Journal of Computational Finance
Collection
Collection
- ISSN: 1460-1559
Published by Risk Publications
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Higher order saddlepoint approximations in the Vasicek portfolio credit loss model Article
Journal of Computational Finance, 11(1), 93-113.X. Huang, C.W. Oosterlee (Kees) and J.A.M. van der Weide (Hans)
January 2007
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Multi-asset option pricing using a parallel Fourier-based technique Article
Journal of Computational Finance, 12(1), 1-26.October 2008 -
Fast valuation and calibration of credit default swaps under Lévy dynamics Article
Journal of Computational Finance, 14(2), 1-30.January 2010 -
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile Article
Journal of Computational Finance, 15(4), 45-77.January 2012 -
Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives Article
Journal of Computational FinanceB. Chen (Bin), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)
May 2012
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An efficient pricing algorithm for swing options based on Fourier cosine expansions Article
Journal of Computational Finance, 16(4), 1-32.January 2013
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On the application of spectral filters in a Fourier option pricing technique Article
Journal of Computational Finance, 19(1), 75-106.M.J. Ruijter (Marjon), M. Versteegh and C.W. Oosterlee (Kees)
January 2015
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Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions Article
Journal of Computational Finance, 20(1), 139-172.C.W. Oosterlee (Kees), Q. Feng (Qian), S. Jain (Shashi), P.K. Karlsson (Patrik) and B.D. Kandhai
September 2016