International Journal of Computer Mathematics, Volume 92, Issue 12 (2015)

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International Journal of Computer Mathematics, Volume 92, Issue 12 (2015)

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Computational Methods in Finance

Report

International Journal of Computer Mathematics Editors' Report
Pages: 2343-2344
Published online: 29 Oct 2015
CitationforInternational Journal of Computer Mathematics Editors' Report | Full Text | PDF (39.7 KB)
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Editorial

Editorial
Editorial
Karel in ’t Hout, Andrey Itkin, Cornelis W. Oosterlee & Jari Toivanen
Pages: 2345-2346
Published online: 29 Oct 2015
CitationforEditorial | Full Text | PDF (34.3 KB)
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SECTION B

Article
An introduction to multilevel Monte Carlo for option valuation
Desmond J. Higham
Pages: 2347-2360
Published online: 11 Sep 2015
AbstractforAn introduction to multilevel Monte Carlo for option valuation | Full Text | References | PDF (314.8 KB)
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Article
BENCHOP – The BENCHmarking project in option pricing
Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanović, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov & Yangzhang Zhao
Pages: 2361-2379
Published online: 21 Sep 2015
AbstractforBENCHOP – The BENCHmarking project in option pricing | Full Text | References | PDF (2 MB)
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Article
Efficient solution of structural default models with correlated jumps and mutual obligations
Andrey Itkin & Alexander Lipton
Pages: 2380-2405
Published online: 14 Aug 2015
AbstractforEfficient solution of structural default models with correlated jumps and mutual obligations | Full Text | References | PDF (1 MB)
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Article
Pricing Bermudan options under Merton jump-diffusion asset dynamics
F. Cong & C.W. Oosterlee
Pages: 2406-2432
Published online: 14 Aug 2015
AbstractforPricing Bermudan options under Merton jump-diffusion asset dynamics | Full Text | References | PDF (530.1 KB)
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GPU acceleration of the stochastic grid bundling method for early-exercise options
Álvaro Leitao & Cornelis W. Oosterlee
Pages: 2433-2454
Published online: 02 Sep 2015
AbstractforGPU acceleration of the stochastic grid bundling method for early-exercise options | Full Text | References | PDF (532.9 KB)
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Article
Fitted finite volume method for pricing CO2 futures option based on the underlying with non-log-normal distribution
Shuhua Chang & Jinghuan Li
Pages: 2455-2474
Published online: 15 Sep 2015
AbstractforFitted finite volume method for pricing CO2 futures option based on the underlying with non-log-normal distribution | Full Text | References | PDF (531.6 KB)
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Article
Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
R.L. Valkov
Pages: 2475-2497
Published online: 19 Aug 2015
AbstractforFitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation | Full Text | References | PDF (1.4 MB)
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Article
A meshless method for Asian style options pricing under the Merton jump-diffusion model
A.A.E.F. Saib, M.S. Sunhaloo & M. Bhuruth
Pages: 2498-2514
Published online: 07 Sep 2015
AbstractforA meshless method for Asian style options pricing under the Merton jump-diffusion model | Full Text | References | PDF (210.7 KB)
  • 202 Views
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Article
Adaptive finite differences and IMEX time-stepping to price options under Bates model
L. von Sydow, J. Toivanen & C. Zhang
Pages: 2515-2529
Published online: 21 Sep 2015
AbstractforAdaptive finite differences and IMEX time-stepping to price options under Bates model | Full Text | References | PDF (210 KB)
  • 414 Views
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Article
Pricing American options under multi-state regime switching with an efficient L- stable method
M. Yousuf, A.Q.M. Khaliq & R.H. Liu
Pages: 2530-2550
Published online: 02 Sep 2015
AbstractforPricing American options under multi-state regime switching with an efficient L- stable method | Full Text | References | PDF (1.2 MB)
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Article
Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
Youfa Sun
Pages: 2551-2574
Published online: 04 Sep 2015
AbstractforEfficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model | Full Text | References | PDF (868.1 KB)
  • 420 Views
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Article
A tree approach to options pricing under regime-switching jump diffusion models
R.H. Liu & D. Nguyen
Pages: 2575-2595
Published online: 19 Aug 2015
AbstractforA tree approach to options pricing under regime-switching jump diffusion models | Full Text | References | PDF (224.8 KB)
  • 277 Views
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Article
Circulant preconditioning technique for barrier options pricing under fractional diffusion models
Wenfei Wang, Xu Chen, Deng Ding & Siu-Long Lei
Pages: 2596-2614
Published online: 02 Sep 2015
AbstractforCirculant preconditioning technique for barrier options pricing under fractional diffusion models | Full Text | References | PDF (324.5 KB)
  • 381 Views
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Article
Modelling and computation of optimal decision for farmers leasing lands
Shuhua Chang & Wenguang Tang
Pages: 2615-2633
Published online: 11 Sep 2015
AbstractforModelling and computation of optimal decision for farmers leasing lands | Full Text | References | PDF (867.9 KB)
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Acknowledgements

Acknowledgement
Pages: 2634-2638
Published online: 29 Oct 2015
First Page PreviewforAcknowledgement | Full Text | PDF (49 KB)
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Editorial Board

Editorial Board
Page: ebi
Published online: 29 Oct 2015
CitationforEditorial Board | Full Text | PDF (39.7 KB)
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