Journal of Computational Finance

Welcome to Volume 6, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Short time-scale in S&P500 volatility' by Jean-Pierre Fouque from NC State University, George Papanicolaou from Stanford University, Ronniw Sircar from Princeton University and Knut Solna from the University of California; ‘Convergence remedies for non-smooth payoffs in option pricing' by David M. Pooley, Kenneth R. Vetzal and Peter A. Forsyth from the University of Waterloo; ‘The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework: approximate solutions and empirical evidence' by Peter Jäckel from Commerzbank Securities and Riccardo Rebonato from The Royal Bank of Scotland; and ‘Speed and accuracy comparison of bivariate normal distribution approximations for option pricing' by Senay Agca from George Washington University and Don M. Chance from Louisiana State University.

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