Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 13, Number 2 (December 2009)
Editor's Letter
Welcome to Volume 13, Issue 2 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Calibration of local volatility using the local and implied instantaneous variance' by Gabriel Turinici from Université Paris Dauphine; ‘Linking caplets and swaptions prices in the LMM-SABR model' by Riccardo Rebonato from Oxford University and Richard White from RBS; ‘Measuring the error of dynamic hedging: a Laplace transform approach' by Flavio Angelini from the University of Perugia and Stefano Herzel from the University of Rome Tor Vergata; and ‘Computing tails of compound distributions using direct numerical integration' by Xiaolin Luo and Pavel V. Shevchenko from CSIRO Mathematical and Information Sciences.
