma.
Papers in this issue
Numerical methods for an optimal order execution problem
Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function
Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods
Fast and accurate long-stepping simulation of the Heston stochastic volatility model
