Journal of Computational Finance

Welcome to Volume 16, Issue 4 of The Journal of Computational Finance. In this issue we present 4 research papers: 'An efficient pricing algorithm for swing options based on Fourier cosine expansions' by B. Zhang and C. W. Oosterlee; 'Optimal execution under jump models for uncertain price impact' by Somayeh Moazeni, Thomas F. Coleman and Yuying Li; 'Tracking value-at-risk through derivative prices' by Simon I. Hill; and 'An application to credit risk of a hybrid Monte Carlo-optimal quantization method' by Giorgia Callegaro and Abass Sagna.

After five years as Editor-in-Chief of The Journal of Computational Finance, Peter Forsyth will be stepping down as of next month. It has been my pleasure to work with Peter over the past three years. His professionalism and dedication to the journal has ensured top-quality content and a smooth and timely review process. I would like to thank him for all the work he has put into editing, reviewing and promoting the journal. His efforts have been reflected in the increased readership and standing of the journal. His commitment to the journal extended to suggesting Cornelis (Kees) W. Oosterlee as his successor and to making an initial approach to him. I am delighted to say that he has accepted and will start as editor from the fall issue.

As regular readers of the journal will know, Kees, from the Center for Mathematics and Computer Science (CWI) and Delft University of Technology, has been on the editorial board of The Journal of Computational Finance for five years. He is a leading thinker in his field and a regular contributor to the journal. In fact, his most recent paper can be found in this issue.

I am confident that with this background knowledge Kees will continue to run the journal to the highest possible standard. I would like to welcome him to his new role and again extend my thanks.

I look forward to working with Kees in the years to come and with Peter, who I am pleased to say has agreed to stay on as an active member of the editorial board.

Jade Mitchell, Journals Manager

You need to sign in to use this feature. If you don’t have a 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