Applied and Computational Mathematics

Special Issue

Computational Finance

  • Submission Deadline: 20 December 2014
  • Status: Submission Closed
  • Lead Guest Editor: Sunday Fadugba
About This Special Issue
Valuation of Derivative Securities and Credit Risks aims at presenting the latest developments and options pricing in pure and applied computational finance. It considers important theoretical, empirical and review papers. This special is driven by the computational revolution and emphasizing innovative applied mathematics having potential for applicability and practicality. It also improves the dissemination of advanced research in the area of valuation of derivative securities and credit risk.

Original research papers are solicited in any aspect of applied and pure computational finance.

The topics include (but are not limited to):

    Financial engineering
    Financial statistics
    Pricing theory of securities and portfolio
    Quantitative economics
    Solutions to PDEs
    Stochastic optimization and control
    Stochastic processes
    Credit Risks
    Risk Management
    Option Pricing
    Numerical Methods in Finance
Lead Guest Editor
  • Sunday Fadugba

    Department of Mathematical Sciences, Ekiti State University, Ado Ekiti, Nigeria

Guest Editors
  • Ramon Gutiérrez-Sánchez

    Department of Statistic and Operational Reseach. University of Granada., Granada, Spain

  • Joseph Okunlola

    Department of Mathematical and Physical Sciences, Afe Babalola University, Ado Ekiti, Nigeria

  • Helen Edogbanya

    Department of Mathematics, Federal University Lokoja, Nigeria

Published Articles
  • Performance Measure of Binomial Model for Pricing American and European Options

    Fadugba Sunday Emmanuel , Ajayi Olayinka Adedoyin , Okedele Olanrewaju Hammed

    Issue: Volume 3, Issue 6-1, December 2014
    Pages: 18-30
    Received: 28 September 2014
    Accepted: 6 October 2014
    Published: 20 October 2014
    DOI: 10.11648/j.acm.s.2014030601.14
    Abstract: Binomial model is a powerful technique that can be used to solve many complex option-pricing problems. In contrast to the Black-Scholes model and other option pricing models that require solutions to stochastic differential equations, the binomial option pricing model is mathematically simple. It is based on the assumption of no arbitrage. The assu... Show More
  • On Martingales and the Use of Optional Stopping Theorem to Determine the Mean and Variance of a Stopping Time

    Ganiyu , A. A. , Fakunle , I.

    Issue: Volume 3, Issue 6-1, December 2014
    Pages: 12-17
    Received: 1 August 2014
    Accepted: 6 August 2014
    Published: 5 September 2014
    DOI: 10.11648/j.acm.s.2014030601.13
    Abstract: This paper examines the roles martingale property played in the use of optional stopping theorem (OST). It also examines the implication of this property in the use of optional stopping theorem for the determination of mean and variance of a stopping time. A simple example relating to betting system of a gambler with limited amount of money has bee... Show More
  • On Hybrid Model for the Valuation of Credit Risk

    Fadugba Sunday Emmanuel , Edogbanya Olaronke Helen

    Issue: Volume 3, Issue 6-1, December 2014
    Pages: 8-11
    Received: 1 August 2014
    Accepted: 6 August 2014
    Published: 13 August 2014
    DOI: 10.11648/j.acm.s.2014030601.12
    Abstract: This paper presents hybrid model for the valuation of credit risk. Credit risk arises whenever a borrower is expecting to use future cash flows to pay a current debt. It is closely tied to the potential return of investment, the most notable being that the yields on bonds correlate strongly to their perceived credit risk. Hybrid model combines the ... Show More
  • The Mellin Transform Method as an Alternative Analytic Solution for the Valuation of Geometric Asian Option

    Fadugba Sunday Emmanuel

    Issue: Volume 3, Issue 6-1, December 2014
    Pages: 1-7
    Received: 19 July 2014
    Accepted: 5 August 2014
    Published: 5 August 2014
    DOI: 10.11648/j.acm.s.2014030601.11
    Abstract: This paper presents the Mellin transform method as an alternative analytic solution for the valuation of geometric Asian option. Asian options are options in which the variable is the average price over a period of time. The analytical solution of the Black-Scholes partial differential equation for Asian option is known as an explicit formula, this... Show More