Special Issue on
Numerical PDE Methods in Finance
The Journal of Computational and Applied
Mathematics will publish a special issue on NUMERICAL PDE METHODS IN
FINANCE with guest editors D. A. Voss (
PDEs have become an important tool in option valuation
providing a powerful and consistent framework for pricing rather complex derivatives. Their
numerical solution, however, can present difficulties involving
reliability, accuracy, and efficiency. The aim of this special issue
is to highlight these aspects of the numerical PDE approach. This special
issue will contain papers presenting new research results in topics
including, but not limited to:
models in high dimension
models with jumps
stochastic volatility models
Research papers are solicited for this special issue. Each submitted
paper should be between 10 and 20 pages and will be refereed according to
JCAM policies
( http://www.elsevier.com/locate/cam
).
Submit a PDF or PS version of the complete
paper to either of the guest editors:
David Voss Abdul
Q. M. Khaliq
Department of Mathematics Department of
Mathematical Sciences
Western Illinois University
1 University Circle Middle
Tennessee State University
Macomb, IL 61455
Email: d-voss1@wiu.edu Email: akhaliq@mtsu.edu
Deadline for submission of full papers:
Notification of acceptance:
Expected publication: Spring, 2007.