Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 9, Number 2 (December 2005)
Editor's Letter
Welcome to Volume 9, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Generalizing the Black-Scholes formula to multivariate contingent claims' by René Carmona from Princeton University and Valdo Durrelman from Stanford University; ‘Measuring marginal risk contributions in credit portfolios' by Paul Glasserman from Columbia Business School; ‘Exact pricing formulae for caps and swaptions in a Lévy term structure model' by Ernst Eberlein and Wolfgang Kluge from the University of Freiburg; and ‘The relative efficiency of numerical methods for pricing American options under Lévy processes' by Sergei Levendorskii from the University of Texas at Austin, Oleg Kudryavtsev from the Russian Customs Academy Rostov Branch and Vadim Zherder from the Rostov University of Economics.
Papers in this issue
Exact pricing formulae for caps and swaptions in a Lévy term structure model
The relative efficiency of numerical methods for pricing American options under Lévy processes
Generalizing the Black–Scholes formula to multivariate contingent claims
Measuring marginal risk contributions in credit portfolios
