Volume 13, Issue 3 | Finance and Stochastics

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Volume 13, Issue 3

September 2009

Special Issue on Computational Methods in Finance (Part I)

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7 articles in this issue

Editorial
Ralf Korn
Martin Schweizer
Editorial 27 June 2009 Pages: 305 - 306
Quasi-Monte Carlo methods with applications in finance
Pierre L’Ecuyer
OriginalPaper Open access 11 July 2009 Pages: 307 - 349
Adjoint-based Monte Carlo calibration of financial market models
C. Kaebe
J. H. Maruhn
E. W. Sachs
OriginalPaper 11 July 2009 Pages: 351 - 379
On irregular functionals of SDEs and the Euler scheme
Rainer Avikainen
OriginalPaper 11 July 2009 Pages: 381 - 401
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Michael B. Giles
Desmond J. Higham
Xuerong Mao
OriginalPaper 11 July 2009 Pages: 403 - 413
A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method
Mariko Ninomiya
Syoiti Ninomiya
OriginalPaper Open access 28 May 2009 Pages: 415 - 443
Basket CDS pricing with interacting intensities
Harry Zheng
Lishang Jiang
OriginalPaper 11 July 2009 Pages: 445 - 469