International Journal of Computer Mathematics, Volume 89, Issue 9 (2012)

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International Journal of Computer Mathematics, Volume 89, Issue 9 (2012)

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COMPUTATIONAL METHODS FOR PDEs IN FINANCE

Editorial

Editorial
Computational methods for PDEs in finance
Jari Toivanen, Cornelis W. Oosterlee & Song-Ping Zhu
Page: 1093
Published online: 07 Jun 2012
CitationforComputational methods for PDEs in finance | Full Text | PDF (32.3 KB)
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Free Access

Section B

Article
A front-fixing finite element method for the valuation of American options with regime switching
Anthony D. Holmes, Hongtao Yang & Shuhua Zhang
Pages: 1094-1111
Published online: 21 Mar 2012
AbstractforA front-fixing finite element method for the valuation of American options with regime switching | Full Text | References | PDF (1.3 MB)
  • 249 Views
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Article
Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
Santtu Salmi & Jari Toivanen
Pages: 1112-1134
Published online: 22 Mar 2012
AbstractforComparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models | Full Text | References | PDF (240.1 KB)
  • 831 Views
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Article
A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
Anbo Le, Zhongdi Cen & Aimin Xu
Pages: 1135-1144
Published online: 23 Feb 2012
AbstractforA robust upwind difference scheme for pricing perpetual American put options under stochastic volatility | Full Text | References | PDF (87.9 KB)
  • 203 Views
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Article
Multiscale methods for the valuation of American options with stochastic volatility
Angela Kunoth, Christian Schneider & Katharina Wiechers
Pages: 1145-1163
Published online: 24 Apr 2012
AbstractforMultiscale methods for the valuation of American options with stochastic volatility | Full Text | References | PDF (985.4 KB)
  • 231 Views
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Article
A new radial basis functions method for pricing American options under Merton's jump-diffusion model
A. A.E.F. Saib, D. Y. Tangman & M. Bhuruth
Pages: 1164-1185
Published online: 24 May 2012
AbstractforA new radial basis functions method for pricing American options under Merton's jump-diffusion model | Full Text | References | PDF (290.6 KB)
  • 388 Views
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Article
Pricing high-dimensional Bermudan options using the stochastic grid method
Shashi Jain & Cornelis W. Oosterlee
Pages: 1186-1211
Published online: 24 May 2012
AbstractforPricing high-dimensional Bermudan options using the stochastic grid method | Full Text | References | PDF (469.8 KB)
  • 318 Views
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Article
A highly parallel Black–Scholes solver based on adaptive sparse grids
Alexander Heinecke, Stefanie Schraufstetter & Hans-Joachim Bungartz
Pages: 1212-1238
Published online: 25 May 2012
AbstractforA highly parallel Black–Scholes solver based on adaptive sparse grids | Full Text | References | PDF (1 MB)
  • 269 Views
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Article
The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost
M. Yousuf, A. Q.M. Khaliq & B. Kleefeld
Pages: 1239-1254
Published online: 22 May 2012
AbstractforThe numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost | Full Text | References | PDF (986.2 KB)
  • 411 Views
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Article
Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
Jin Liang & Tao Wang
Pages: 1255-1268
Published online: 23 Feb 2012
AbstractforValuation of a loan-only credit default swap with negatively correlated default and prepayment intensities | Full Text | References | PDF (258.4 KB)
  • 173 Views
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Article
Approximation and application of the Musiela stochastic PDE in forward rate models
Jungmin Choi & Max Gunzburger
Pages: 1269-1280
Published online: 30 Apr 2012
AbstractforApproximation and application of the Musiela stochastic PDE in forward rate models | Full Text | References | PDF (469.2 KB)
  • 169 Views
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Article
Computation of the effects of uncertainty in volatility on option pricing and hedging
Motoi Namihira & David A. Kopriva
Pages: 1281-1302
Published online: 22 May 2012
AbstractforComputation of the effects of uncertainty in volatility on option pricing and hedging | Full Text | References | PDF (1 MB)
  • 200 Views
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