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 Welcome to www.thejournalofcomputationalfinance.com |
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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. |
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