• Computing hitting time densities for CIR and OU diffusions: applications to mean-reverting models
by V. Linetsky

• Technical note: Dependence and two-asset options pricing
by G. Rapuch and T. Roncalli

• A stochastic mesh method for pricing high-dimensional American options
by M. Broadie and P. Glasserman

• Convergence of the stochastic mesh estimator for pricing Bermudan options
by A. N. Avramidis and H. Matzinger

Volume 7 / Number 3, Spring 2004

• Non-parametric calibration of jump–diffusion option pricing models
by R. Cont and P. Tankov

• Option pricing by transform methods: extensions, unification and error control
by R. W. Lee

• Pricing Asian options via Fourier and Laplace transforms
by G. Fusai

• Computing deltas of callable Libor exotics in forward Libor models
by V. V. Piterbarg

Volume 7 / Number 2, Winter 2003/04

• Calibration and implementation of convertible bond models
by L. Andersen and D. Buffum

• Robbins–Monro algorithms and variance reduction in finance
by B. Arouna

• Pricing American options under variance gamma
by A. Hirsa and D. B. Madan

• Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge
by C. Ribeiro and N. Webber

Volume 7 / Number 1, Fall 2003

• Cap and swaption approximations in Libor market models with jumps
by P. Glasserman and N. Merener

• Negative coefficients in two-factor option pricing models
by R. Zvan, P. A. Forsyth and K. R.Vetzal

• Arbitrage-free estimation of the risk-neutral density from the implied volatility smile
by B. Brunner and R. Hafner

• Efficient option pricing with transaction costs
by M. Monoyios

• Fast and accurate valuation of American barrier options
by F. AitSahlia, L. Imhof and T. Leung Lai