International Journal of Computer Mathematics, Volume 94, Issue 11 (2017)

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International Journal of Computer Mathematics, Volume 94, Issue 11 (2017)

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Stochastic and Computational Finance

Prefaces

Introduction
Preface
Matthias Ehrhardt, Maria do Rosário Grossinho, Daniel Ševčovič & Albert Shiryaev
Pages: 2145-2146
Published online: 02 Nov 2017
CitationforPreface | Full Text | PDF (272.3 KB)
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Free Access

Original Articles

Article
Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes
N. Safarov & C. Atkinson
Pages: 2147-2165
Published online: 15 Apr 2016
AbstractforNatural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes | Full Text | References | PDF (1.7 MB)
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Article
Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps
Sumei Zhang & Junhao Geng
Pages: 2166-2177
Published online: 23 Aug 2016
AbstractforEfficiently pricing continuously monitored barrier options under stochastic volatility model with jumps | Full Text | References | PDF (970.5 KB)
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Article
Exit option for a class of profit functions
Manuel Guerra, Cláudia Nunes & Carlos Oliveira
Pages: 2178-2193
Published online: 13 Sep 2016
AbstractforExit option for a class of profit functions | Full Text | References | PDF (1.2 MB)
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Article
Multicurve LIBOR market models and drift-free simulation
J. L. Fernández, M. R. Nogueiras, M. Pou & C. Vázquez
Pages: 2194-2207
Published online: 31 Oct 2016
AbstractforMulticurve LIBOR market models and drift-free simulation | Full Text | References | PDF (1 MB)
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Article
On swap rate dynamics: to freeze or not to freeze?
R. M. Gaspar & R. Pimentel
Pages: 2208-2222
Published online: 07 Nov 2016
AbstractforOn swap rate dynamics: to freeze or not to freeze? | Full Text | References | PDF (1.5 MB)
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Article
Extension and verification of the asymmetric autoregressive conditional duration models
Katarzyna Bień-Barkowska
Pages: 2223-2238
Published online: 09 Feb 2017
AbstractforExtension and verification of the asymmetric autoregressive conditional duration models | Full Text | References | PDF (1.7 MB)
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Article
A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models
Maarten Wyns & Jacques Du Toit
Pages: 2239-2267
Published online: 15 Mar 2017
AbstractforA finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models | Full Text | References | PDF (3.6 MB)
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