1. Preface to the special issue on computational methods in quantitative finance

   • Jun Sekine

   Editorial 19 October 2017 Pages: 633 - 634

2. Implicit American Monte Carlo methods for nonlinear functional of future portfolio value

   • Yusuke Morimoto

   Original Paper 11 October 2017 Pages: 635 - 674

   

3. FFT network for interest rate derivatives with Lévy processes

   • Mei Choi Chiu
   • Zhuolu Xu
   • Hoi Ying Wong

   Original Paper 12 July 2017 Pages: 675 - 710

   

4. Dual-curve Hull–White interest rate model with stochastic volatility

   • Mei Choi Chiu
   • Wanyang Liang
   • Hoi Ying Wong

   Original Paper 12 July 2017 Pages: 711 - 745

   

5. Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis

   • Nien-Lin Liu
   • Hoang-Long Ngo

   Original Paper 06 August 2017 Pages: 747 - 761

   

6. Monte Carlo calibration to implied volatility surface under volatility models

   • Chuan-Hsiang Han
   • Chien-Liang Kuo

   Original Paper 10 October 2017 Pages: 763 - 778

   

7. Optimal exercise boundary via intermediate function with jump risk

   • Beom Jin Kim
   • Yong-Ki Ma
   • Hi Jun Choe

   Original Paper 30 June 2017 Pages: 779 - 792

   

8. A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints

   • Ho-Seok Lee
   • Byung Lim Koo
   • Yong Hyun Shin

   Original Paper 05 August 2017 Pages: 793 - 809

   

9. Partial super-hedging of derivatives with model risk

   • Koichi Matsumoto

   Original Paper 09 September 2017 Pages: 811 - 831

   

10. Towards the exact simulation using hyperbolic Brownian motion

    • Yuuki Ida
    • Yuri Imamura

    Original Paper 28 August 2017 Pages: 833 - 843

11. On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models

    • Takuji Arai
    • Yuto Imai

    Original Paper 25 September 2017 Pages: 845 - 858

    

12. On distibutions of first passage times of martingales arising in some gambling problems

    • Alexander Novikov
    • Shunsuke Kaji

    Original Paper 24 October 2017 Pages: 859 - 871