Journal of Computational Finance

Welcome to Volume 9, Issue 1 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Extended LIBOR market models with stochastic volatility' by Leif Andersen from Banc of America Securities and Rupert Brotherton-Ratcliffe from AIG Financial Products; ‘Evaluation of compound options using perturbation approximation' by Jean-Pierre Fouque from North Carolina State University and Hsiang-Chaun Han from the National Tsing-Hua University; ‘Fast solutions of complementarity formulations in American put pricing' by Artan Borici from the University of Tirana and Jakob-Hans Lüthi from ETH Zurich; and ‘Control variates for Monte Carlo valuation of American options' by Nicki Søndergaa Rasmussen from Danske Bank.

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: