Journal of Computational Finance

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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