• Optimal Fourier inversion in semi-analytical option pricing
by Roger Lord and Christian Kahl

• Robust numerical valuation of European and American options under the CGMY process
by Iris R. Wang, Justin W. L. Wan and Peter A. Forsyth

• Pricing credit default swaps under Lévy models
by Jessica Cariboni and Wim Schoutens

•Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
by Mark S. Joshi and Terence S. Leung

• Discrete extrema of Brownian motion and pricing of exotic options
by Colin Atkinson and Gianluca Fusai

• Computing two-factor deltas using unstructured meshes
by Amélie Bélanger and Bruce Simpson

• Cost-optimal static super-replication of barrier options: an optimization approach
by Alexander Giese and Jan Maruhn

• On stiffness in affine asset pricing models
by Shirley J. Huang and Jun Yu

Volume 10 / Number 2, Winter 2006/07

• Partially exact and bounded approximations for arithmetic Asian options
by Roger Lord

• The influence of correlation on multi-asset portfolio optimization with transaction costs
by Colin Atkinson and Pongsathorn Ingpochai

• Proxy simulation schemes for generic robust Monte Carlo sensitivities, process-oriented importance sampling and high-accuracy drift approximation
by Christian P. Fries and Jörg Kampen

• A general dimension reduction technique for derivative pricing
by Junichi Imai and Ken Seng Tan

Volume 10 / Number 1, Fall 2006

• Saddlepoint approximation method for pricing CDOs
by Jingping Yang, T. R. Hurd and Xuping Zhang

• Highly accurate evaluation of European and American options under the Variance Gamma process
by Ariel Almendral and Cornelis W. Oosterlee

• Credit migration and basket derivatives pricing with copulas
by Tony Berrada, Debbie Dupuis, Eric Jacquier, Nicolas Papageorgiou and Bruno Rémillard

• Wavelet-based bootstrap for pricing path-dependent European options by Huaguang Feng, Aparna Gupta and Thomas R. Willemain
by Huaguang Feng, Aparna Gupta and Thomas R. Willemain