Journal of Computational Finance

Welcome to Volume 9, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Pricing guaranteed return rate products and discretely sampled Asian options' by Peter den Iseger and Emoke Oldenkamp from Beurs World Trade Center; ‘Recursive valuation of Basket Default Swaps' by Ian Iscoe and Alex Krenin from Algorithmics Inc.; ‘Approximating the GJR-GARCH and EGARCH option pricing models analytically' by Jin-Chuan Duan from the University of Toronto, Geneviève Gauthier and Jean-Guy Simonato from HEC Montréal and Caroline Sasseville from Kellogg School of Management; and ‘Eurodollar futures convexity adjustments in stochastic volatility models' by Vladimir V. Piterbarg from Barclays Capital and Marco A. Renedo from Bank of America.

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: