Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 10, Number 4 (June 2007)
Editor's Letter
Welcome to Volume 10, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Pricing credit default swaps under Lévy models' by Jessica Cariboni from the European Commission and Wim Schoutens from K.U.Leuven; ‘Optimal Fourier inversion in semi-analytical option pricing' by Roger Lord from Rabobank International and Christian Kahl from the Quantitative Analytics Group; ‘Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options' by Mark S. Joshi from the University of Melbourne and Terence S. Leung from the University College London; and ‘Robust numerical valuation of European and American options under the CGMY process' by Iris R. Wang, Justin W. L. Wan and Peter A. Forsyth from the University of Waterloo.
Papers in this issue
Optimal Fourier inversion in semi-analytical option pricing
Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Pricing credit default swaps under Lévy models
Robust numerical valuation of European and American options under the CGMY process
