-------- Original-Nachricht -------- Betreff: Call for papers, JCAM special issue on Numerical PDEs in Finance Datum: Tue, 1 Nov 2005 10:20:33 -0600 Von: David Voss D-Voss1@wiu.edu Firma: "OptimaNumerics" An: Computational Science Mailing List computational.science@lists.optimanumerics.com

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 (Western Illinois University) and A. Q. M. Khaliq (Middle Tennessee State University). 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 Box # 34 1 University Circle Middle Tennessee State University Macomb, IL 61455 Murfreesboro, TN 37132 Email: d-voss1@wiu.edu Email: akhaliq@mtsu.edu

Deadline for submission of full papers: April 30, 2006. Notification of acceptance: September 30, 2006. Expected publication: Spring, 2007.