Journal
The Journal of Computational Finance Volume 13/Number 2 2009/10
Editor: Peter Forsyth
Published: 09 Dec 2009
Papers in this issue
Measuring the error of dynamic hedging: a Laplace transform approach
by Flavio Angelini, Stefano Herzel
Calibration of local volatility using the local and implied instantaneous variance
by Gabriel Turinici
Linking caplets and swaptions prices in the LMM-SABR model
by Riccardo Rebonato, Richard White
Computing tails of compound distributions using direct numerical integration
by Xiaolin Luo, Pavel V. Shevchenko
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.
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