Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 7, Number 4 (Summer 2004)
Editor's Letter
Welcome to Volume 7, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘A stochastic mesh method for pricing highdimensional American options' by Mark Broadie and Paul Glasserman from Columbia University; ‘Convergence of the stochastic mesh for pricing Bermudan options' by Athanassios N. Avramidis from Université de Montréal and Heinrich Matzinger from the University of Bielefeld; ‘Computing hitting time densities for CIR and OU diffusions: applications to meanreverting models' by Vadim Linetsky from Northwestern University; and ‘Technical note: Dependence and two-asset options pricing' by Grégory Rapuch from CREST & EHESS and Thierry Roncalli from Crédit Agricole SA, France.
