Volume 13, Issue 4

September 2009

Special Issue on Computational Methods in Finance (Part II)

6 articles in this issue

Numerical methods for Lévy processes
N. Hilber
N. Reich
C. Winter
OriginalPaper 11 July 2009 Pages: 471 - 500
Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Liming Feng
Vadim Linetsky
OriginalPaper 11 July 2009 Pages: 501 - 529
Fast and accurate pricing of barrier options under Lévy processes
Oleg Kudryavtsev
Sergei Levendorskiǐ
OriginalPaper 17 June 2009 Pages: 531 - 562
Smart expansion and fast calibration for jump diffusions
E. Benhamou
E. Gobet
M. Miri
OriginalPaper 11 July 2009 Pages: 563 - 589
MDP algorithms for portfolio optimization problems in pure jump markets
Nicole Bäuerle
Ulrich Rieder
OriginalPaper 11 July 2009 Pages: 591 - 611
Interacting particle systems for the computation of rare credit portfolio losses
René Carmona
Jean-Pierre Fouque
Douglas Vestal
OriginalPaper Open access 11 July 2009 Pages: 613 - 633

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