International Journal of Computer Mathematics, Volume 96, Issue 11 (2019)

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International Journal of Computer Mathematics, Volume 96, Issue 11 (2019)

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International Conference on Computational Finance 2017 (ICCF 2017)

Prefaces

Introduction
Preface
Matthias Ehrhardt, Maria do Rosário Grossinho, Manuel Guerra, João Janela, Choi-Hong Lai, Daniel Sevcovic & Carlos Vázquez
Pages: 2113-2114
Published online: 30 Jul 2019
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Free Access

Original Articles

Article
Efficient finite difference method for optimal portfolio in a power utility regime-switching model
Tihomir B. Gyulov, Miglena N. Koleva & Lubin G. Vulkov
Pages: 2115-2134
Published online: 18 May 2018
AbstractforEfficient finite difference method for optimal portfolio in a power utility regime-switching model | Full Text | References | PDF (1.8 MB) | EPUB
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Article
Quantifying credit portfolio losses under multi-factor models
Gemma Colldeforns-Papiol, Luis Ortiz-Gracia & Cornelis W. Oosterlee
Pages: 2135-2156
Published online: 14 Mar 2018
AbstractforQuantifying credit portfolio losses under multi-factor models | Full Text | References | PDF (2 MB) | EPUB
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Article
A Monte Carlo approach to American options pricing including counterparty risk
Iñigo Arregui, Beatriz Salvador & Carlos Vázquez
Pages: 2157-2176
Published online: 05 Jul 2018
AbstractforA Monte Carlo approach to American options pricing including counterparty risk | Full Text | References | PDF (1.4 MB) | EPUB
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Article
Isogeometric analysis in option pricing
Jan Pospíšil & Vladimír Švígler
Pages: 2177-2200
Published online: 16 Jul 2018
AbstractforIsogeometric analysis in option pricing | Full Text | References | PDF (2.6 MB) | EPUB
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Article
Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps
Choi-Hong Lai
Pages: 2201-2208
Published online: 15 Nov 2018
AbstractforModification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps | Full Text | References | PDF (630.5 KB) | EPUB
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Article
The collocating local volatility framework – a fresh look at efficient pricing with smile
Lech A. Grzelak
Pages: 2209-2228
Published online: 18 Dec 2018
AbstractforThe collocating local volatility framework – a fresh look at efficient pricing with smile | Full Text | References | PDF (2.2 MB) | EPUB
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Article
Option pricing under a jump-telegraph diffusion model with jumps of random size
J. Janela, J. Guerra & G. Silva
Pages: 2229-2244
Published online: 20 Feb 2019
AbstractforOption pricing under a jump-telegraph diffusion model with jumps of random size | Full Text | References | PDF (1.6 MB) | EPUB
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Article
Approximation of insurance liability contracts using radial basis functions
Stefan N. Singor, Eric Schols & Cornelis W. Oosterlee
Pages: 2245-2271
Published online: 27 Feb 2019
AbstractforApproximation of insurance liability contracts using radial basis functions | Full Text | References | PDF (4.1 MB) | EPUB
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Article
Stochastic grid bundling method for backward stochastic differential equations
Ki Wai Chau & Cornelis W. Oosterlee
Pages: 2272-2301
Published online: 28 Aug 2019
AbstractforStochastic grid bundling method for backward stochastic differential equations | Full Text | References | PDF (2.1 MB) | EPUB
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Review

Review
Improved error bound for multivariate Chebyshev polynomial interpolation
Kathrin Glau & Mirco Mahlstedt
Pages: 2302-2314
Published online: 15 Apr 2019
AbstractforImproved error bound for multivariate Chebyshev polynomial interpolation | Full Text | References | PDF (1.1 MB) | EPUB
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