Journal of Computational Finance

Welcome to Volume 7, Issue 1 of The Journal of Computational Finance. This issue is made up of 5 technical papers: ‘Efficient option pricing with transaction costs' by Michael Monoyios from Brunel University; ‘Cap and swaption approximations in LIBOR market models with jumps' by Paul Glasserman and Nicholas Merener from Columbia University; ‘Negative coefficients in two-factor option pricing models' by R. Zvan from Bear Stearns and P.A. Forsyth and K.R. Vetzal from Waterloo University; 'Fast and accurate valuation of American barrier options' by Farid AitSahlia from DemandTec, Lorens Imhof from RWTH Aachen, and Tze Leung Lai from Stanford University; and ‘Arbitrage-free estimation of the risk-neutral density from the implied volatility smile' by Bernhard Brunner from the University of Augsburg and Reinhold Hafner from Risklab Germany GmbH.

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: