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.