Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 15, Number 2 (December 2011)
Editor's Letter
Welcome to Volume 15, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘A simple discretization scheme for nonnegative diffusion processes with applications to option pricing' by Chantal Labbé and Bruno Rémillard from HEC Montréal, and Jean-François Renaud from L'Université du Quebec a Montreal; ‘Pricing convertible bonds with call protection' by Stéphane Crépey from Universite d'Evry Val d'Essonne and Abdallah Rahal from Bank Audi Plaza; ‘Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks' by Jiun Hong Chan and Mark Joshi from the University of Melbourne; and ‘Pricing barrier and average options in a stochastic volatility environment' by Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda from the University of Tokyo.
Papers in this issue
A simple discretization scheme for nonnegative diffusion processes with applications to option pricing.
Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks.
Pricing convertible bonds with call protection
Pricing barrier and average options in a stochastic volatility environment.
