Journal of Computational Finance

Welcome to Volume 6, Issue 1 of The Journal of Computational Finance. This issue is made up of 5 technical papers: ‘An exit-probability-based approach for the valuation of defaultable securities' by Lucia Caramellino from the University of Rome and Gabriella Maria Iovino from the Swiss Reinsurance Company; ‘Risk-neutralized at-the-money consistent historical distributions in currency options pricing' by Nusret Cakici and Kevin R. Foster from the City College of New York; ‘Fast Fourier transform for discrete Asian options' by Eric Bernhamou from Goldman Sachs International; ‘Lognormal approximations to LIBOR market models' by O. Kurbanmuradov from the Turkmenian State University and K. Sabelfeld and J. Schoenmakers from the Weierstrass Institute for Applied Analysis and Stochastics; and ‘Technical note: analytical and Monte Carlo swaption pricing under the forward swap measure' by Atsushi Kawai from Mizuho Securities Co Ltd.

You need to sign in to use this feature. If you don’t have a Risk.net 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 indvidual account here: