Journal of Computational Finance

Welcome to Volume 5, Issue 1 of The Journal of Computational Finance. This issue is made up of 5 technical papers: ‘Pricing of occupation time derivatives: continuous and discrete monitoring' by Gianluca Fusai from the University of Eastern Piedmont and Aldo Tagliani from the University of Trento; ‘Competitive Monte Carlo methods for the pricing of Asian options' by B. Lapeyre and E. Temam from Ecole Nationale des Ponts et Chaussées; ‘A semi-analytical method for pricing and hedging continuously-sampled arithmetic average rate options' by Jin E. Zhang from the Hong Kong University of Science and Technology; ‘A finite difference method for the valuation of variance swaps' by Thomas Little from El Paso Merchant Energy and Vijay Pant from PricewaterhouseCoopers, New York; and ‘Technical note: lognormal swap approximation in the LIBOR market model and its applications' by Koichi Matsumoto from The Fuji Bank, Derivative Products Division.

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