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International Journal of Computer Mathematics, Volume 86 Issue 6 2009

SPECIAL ISSUE ON FINANCIAL DERIVATIVES

Free access to selected articles from 2008.
Click here for details.
ISSN: 1029-0265 (electronic) 0020-7160 (paper)
Publication Frequency: 12 issues per year
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Editorial
EDITORIAL
Abdul Q. M. Khaliq;  Qin Sheng; David A. Voss
Page 939
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Original Articles
The static hedging of CDO tranche correlation risk
Michael B. Walker
Pages 940 – 954
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Valuation of forward-starting CDOs
Ken Jackson; Wanhe Zhang
Pages 955 – 963
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Double barrier option under regime-switching exponential mean-reverting process
P. Eloe;  R. H. Liu; J. Y. Sun
Pages 964 – 981
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A second-order Nyström-type discretization for the early-exercise curve of American put options
Pascal Heider
Pages 982 – 991
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Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility
B. Hofmann;  R. Krämer; M. Richter
Pages 992 – 1008
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High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
Wenyuan Liao; Abdul Q. M. Khaliq
Pages 1009 – 1023
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An efficient implementation of a least squares Monte Carlo method for valuing American-style options
Christian Jonen
Pages 1024 – 1039
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Levy models and long correlations applied to the study of exchange traded funds
M. C. Mariani;  J. D. Libbin;  K. J. Martin;  E. Ncheuguim;  M. P. Beccar Varela;  V. Kumar Mani;  C. A. Erickson; D. J. Valles-Rosales
Pages 1040 – 1053
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A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
M. Yousuf
Pages 1054 – 1067
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Option pricing in the presence of random arbitrage return
Jungmin Choi; Max Gunzburger
Pages 1068 – 1081
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Analytical approximation method of option pricing under geometric mean-reverting process
R. H. Liu
Pages 1082 – 1092
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