Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 3, Number 3 (Spring 2000)
Editor's Letter
Welcome to Volume 3, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘LIBOR market models in practice' by Jakob Sidenius from SimCorp A/S; ‘Fast and accurate analytical approximation of bond prices when short interest rates are lognormal' by Asbjørn Trolle Hansen from Dresdner Kleinwort Benson and Peter Løchte from the University of Aarhus; ‘The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options' by Ramaprasad Bhar, Carl Chiarella, Nadima El-Hassan and Xiaosu from The University of Sydney; and ‘A new integral representation of the early exercise boundary for American put options' by Thomas Little and Vijay Pant from PricewaterhouseCoopers and Chunli Hou from Columbia University.
Papers in this issue
The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options
LIBOR market models in practice
Fast and accurate analytical approximation of bond prices when short interest rates are lognormal
A new integral representation of the early exercise boundary for American put options
