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Welcome to www.thejournalofcomputationalfinance.com
Forthcoming - Special Issue
Numerical Methods in Finance

Guest editors
David Edelman: University College, Dublin
John J H Miller: Institute for Numerical Computation & Analysis


In response to current and future changes in our industry, we are bringing you a special issue in The Journal of Computational Finance that presents new research advances in, and applications of, numerical methods relevant to the solution of real problems in finance. The special issue follows the Numerical Methods in Finance 2008 conference, which was held in Dublin, Ireland. This is a topic of practical importance because many problems in quantitative finance are posed in a way not conducive to analytical solutions, presenting challenges such as those encountered in high dimensional function spaces.

The special issue contains a strong collection of papers and the following titles reflect the real need to address this topic head on:

Penalty methods for continuous-time portfolio selection with proportional transaction costs
Min Dai and Yifei Zhong

Pricing and hedging gap risk
Peter Tankov

A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
Jari Toivanen

Latin hypercube sampling with dependence and applications in finance
Natalie Packham and Wolfgang M. Schmidt

Please contact us with any inquiries you have on the special issue.
Latest Issue
Volume 13 / Number 2
Calibration of local volatility using the local and implied instantaneous variance
by Gabriel Turinici
Linking caplets and swaptions prices in the LMM-SABR model
by Riccardo Rebonato and Richard White
Measuring the error of dynamic hedging: a Laplace transform approach
by Flavio Angelini and Stefano Herzel
Computational techniques for basic affine models of portfolio credit risk
by Xiaolin Luo and Pavel V. Shevchenko
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