Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 6, Number 3 (Spring 2003)
Editor's Letter
Welcome to Volume 6, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling' by Pavel V. Shevchenko from CSIRO Mathematical and Information Sciences; ‘Analytic derivatives of asymmetric GARCH models' by George F. Levy from NAG Ltd; ‘'Voaltility estimation with functional gradient descent for very high-dimensional financial time series' by Francesco Audrinofrom the University of Southern Switzerland and Peter Bühlmann from ETH Zurich; and ‘Semi-analytical pricing of defaultable bonds in a signaling jump-default model' by Lara Cathcart and Lina El-Jahel from Imperial College, London.
Papers in this issue
Volatility estimation with functional gradient descent for very high-dimensional financial time series
Analytic derivatives of asymmetric Garch models
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
Semi-analytical pricing of defaultable bonds in a signaling jump-default model
