International Journal of Computer Mathematics

EDITORIAL
pp. 939-939(1)
Authors: Khaliq, Abdul; Sheng, Qin; Voss, David

The static hedging of CDO tranche correlation risk
pp. 940-954(15)
Author: Walker, Michael

Valuation of forward-starting CDOs
pp. 955-963(9)
Authors: Jackson, Ken; Zhang, Wanhe

Double barrier option under regime-switching exponential mean-reverting process
pp. 964-981(18)
Authors: Eloe, P.; Liu, R. H.; Sun, J. Y.

A second-order Nystrom-type discretization for the early-exercise curve of American put options
pp. 982-991(10)
Author: Heider, Pascal

Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility
pp. 992-1008(17)
Authors: Hofmann, B.; Kramer, R.; Richter, M.

High-order compact scheme for solving nonlinear Black-Scholes equation with transaction cost
pp. 1009-1023(15)
Authors: Liao, Wenyuan; Khaliq, Abdul

An efficient implementation of a least squares Monte Carlo method for valuing American-style options
pp. 1024-1039(16)
Author: Jonen, Christian

Levy models and long correlations applied to the study of exchange traded funds
pp. 1040-1053(14)
Authors: Mariani, M. C.; Libbin, J. D.; Martin, K. J.; Ncheuguim, E.; Varela, M. P. Beccar; Mani, V. Kumar; Erickson, C. A.; Valles-Rosales, D. J.

A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
pp. 1054-1067(14)
Author: Yousuf, M.

Option pricing in the presence of random arbitrage return
pp. 1068-1081(14)
Authors: Choi, Jungmin; Gunzburger, Max

Analytical approximation method of option pricing under geometric mean-reverting process
pp. 1082-1092(11)
Author: Liu, R. H.