Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 3, Number 2 (Winter 1999)
Editor's Letter
Welcome to Volume 3, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model' by Leif Andersen from General Re Financial Products; ‘A canonical optimal stopping problem for American options and its numerical solution' by by Farid AitSahlia from Financial Engines and Tze Leung Lai from Stanforsd University; ‘Hopscotch methods for two-state financial models' by Adam Kurpiel from the Université Montesquieu-Bordeuax IV and Thierry Roncalli from FERC, University Business School; and ‘An application of natural resource evaluation using a simulation - dynamic programming approach' by Augusto Castillo-Ramiré from UCLA.
Papers in this issue
An application of natural resource evaluation using a simulation-dynamic programming approach
A canonical optimal stopping problem for American options and its numerical solution
A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
Hopscotch methods for two-state financial models
