Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 9, Number 4 (June 2006)
Editor's Letter
Welcome to Volume 9, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Numerical estimation of volatility values from discretely observed diffusion data' by Jakša Cvitanic from Caltech, Boris Rozovskii from USC and Ilya Zaliapin from UCLA; ‘Convergence analysis of Crank-Nicolson and Rannacher time-marching' by Michael B. Giles and Rebecca Carter from Oxford University Computing Laboratory; ‘Barrier option pricing for assets with Markov-modulated dividends' by Giuseppe Di Graziano and L.C.G. Rogers from the University of Cambridge; and ‘Sampling Student's T distribution - use of the inverse cumulative distribution function' by William T. Shaw from King's College.
Papers in this issue
Convergence analysis of Crank–Nicolson and Rannacher time-marching
Sampling Student's T distribution – use of the inverse cumulative distribution function
Numerical estimation of volatility values from discretely observed diffusion data
Barrier option pricing for assets with Markov-modulated dividends
