International Journal of Computer Mathematics, Volume 86, Issue 6 (2009)

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International Journal of Computer Mathematics, Volume 86, Issue 6 (2009)

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SPECIAL ISSUE ON FINANCIAL DERIVATIVES

Editorial

Editorial
EDITORIAL
Abdul Q.M. Khaliq, Qin Sheng & David A. Voss
Page: 939
Published online: 01 Jun 2009
CitationforEDITORIAL | Full Text | PDF (17.2 KB)
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Free Access

Original Articles

Article
The static hedging of CDO tranche correlation risk
Michael B. Walker
Pages: 940-954
Published online: 01 Jun 2009
AbstractforThe static hedging of CDO tranche correlation risk | Full Text | References | PDF (378.6 KB)
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Article
Valuation of forward-starting CDOs
Ken Jackson & Wanhe Zhang
Pages: 955-963
Published online: 01 Jun 2009
AbstractforValuation of forward-starting CDOs | Full Text | References | PDF (72.3 KB)
  • 43 Views
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Article
Double barrier option under regime-switching exponential mean-reverting process
P. Eloe, R. H. Liu & J. Y. Sun
Pages: 964-981
Published online: 01 Jun 2009
AbstractforDouble barrier option under regime-switching exponential mean-reverting process | Full Text | References | PDF (331.7 KB)
  • 115 Views
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Article
A second-order Nyström-type discretization for the early-exercise curve of American put options
Pascal Heider
Pages: 982-991
Published online: 01 Jun 2009
AbstractforA second-order Nyström-type discretization for the early-exercise curve of American put options | Full Text | References | PDF (275.2 KB)
  • 65 Views
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Article
Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility
B. Hofmann, R. Krämer & M. Richter
Pages: 992-1008
Published online: 01 Jun 2009
AbstractforSome aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility | Full Text | References | PDF (273.8 KB)
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Article
High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
Wenyuan Liao & Abdul Q.M. Khaliq
Pages: 1009-1023
Published online: 01 Jun 2009
AbstractforHigh-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost | Full Text | References | PDF (505.2 KB)
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Article
An efficient implementation of a least squares Monte Carlo method for valuing American-style options
Christian Jonen
Pages: 1024-1039
Published online: 01 Jun 2009
AbstractforAn efficient implementation of a least squares Monte Carlo method for valuing American-style options | Full Text | References | PDF (309.8 KB)
  • 291 Views
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Article
Levy models and long correlations applied to the study of exchange traded funds
M. C. Mariani, J. D. Libbin, K. J. Martin, E. Ncheuguim, M. P. Beccar Varela, V. Kumar Mani, C. A. Erickson & D. J. Valles-Rosales
Pages: 1040-1053
Published online: 01 Jun 2009
AbstractforLevy models and long correlations applied to the study of exchange traded funds | Full Text | References | PDF (564.2 KB)
  • 103 Views
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Article
A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
M. Yousuf
Pages: 1054-1067
Published online: 01 Jun 2009
AbstractforA fourth-order smoothing scheme for pricing barrier options under stochastic volatility | Full Text | References | PDF (532.7 KB)
  • 130 Views
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Article
Option pricing in the presence of random arbitrage return
Jungmin Choi & Max Gunzburger
Pages: 1068-1081
Published online: 01 Jun 2009
AbstractforOption pricing in the presence of random arbitrage return | Full Text | References | PDF (581.1 KB)
  • 77 Views
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Article
Analytical approximation method of option pricing under geometric mean-reverting process
R. H. Liu
Pages: 1082-1092
Published online: 01 Jun 2009
AbstractforAnalytical approximation method of option pricing under geometric mean-reverting process | Full Text | References | PDF (86.5 KB)
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