Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 10, Number 2 (December 2006)
Editor's Letter
Welcome to Volume 10, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘The influence of correlation on multi-asset portfolio optimization with transaction costs' by Colin Atkinson and Pongsathorn Ingpochai from the Imperial College of Science; ‘Partially exact and bounded approximations for arithmetic Asian options' by Roger Lord from Rabobank International; ‘A general dimension reduction technique for derivative pricing' by Junichi Imai from Tohoky University and Ken Seng Tan from the University of Waterloo; and ‘Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation' by Christian P. Fries and Jörg Kampen from the Weierstrass Institute for Applied Analysis and Stochastics.
Papers in this issue
The influence of correlation on multi-asset portfolio optimization with transaction costs
Partially exact and bounded approximations for arithmetic Asian options
A general dimension reduction technique for derivative pricing
Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation
