Editor: Peter Forsyth
Published: 09 Dec 2009
Papers in this issue
by Flavio Angelini, Stefano Herzel
by Gabriel Turinici
by Riccardo Rebonato, Richard White
by Xiaolin Luo, Pavel V. Shevchenko
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.
Search the archive
Subscribe to gain full access to The Journal of Computational Finance and its archive.
Call for papers
Submit your work and we can offer you:
Please contact [email protected] for more information.